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Is KMV Model Suited to Estimate the Credit Risk of Listed Companies in Taiwan?

机译：KMV模型是否适合估计台湾上市公司的信用风险？

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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 DUAN's (1994, 2000) MLE model, and the KMV model is the last.
机译：段等人。 （2004）证明段（1994,2000）提出的KMV模型和MELE方法的理论估计值和MLE方法在Merton（1974）提出的选项定价模型框架下类似。然而，在实践中拟合实现数据存在一些问题。本研究采用了KMV和MLE模型来估算Merton（1974）模型的参数和默认距离，并进一步比较了企业信用风险的预测准确性。陈等。 （2004）通过Altaian（1968）和Merton（1974）模型的Z-Score模型进行台湾企业破产预测准确性。他们得出结论，Z分数模型比Merton模型好。因此，本文选择了与KMV和MLE模型更准确的模型，以与判别分析进行比较。根据Logit模型和电力曲线，结果表明，预测台湾企业财务困境的最准确性是判别分析，下一步是段（1994,2000）MLE模型，而KMV型号是最后一个。

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