The Estimation and Measurement of Default Risk for Taiwanese Public Issued but Unlisted Companies
Date Issued
2013
Date
2013
Author(s)
Lee, Chun-Wei
Abstract
Since Asian Financial Crisis in 1997 and the financial tsunami triggered by subprime mortgage crisis in 2007, default risk management has gradually received its attention from all sectors of the world. The main purpose of this thesis is to confirm whether the default risk of unlisted companies in Taiwan can be detected by using public information.
From the view of traditional financial concept, default risk should have a positive correlation with expected returns due to the risk premium; however, recent studies have found that in many markets, we can’t directly obtain default risk from expected rate of return; therefore, it’s hard to measure by single parameter-rate of return when calculating risk of default.
Unlike most previous studies of default risk which focus on listed publicly traded companies; this thesis is to calculate default risk for unlisted companies. There are 779 public issued but unlisted companies in Taiwan in 2006, and 702 of which provide their financial reports at least every six months for three consecutive years. The samples of this thesis are from these 702 companies.
Because there are no official prices for these unlisted companies, the first part of this thesis is using Z-Score model which depends on financial statements to detect the default risk. After data analysis of Z-Score is done, we add KMV dynamic model to compare the results with Z-Score model. We need the stock price of these companies when we use KMV model, so we use the average shareholder''s equity to replace the stock price in this part.
In the calculation of default risk for public issued but unlisted companies shows positive correlation between Z-Score model and KMV model. Furthermore, we can use either model to efficiently predict whether a company has a high default risk; but unfortunately, it is difficult to predict whether a company''s financial position is secure for Taiwanese public issued but unlisted companies.
Subjects
違約風險
Z-Score模型
KMV模型
Type
thesis
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