MErton模型预测违约之使用限制探索.pdf

Academy Papers 65 95 65-87 Merton * A Research for Limitation in Use Merton Model Min-Hsien Su Hsiou-Wei Lin Assistant Researcher Chairperson Joint Credit Information Center Risk Research Department and Graduate Institute of International Team Business National Taiwan University 89-92Logit Merton LogitMerton LogitMertonLogit Merton Merton MertonLogitKSROC JELM00 * ** 10TEL 886-2861 E-mail miltonsu@jcic.org.tw 66 95 9 Review of Financial Risk Management Abstract This paper investigates the Merton Model has less performance in default prediction than a Logit model which is developed on credit and financial variables for benchmark due to the company with low- volume, high intangible investment or low-price by using the data of Taiwan s listed companies from 2000 to 2003. The main results of the study are as follow: (1) Logit model has superior performance to Merton Model. (2) We enhance the performance of Merton Model in discarding the sample with high intangible investment, but the revised Merton model still under performs. (3) If we exclude the sample with low-volume, high intangible investment or low-price in the same time, Merton model is superior to Logit model. We validate some limitation from market information in use Merton Model. User can decrease loss by considering other information. Key Words: Merton model, Logit model, K-S test, ROC analysis JEL Classificatio