Is KMV Model Suited to Estimate the Credit Risk of Listed Companies in Taiwan?
Duan et al. (2004) certify that the theoretical estimated values of KMV model and of MLE method for transformed data proposed by DUAN (1994, 2000) are similar under the framework of option pricing model proposed by Merton (1974). However, there are some problems for fitting the realized data in practice. This study employs the KMV and MLE model to estimate the parameters and default distance on Merton (1974) model, and further compares the forecasting accuracy of corporate credit risk. CHEN et al. (2004) compare the forecasting accuracy of insolvency for Taiwan corporate through the Z-score model developed by Altaian (1968) and the Merton (1974) model. They conclude the Z-score model is well performance than Merton model. Consequently, this paper chooses the more accurate model from the KMV and MLE model to compare with the discriminant analysis. According to the logit model and power curve, the results show that the most accuracy of predicting corporate financial distress in Taiwan is the discriminant analysis, next is DUANs (1994, 2000) MLE model, and the KMV model is the last.
WU Chunchou SU Yikai
Department of Finance, National Kaohsiung First University of Science and Technology, P.R.China Graduate Institute of Finance, National Taiwan University of Science and Technology, Taiwan, P.R.C
国际会议
2011 International Conference on Strategic Management(2011年战略管理国际会议 ICSM)
成都
英文
727-733
2011-09-24（万方平台首次上网日期，不代表论文的发表时间）