Appendix: Default Figures

Appendix Figures A-l to A-3 are tak，巴n 企om Giesecke (2004), whilst Appendix Figure A-4 is the DOC model established in this study. Figure A-l is the case ofthe BSM model, whilst Figures A-2 and A-3 are the cases ofthe DOC model with a constant default barrier value, where M,

=

min V, is the historical

"三

low of the asset value of the fi訂n.

Figure A-l

The BSM Model : Default Only at Debt Maturity

Demity ofV{!)

T time

132 Predicting the Dφult Risk of Firms:A Model with Safety Covenants

FigureA-2

The DOC Model (Where B > F) : Default Only Prior to Debt Maturity

t' t' T

FigureA-3

The DOC Model (Where B < F) :

DeD;i;可 d柯力

time

DefauIt During the Term of the Debt Maturity

Table 4

的

^E^b

。

Tobit Regression Results on the Robustness ofthe BSM 1\置。 del

Constructs Categories Variable Models ~

Codes 2 3 4

Constant -0.12075. 艸一0.1197材* -0.1193艸* -0.1218...

→(叫岫 aCtO翩 Z1

¹⁵²⁷⁾⁾

-t00。。a酬帥 1"7"向1).

^•

J{。削-。6刷1恥 "s弱η

^S^{) "}

(。一.8O.O8230⁾ (。一.8O.O7293⁾

(。-.SOEO6189

)

(。-.8O.O7252

) CACL

。(0。19153

⁾ 。(.10.2124l⁾

。(0。l

8l 8l ) 。(.1O.I0110⁾

Liquidi大y WCTA

0(.01.55475) ***

。(.11.50872)

^*** 0(.O1E45877)

艸* 。(.01.55761)

^***

O(E015的45H0(.l15m16料0(.015叫89料*F ²

CLTA Financial

EBITOR

-O(6OO4O7I ) -O(6O.O6O2l ) 一O(D6.O0O82⁾ -O(6OO3O5l ) -0(.6O.O4O72)-OEOO(6O3O5)-0(,6O3OO7I ) EF

Statements

Profitability

。.OO(4OO-l27

⁾ 。(4oo.o1o52⁾

。(一o。oo2o1l

⁾

^付說 0(.4OO.O2O32)0(.4OO.OoOη20(.-O0O.O1O72)N 、。

SCAI

-0(.0O.O5378)

串串串

4(.0O.O4358)

*串串一(帥帥。→o。22a3的，ω69也。26969)

^••

也

^{• •}

-0(0。5"5。)"

一。。"631丸)

^" ^~

、 ^F

MVETL

-f0。o((a金2蜘m2L10“9m084()

⁾⁾^1."^{• ••}

4←在a1(0∞3m必品研3zη

⁹^861"^•^•••

Solvency

。(.-037.21l)材 (。一30.61915)

^**

*(0一.3025367)(0一.20.78782)，He

s 、D

LLTA

gma(34.98) (34.97) 。4.98) (34.98) (34.98(34.78) (34.98)

Notes: Figures in p訂閱thesesrefer to t-values. • indicates significance at the 10% level; 料 indicatessignificance at the 5% level; and 牌·indicates

-significance at the 1 % level. _LUA_J

HMK#

EE--r9住8荊AW止忠心心。θIlf1心叮﹒舟ETyojoAO』2，AOZozoioJ4日MK間一-D40000020全昀IO300l2

叫一一 -4 付。

(O(O(寸，γ

叫 (4

卜。(OO

ρLE--R一一性-﹒峙S一

些問耐- T-wc

一 Notes: F眼間 inp帥 nthe咄血色r 臼 t-valu臼'" indica臨 signifi剛 ceat the 10% level;

"'*

indica但ssignifi間目前 the 跳出 el; 叫叫 indica臨 signific聞自副 the1% level

AGE Sigma

Chiao Da Management Review Vol. 29 No. 1, 2009 135

FigureA-4

The DOC Model Established in this Study

戶可?毛

-一---=-t* T, t* time

7. References

Altm妞，E. 1. (1968),“Financial Ratios, Discriminant Analysis and the Prediction ofCorporate Bankruptcy," Journal ofFinance, 23(4), 589-609.

Ati戶， A. F. (2001), "Bankruptcy Prediction for Credit Risk Using Neural Networks: A Survey and New Resu1ts," IEEE Transactions on Neural

Network耳， 12(4)， 929“935.

Beaver, W. (1966), “'Financial Ratios as Predictors of Failure," Journal of Accounting R臼earch， 4(3), 71-111.

Benos, A. and Papanastasopoulos, G (2007),“Extending the Merton Model: A Hybrid Approach to Assessing Credit Quality," Mathematical and

Comp的.rModelling, 46(1 舟， 47-68.

Black, F. and Scholes, M. (1973),“The Pricing of Options and Corporate

Liabiliti賊"JournalofPolitical Economy, 81(3), 637-654

Black, F. and Cox, 1. (1976),“Valuing Corporate Securities: Some Effects of Bond lndenture Provisions," Journal of Fina前已 31(2) ， 35 卜367.

136 Predicting the Dφu/t Risk of Firms:A Model with Safety Covenants

Bohn, J. (1999), “Using Market Data to Valu巳 Credit Risky Instruments,"

Working Paper, KMV.

Briys, E. and de Varenne, F. (1997), “Valuing Risky Fixed Rate Debt: An Extension," Journal 01 Financial and Quantitative Analys缸， 3月2)，

239-248

Brockman, P. and Turtle，日. (2003), '‘A Barrier Option Framework for Corporate Security Valuation," Journal 01 Financial Economics, 67(3), 511-529.

Chesn句" M. and Gibson-Asner, R. (1999), '唱起Investment Policy and the Pricing ofEquity in a Levered Firm: A Re-Examination ofthe 'Contingent Claims' ValuationApproach," European Journal olFinance, 5(2), 95-107.

Chou H. C. and Wang

,

D. (2007)

,

"Performance of Default Risk Model with the Barrier Option Framework and the Maximum Likelihood Estimation:

Evidence from Taiwan," Physica A: Statistical Mechanics and 'Ïts Applications, 385(1), 270-280.

Duan, J. C. (1994), “Maximun Likelihood Estimate Using Price Data of the Derivative Con甘act，"Mathematical Finance, 4(2), 155-167.

Duan, J. C. (2000)，“Co叮'ection: Maximum Like1ihood Estimation Using Price Data ofthe Derivative Contract

,"

Mathematical Finance 10(4)

,

461-462.

Du側， J. 仁， Gauthier, G. and Simonato, J. G. (2004),“On the Equivalence of the KMV and Maximum Likelihood Methods for Structural Credit Risk Models," Working Paper, University ofToronto.

Elizald巴， A. (2005),“Credit Risk Models 11: S個cturalModels," Working Paper.

Engelmann，且，Hayden, E. and Tasc悅， D.(2003),“Measuring the Discriminative Power ofRating Systems," Deutsche Bundesbank Discussion Paper, No. 1.

Farmen, T., Westhaaτd， S. and Van Der Wijst, N. (2004),“An Empirical Test of Option Based Default Probabilities Using Payment Behavior and Auditor Notes

,"

Norwegian University of Science and Technology Department of Industrial Economics and Technology Management, N-7941.

Geske, R. (1 977)，“官leValuation of Corporate Liabilities as Compound Options,"

Journal 01 Financial and Quantitative Analys鼠， 12(4), 541-552.

Giesecke, K. (ο20∞04你)，

WorkingPa叩pe吭r， Un叫l1V問er昀Sl旬t句yofCornτ官lell.

ChiaoDa 且也nagementReview Vol. 29 No. 1^,2009 137

Hil1egeist，仗， Kearing，且， Cram, D. and Lundstedt, K. (2004),“Assessing the Probability ofBankruptcy," Review of Accounting Studi白， 9(1)， 5-34.

Hosmer, D. and Lemeshow, S.

(2000)，中>plied Logistic Regression (2

^nded.), New York

,

NY: John Wiley & Sons.

Hull, J. C. (2006), Options,

Futw呦" and Other Derivatives (6

^thed.), New Jersey, Prentice-Hall.

Jones，且， Sco哎， P. and Rosenfeld, E. (1984),“Contingent Claims Analysis of Corporate Capital Structure: an Empirical Investigation," Journal of Finance, 39(3), 6 日 -625.

Leland, H. and To缸， K. (1996), “Optimal Capital Structure, Endogenous Bankruptcy and the Term Structure of Credit Spread丸"Journal of Finance, 51(3),987-1019

Longstaff, F. and Schwar紹， E. (1995),“A Simple Approach to Valuing Risky Fixed and Floating Rate Debt," Journal of Finance, 50(3), 789-819

Mays, E. (2001), Handbook ofCredit Scoring, Chicago, Ill: Glenlake

McQuown, J. A. (1993),“A Comment on Market vs. Accounting-Based Measures ofDefault Risk," Working Paper, KMY.

Merton, R. C. (1974),“On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal ofFinance, 29(2), 449-470.

Ohlson, J. A. (1980), “Financial Ratios and the Probabilistic Prediction of Bankruptcy," Journal of Accounting Research, 18(1), 109-131.

Patel, K. and Pereira, R. (2007),“Expected Default Probabilities in Structural Models: Empirical Evidence," Journal of Real Estate Finance and Economics, 34(1)， 107月 133.

Reisz, A. and Perlich, C. (2007),“A Market-based Framework for Bankruptcy Prediction," Journal of Financial Stabili紗， 3(2) ，的-13 1.

Ronn, E. and Ver間， A. (1986), "Pricing Risk-adjusted Deposit Insurance: An

Option白BasedModel," Journal ofFinance, 41(4), 871-895.

Ts缸， J. and Shen, D. (ο200的3)，

Accωountin咚!gR臼e叩αr陀chMo仰nt.的hl砂Y， 215,113-124.

Vassalou, M. and Xi嗯， Y. (2004),“Default Risk in Equity Returns," Journal of

138 Predicting the Dφult Risk of Firms:A Model with Safety Covenants

Finance, 59(2), 831-868.

Zmijewski, M. E. (1984),“Methodological Issues Related to the Estimation of Financial Distress Prediction Models," Journal 01 Accounting Research，泣，

59-82.

在文檔中 Predicting the Default Risk of Firms: A Model with Safety Covenants (頁 29-36)

=

的

。