探討違約風險與系統風險之關聯性

Studying the Relationship Between Default Risk and Systematic Risk

10.3966/102596272016120111004

呂素蓮(Su-Lien Lu)；李國榮(Kuo-Jung Lee)；陳婉綺(Wan-Ci Chen)

信用風險 ； KMV模型 ； TCRI ； 系統風險 ； Credit risk ； KMV model ； TCRI ； Systematic risk

企業管理學報

111期（2016 / 12 / 01）

99 - 118

繁體中文

由於現今金融體系環環相扣，公司違約極可能引發大規模的經濟動盪。本研究以2005-2012 年台灣上市公司為研究對象，探討違約風險與系統風險之關聯性。我們採用KMV 違約距離和TCRI 評分為違約風險之代理變數，並將樣本區分為兩類：電子產業和非電子產業、傳統產業和非傳統產業。實證結果顯示KMV 違約距離對系統風險具有負向影響，亦即其值越大該產業所面對之系統風險較低。然而TCRI 對於系統風險估計結果卻也顯著為負，亦即並非評等等級越差則面對之系統風險越高，推論原因為TCRI 評等分數將業績動態、產業前景、人為主觀判斷等資訊納入考量，導致不符合預期結果。此外，總體經濟因子，如國民生產毛額，亦會影響產業面對之系統風險。

Because financial systems are closely related, the default or bankruptcy of a company is extremely likely to induce economic turmoil to a great degree. This study uses the listed companies in Taiwan to investigate the relation between default risk and systematic risk. The sample period covers 2005 to 2012. We adopted the distance-to-default of KMV model, and the reduced-form model of Taiwan Corporate Credit Risk Index (TCRI) as the proxy variables for credit risk. We divided samples into electronics or non-electronics industries, and traditional or non-traditional industries, respectively, to investigate the influence of corporate default risk on systematic risk. The empirical results indicated that when the default risk is measured from KMV model, it had negative influence on the systematic risk. However, the TCRI-based default risk also had significant negative effects on the systematic risk. The reason behind the result may come from the compositions of TCRI, which include firms' operating trends, industry prospects, and human subjective judgments, etc. Furthermore, macroeconomic factors, such as gross national product (GNP), also have effects on the systematic risk.

1. 周百隆、郭和益(2007)。財務風險評估與異常報酬-中國上市公司之實證研究。企業管理學報，69，1-38。
   連結：
2. 陳信憲、呂羽茜(2010)。財務危機模型之規模、淨值市價比及動能與報酬之關聯。企業管理學報，84，107-139。
   連結：
3. 黃柏農(2009)。台灣股票市場之動態系統風險研究。經濟研究，45(2)，237-272。
   連結：
4. 黃健銘、蘇欣玫、李彥賢(2009)。企業內部監督與信用風險之關聯性研究。企業管理學報，83，1-32。
   連結：
5. Buhler, W., & Prokopczuk, M. (2010). Systemic risk: is the banking sector special?. SSRN Working Paper. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1612683
6. Jeffrey, R. B. (1999). Using marketing data to value credit risk instruments [Z]. Moodys KMV Corporation, 9.
7. Bohn, J. R. (1999). Using marketing data to value credit risk instruments, KMV corporation, 27-Sept.
8. KMV Corporation (1995). Introducing Credit Monitor, Version 4. KMV Corporation: San Francisco.
9. Abell, J. D.,Krueger, T. M.(1989).Macroeconomic influences on beta.Journal of Economics and Business,41(2),185-193.
10. Altman, E. I.(1968).Financial ratios, discriminant analysis and the prediction of corporate bankruptcy.Journal of Finance,23(4),589-609.
11. Asquith, P.,Gertner, R.,Sharfstein, D.(1994).Anatomy of financial distress: an examination of junk-bond issuers.Quarterly Journal of Economics,109,625-658.
12. Bartholomew, P. F.,Whalen, G.(1995).Fundamentals of systemic risk.Research in Financial Services and Public Policy,7
13. Bijlsma, M.,Muns, S.(2011).Netherlands Bureau for Economic Policy Analysis CPB Discussion PaperNetherlands Bureau for Economic Policy Analysis CPB Discussion Paper,未出版
14. Black, F.,Cox, J. C.(1976).Valuing corporate securities: some effects of bond indenture provisions.Journal of Finance,31(2),351-367.
15. Black, F.,Scholes, M.(1973).The pricing of options and corporate liabilities.Journal of Political Economy,81(3),637-654.
16. Campbell, J. Y.,Hilscher, J.,Szilagyi, J.(2008).In search of distress risk.Journal of Finance,63(6),2899-2939.
17. Collin-Dufresne, P.,Goldstein, R. S.(2001).Do credit spreads reflect stationary leverage ratios?.Journal of Finance,56(5),1929-1957.
18. Denis, D. J.,Denis, D. K.(1995).Causes of financial distress following leveraged recapitalizations.Journal of Financial Economics,37(2),129-157.
19. Dichev, I.(1998).Is the risk of bankruptcy a systematic risk?.Journal of Finance,53(3),1141-1148.
20. Dichev, I. D.,Piotroski, J. D.(2001).The long-run stock returns following bond ratings changes.Journal of Finance,56(1),173-204.
21. Ericsson, J.,Reneby, J.(1998).A framework for valuing corporate securities.Applied Mathematical Finance,5,143-163.
22. Fiordelisi, F.,Marqués-Ibañez, D.(2013).Is bank default risk systematic?.Journal of Banking and Finance,37(6),2000-2010.
23. Gangemi, M. A. M.,Brooks, R. D.,Faff, R. W.(2000).Modeling Australia's country risk: A country beta approach.Journal of Economics and Business,52(3),259-276.
24. Giffin, H. F.,Dugan, M. T.(2003).Systematic risk and revenue volatility.Journal of Financial Research,26(2),179-189.
25. Griffin, J. M.,Lemmon, M. L.(2002).Book-to-market equity, distress risk, and stock returns.Journal of Finance,57(5),2317-2336.
26. Hand, J.,Holthausen, R. W.,Leftwich, R.W.(1992).The effect of bond rating agency announcements on bond and stock prices.Journal of Finance,47(2),733-752.
27. Holthausen, R. W.,Leftwich, R. W.(1986).The effect of bond rating changes on common stock prices.Journal of Financial Economics,17(1),57-89.
28. Jarrow, R. A.,Lando, D.,Turnbull, S.M.(1997).A Markov model for the term structure of credit risk spreads.Review of Financial Studies,10,481-523.
29. Jarrow, R. A.,Turnbull, S. M.(1995).Pricing derivatives on financial securities subject to credit risk.Journal of Finance,50,53-86.
30. Kijima, M.,Komoribayashi, K.(1998).A Markov chain model for valuing credit risk derivatives.Journal of Derivatives,6(1),97-108.
31. Lang, L. H. P.,Stulz, R. M.(1992).Contagion and competitive intra-industry effects of bankruptcy announcements: an empirical analysis.Journal of Financial Economics,32,45-60.
32. Leland, H.,Toft, K. B.(1996).Optimal capital structure, endogenous bankruptcy, and the term structure of credit spreads.Journal of Finance,51(3),987-1019.
33. Lintner, J.(1965).The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets.Review of Economics and Statistics,47,13-37.
34. Longstaff, F. A.,Schwartz, E. S.(1995).A simple approach to valuing risky fixed and floating rate debt.Journal of Finance,50(3),789-819.
35. Merton, R. C.(1974).On the pricing of corporate debt: The risk structure of interest rates.Journal of Finance,29(2),449-470.
36. Mishkin, F. S.(1995).Financial markets, institutions, and money.New York:Harper Collins College Publishers.
37. Ohlson, J.(1980).Financial ratios and the probabilistic prediction of bankruptcy.Journal of Accounting Research,18,109-131.
38. Opler, T. C.,Titman, S.(1994).Financial distress and corporate performance.The Journal of Finance,49,1015-1040.
39. Patel, K.,Pereira, R.(2007).Expected default probabilities in structural models: Empirical evidence.Journal of Real Estate Finance and Economic,34(1),107-133.
40. Patel, K.,Vlamis, P.(2006).An empirical estimation of default risk of the UK real estate companies.Journal of Real Estate Finance and Economics,32(1),21-40.
41. Sharpe, W. F.(1964).Capital asset prices: A theory of market equilibrium under conditions of risk.The Journal of Finance,19(3),425-442.
42. Vassalou, M.,Xing, Y.(2004).Default risk in equity returns.The Journal of Finance,59,831-868.
43. 丁東陽、周麗莉(2011)。信用風險轉移對金融系統風險影響的實證研究。南方金融，2011(9)
44. 邱垂昌(2001)。博士論文(博士論文)。政治大學會計學系。
45. 葉仕國、張庭樹(2005)。台灣地區上市櫃公司違約機率之衡量與調整。金融風險管理季刊，1(4)，1-17。
46. 鍾經樊(2011)。涵蓋信用風險、銀行間傳染風險、與流動性風險的台灣金融系統風險量化模型。中央銀行季刊，33(2)，13-40。
47. 蘇敏賢、林修葳(2006)。Merton 模型預測違約之使用限制探索。金融風險管理季刊，2(3)，57-65。