無股價企業信用風險模式之建立：Merton模型與Ohlson模型之結合

Credit Risk Model Establishment for Private Firms: The Integration of Merton Model and Ohlson Model

有鑑於無股價企業之違約預警對銀行及債權人的重要性，本文結合Merton （1974） 之結構式選擇權評價模型，與Ohlson （1995） 的股權理論價值模型，提出Merton－Ohlson模型，據以評估無股價企業之信用風險。實證結果顯示，相較於傳統Merton利用市場資訊所估算之結構式模型，以及KMV公司所發展的無股價公司信用風險衡量模型（Private Firm Model, PFM），Merton－Ohlson模型之違約預警能力與預測正確率均有不錯的表現。因此本文認為可以採用Merton－Ohlson模型於無股價企業信用風險量化指標之建立，並在未來進一步將此分析模式應用於中小企業信用風險量化之評估。

The default prediction of private firms for bankers and debtors is quite important. In this study, the integration of the Merton’s (1974) structural model and Ohlson’s (1995) equity valuation model are adopted to develop the Merton-Ohlson model to evaluate the credit risks of private firms. After compared with both of the traditional Merton’s structural model by using market data and the Private Firm Model (PFM developed by KMV Company), the ability of default prediction and the prediction accuracy of the Merton-Ohlson model show better empirical results. We conclude that the Merton-Ohlson model will be a valuable tool in the measurements of credit risks for private firms. The model can be applied further in credit risk evaluation of other small and median-sized businesses.