廖咸興臺灣大學:財務金融學研究所陳宗岡Chen, Tsung-KangTsung-KangChen2010-05-112018-07-092010-05-112018-07-092009U0001-2104200908111700http://ntur.lib.ntu.edu.tw//handle/246246/182825本研究建立一個流量基礎下的企業信用風險評估模型，此模型可同時且內生化地決定企業未來多期的流動性短缺機率及預期流動性不足率。本研究模型以狀態相依內部流動性隨機模型為基礎，並將企業內部流動性的動態改變區分為系統性及公司特有風險之衝擊。而本模型不同於以往的結構型信用風險模型，因為本模型考量的是流量基礎下所可能發生的償付不能情形，而結構型模型所考量的是存量基礎下資產低於負債的情形，因此，本研究模型有潛力能捕捉更多短期內的信用風險相關資訊。此外，本模型亦不同於縮減型信用風險模型及傳統會計基礎之破產預測模型，因為本模型能內生化提供企業多期的流動性危機機率及預期流動性不足率。This study develops a flow-based corporate credit model that is able to generate concurrently and endogenously a firm’s multi-period probabilities of liquidity crunch and expected liquidity shortfalls. Based upon a state-dependent internal liquidity model, it is able to incorporate both systematic and idiosyncratic shocks into corporate internal liquidity dynamics. It is different from structural form credit models in that it considers a flow-based insolvency rather than a stock-based one, and has a potential to capture short-term credit information. Additionally, it is different from both reduced form and traditional accounting-based bankruptcy models in that it is able to provide multi-period expected liquidity shortfalls endogenously.I. Introduction 1I. The Model 8.1. The State-dependent Internal Liquidity Model 8.2. The Flow-based Corporate Credit Model 10II. Numerical Example 15.1. The factor coefficients 20.2. The parameters of the state factor model 21.3. The long-term average internal liquidity level and the variances unexplained by state factors 23V. Preliminarily Examination of Model Effectiveness 24.1. Data 26.2. Parameters Estimation of the Internal Liquidity Model 26.3. Empirical Results of Credit Analysis of the Sampled Firms 27. Concluding Remarks 32eference 34ppendix I. The Discussion of State-dependent Internal Liquidity Model 54ppendix II. Parameters Estimation of the State Factor Model 56ppendix III. The Setting of Parameters Values of State Factor Model in Numerical Analyses 58ppendix IV. The Parameter Estimation Results of the Sample Firms used in Empirical Examinations 60iguresigure 1. Illustration of Insolvency Determination 40igure 2. The Forward and Cumulative PLCs and ELSRs in the Future 10 Years 40igure 3. The Forward and Cumulative PLCs and ELSRs in Different States 41igure 4. Sensitivity Analysis on the Changes of Factor coefficients 42igure 5. Sensitivity Analyses on Long-Term Average Internal Liquidity 43igure 6. Sensitivity Analyses on Residuals Variances Unexplained by State Factors 44ablesable 1. Economic Implications of State Factor and Its Factor coefficients 45able 2. The Impacts of Factor Model Parameters on Flow-based Credit Risks 46able 3. Summary of the Parameters Setting of the Model 47able 4. Sensitivity Analyses on the Factor coefficients with the Opposite Signs 48able 5. Factor Model Parameters and the Flow-based Credit Risk 49able 6. Sensitivity Analysis of the Factor Models’ Parameters on Flow-based Credit Risk 50application/pdf785636 bytesapplication/pdfen-US內部流動性流動性短缺流量基礎償付不能信用風險模型Internal LiquidityLiquidity CrunchFlow-basedInsolvencyCredit Modelthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/182825/1/ntu-98-D93723003-1.pdf