The Financial Distress Prediction Model of Listed Company in Taiwan U S U K Japan and China

[[abstract]]由於金融風暴的影響，各國政府及金融機構對風險控管更加的重視，使得金融機構開始檢視授信的過程和模型的適用性。為了加強違約預警的能力，針對信用風險的研究也越來越多。 本文比較調整前後Merton模型之預測效率，考量企業所潛在的信用風險來進行修正，透過特殊的轉換方式調整公司的資產價值。研究對象為台灣證交所、美國那斯達克證交所、英國倫敦證交所、日本東京證交所與中國上海證交所之所有上市櫃公司，期間為2001年至2008年來預測2002年至2009年違約機率。 研究發現，台灣及中國新興市場的財報資訊及股價資訊內涵較差，因此調整後Merton模型的預測效力較佳。而美國、英國及日本調整前後模型之預測效率沒有明顯差異，因此資本市場高度開發的美國、英國及日本適合以原始的Merton(1974)模型做違約預警的分析。[[abstract]]Due to the financial crisis government and financial institution take more seriously on risk management all over the world that financial institution starts to check the process of credit confirmation and the adoptability of model In order to prevent from violating the contract there are more and more researches which are focus on credit management This essay compares Merton model between unadjusted and adjusted accuracy and fixes it by potential credit risk of enterprise to adjust the value of the company All IPOs in Taiwan stock market、Nasdaq stock exchange、London stock exchange、Tokyo stock exchange and ShangHai stock exchange are the research subjects We use the period from 2001 to 2008 to forecast the probability of violation from 2002 to 2009 We discover that the qualities of public financial information in Taiwan and China are worse than other countries which result in the better forecasting of adjusted Merton model; however there is no significant difference in the United States United Kingdom and Japan Thus it is better to use original Merton model to do the analysis of preventing from violation the contract in the countries with mature capital marke