隨著國人對紅酒的品飲需求的增加，大街小巷林立的酒鋪也增加許多，從進口商的角度而言，進口商要用甚麼樣的方式才可以讓自己的酒銷售的好呢？如何才可以在這酒海中殺出重圍呢？要怎樣才可以讓消費者青睞呢？要進什麼地方的酒才有競爭力？要進什麼樣口味的酒呢？ 目前國內對於葡萄酒相關方面的研究並不多，針對一個「贏」的策略是需要比較全面性的思考與架構，這也就是本研究所想要達到的目的。本研究的目的即在探討進口商是否能在一開始就可以做出正確的進口策略的選擇，以達到事倍功半的效果；當然這其中就包括了目標市場、產品、通路、 行銷方式以及價格的選擇與制定。 本文想探討的是小型或初進入台灣市場的葡萄酒專門進口商，希望從特定的目標市場客群來進行分析，從而找出其中的基本要素， 提供進口商在做進口策略規劃時有更明確的思考模式與方向。因此，本研究之問題可以歸納為：紅酒進口商之營運策略(包含進口國與進口酒品的選擇、定價、 推廣以及通路等相關策略)為何？ 本研究為探討性個案研究，所採取的研究架構是從進口的環節開始，探討在現有市場環境下，一個專業葡萄酒進口商或是初進入市場的小型貿易商要如何進入市場，其進入市場之進口策略應該如何選擇，從何處開始會較有勝算，藉由研究架構來探討進入之規則。研究方法乃採用文獻探討與個案訪談，試圖厘清其中成功立足於市場之重要原理原則。 從進口商的資源開始，逐步探討其進口策略的各個重要面向，檢視其行銷組合與策略面的契合度，最後再確認其績效與策略面及行銷組合的結果是否與原定目標相符；希望能在這樣的研究架構下找出各不同類型進口商採用的策略與搭配的行銷組合，期能讓市場新進者有所參考。 本研究乃以個案研究(Case Study)為主要的研究方式。研究對象為本國內的 專業葡萄酒進口商，藉由不同型態的廠商來比較分析。因此，選擇廠商的標準為：(a)業界已有知名度，(b)進口並販賣多種葡萄酒，(c)有直營的店頭或門市，(d)有配合訪談之意願，(e)有網路推廣之經驗。 本研究發現作為一個小型的初階紅酒進口商之營運策略有幾個基本要件 ： 1.專業知識的必要性高。 2.與國外溝通語言能力，英文是基本必要條件，若能有生產國當地語言幫忙如法文、 西班牙文、葡文、德文則是錦上添花。 3.資金是最重要的。 4.除以上三點外，業內經驗是加分但非必要性，擁有客群是加分會讓初期營運較快速順利，產品的品質則是基本必要條件無庸贅述，若品質不佳反而會遭致麻煩。 5.進口國與進口對象的選擇與掌握是一個關鍵因子。 6.目標市場的準確性，要就自己所處的環境先分析優劣勢，再來做市場的區隔而後訂出目標市場並定位之。 7.行銷組合(產品、價格、通路、推廣)是要互相搭配的，要看自己手上有甚麼市場需求來建立組合，彼此之間有高度的關聯性，不可以多頭馬車，信手拈來。 8.客戶關係的維護是很重要的。 作為一個專業的紅酒進口商，不只是將酒進口到國內就算了事，進口的動作只是其中的一個環節，最重要是事前的規劃，也就是將前前後後營運的所有環節全部要連貫起來，如此在貨品進口以後才能順利銷售出去，達到營運獲利的目標。 本節所提之八點研究結論或許不是創新的理論，但是經個案分析的結果， 很多的企業之所以成功或失敗，往往都不知道成在何處或敗在何方，在時勢環境變遷之後，還沿用過去的經驗從事，因此往往雷聲大雨點小，最後只有收場一途； 本研究之發現希望能為紅酒進口商在起始之初就設定了一個明確的方向與檢查表，讓許多的事情能事先就思考透徹，如此才易於邁向成功的坦途。 關鍵字：營運策略、資源基礎論、市場區隔、目標市場、產品定位、行銷組合、客戶關係管理、紅酒、進口商、進口國、進口對象。 / From the needs of wine increased in Taiwan area, many stores opened everywhere in the city, the importers wondered how they can sell better? What are the customers’ want? What wine has highly competition power? How is the market taste? There are less studies of wine in local, the purpose of this study is to find out a win-win strategy that can be told as thinking logics and frames. This study is trying to figure out can importers make the right import strategies from the initial stage, that means the choose and setting of Target Markets, Products, Promotions, Marketing Mix and Pricing. The questions of this study can be told as: Business Strategies of Red Wine Importers(including choose of import countries, wine varieties, pricing, promotion and place).This study analyze the specific target market of small sized firms or the beginners in Taiwan wine market, trying to get some key elements for the importers when doing import’s strategies; The case study start from the import stage, how a small sized firm or beginner wants to enter into local market, what is the enter strategies, from where will be the best, use the frame setting in Chapter Three to check the rules of enter, use the Literature brought in Chapter two and cases interview to find some important key factors. First, check the resources they have, check every faces of their import strategies, and see how the marketing mix fit or not, finally reconfirm is the performance meet with their strategies and marketing mix? Case study is the main research method of this study, interview objects set as local importers in Taiwan, selection criteria is :(a)named firms, (b)import many different wines, (c)has own shop, (d)willing to accept our interview, (e)experience of internet sell. We found eight points as a small sized Red Wine importers’ business strategies as following: 1.Professional knowledge is essential. 2.Language as communication tools, English is only the basic, others would be plus like French, Spanish, German, … 3.Funds are the most important. 4.Past experience in wine is good but not necessary, customer base will more helper in initial stage’s business running, products without quality will be a disaster. 5.Control and choose of import countries and objects is the key factor. 6.Accuracy of Target Market. 7.The smooth and correlation of the Marketing mix is high. 8.Customer Relationship Maintenance is important. To be a professional wine importers not only import the wine into the country but also needs the pre-planning when import, that means every step of business need highly coherent with，then the goods can be sold easily and smoothly to make money as purposed. This eight conclusions may not the first innovation, but it’s the analysis result of the real cases, most of the firms do not know the points where they success or failed, sometimes they use the old experiences as strategies and do not look at the now situation they faced, that’s why they lost the games; this study hope to use the eight basic elements that verified in the study to help the red wine importers from the very beginning, set them a right direction and a check list to help make things better. Key Words: business strategy, resource based view(RBV), market segmentation, target market, positioning, marketing mix, customer relationship management(CRM), red wine, importers, import country, import objective.

本文主要以時間序列為基礎，透過一般化自我相關條件異質變異模型、介入分析、誤差修正、多元轉換函數及組合預測等方法，來建立台灣加權股價指數的預測模型。 從預測精確度之結果顯示，多元轉換函數納入介入分析模型為單一預測模式的最佳預測模型，且其預測績效具有穩定性，而透過最小誤差迴歸組合預測模型可以再改善預測模型在MSPE、RMSPE、MAPE及Theil’s U等量的預測績效。 從多元轉換函數納入介入分析模型中發現，台灣加權股價指數會受到美國道瓊工業指數、台幣兌美元之匯率及消費者物價指數等經濟變數所影響。由於股票市場是重要景氣領先指標，因而當台灣或美國股票市場發生重大事件時，將會對台灣經濟發展產生衝擊，而從本文研究發現，政府可藉由短期政策的施行，產生另一股力量來平衡股市的波動，進而穩定台灣整體經濟發展。 / This research introduces GARCH, ECM, transfer function, and combined forecasting model to predict the changes of TAIEX, and to evaluate the forecasting performance of different models. The results show that the intervention analysis integrated into transfer function yields an accurate prediction model, and the forecasting performance is stable. According to the weighted average of forecasts by minimizing regression error, the resulting forecasting performance such as MSPE, RMSPE, MAPE and Theil’s U will be improved. The intervention analysis integrated into transfer function model shows that the TAIEX is affected by external factors, INDU, exchange rate, and consumer price index. The stock market is one of the major leading indictor, when the Taiwan or U.S. stock market had been impacted, and then Taiwan’s economic development will also be fluctuated. This paper shows that short-term implementation of policies could result in another force to balance the fluctuations in the stock market, and to stabilize the economic development in Taiwan.

本研究以修改傳統 模型為出發點，探討基金經理人所具備的動態行為特質。傳統模型重點主要放在經理人對於市場報酬率走勢的預期，並未考慮到其對市場未來波動性走勢的預期能力。因此本文認為有失偏頗。故研究方法即加入波動擇時能力特質進入模型，希望能強化傳統模型的擇時能力表現，以更完整地建立有關經理人擇時能力的資訊。 本研究採用三十支國內股票型共同基金為研究樣本。研究期間為2001//7/1~2005/6/30四年。利用日資料方法來補捉基金經理人每日動態特質，並且建立了隨機投資組合作為比較基準點，期望能更客觀的分析經理人是否具備優良從事交易策略的能力。 研究結果發現，研究樣本的基金經理人，以三因子或單因子模型分析，多數經理人具備波動擇時能力，但是報酬擇時能力並不顯著。這說明國內共同基金經理人在面對股市的未來報酬高度不確定性，會重視高波動所帶來的高風險。故會在未來走勢高波動時，適時的減少市場風險曝露及投資部位。 另外，研究結果也發現，當模型中異常報酬考慮到市場上波動時，基金經理人波動選股能力係數並不顯著，故無法說明其會隨著市場波動性改變，而運用選股能力強化績效，創造基金異常報酬。

本文使用具有事前訊息的領先指標與期間利差作為預測變數,根據不同利差與落後期選擇的 Probit 模型,利用遞迴的方式預測景氣轉折點發生機率,並進一步將個別預測結果進行組合,試圖找出能降低不確定性且優於個別預測結果的方法。實證結果發現,使用 Diebold and Mariano 檢定的預測包容法為其中最優的組合方法,無論是轉折點訊號或預測誤差都能優於半數以上的個別預測。此外,本文亦估計即期景氣轉折點的發生機率,根據模型的估計結果推斷,自 2012 年 2 月至 2015 年 3 月為止,景氣仍處於擴張階段。

本文旨在探討休閒興趣相似程度與夫妻間的依附類型配對組合兩者對婚姻滿意度之影響。測量工具上採用問卷調查法的方式進行，依附類型的分類部分，參考ECR量表（Experiences in Close Relationships），自編依附關係量表，以群集分析方式分類夫妻雙方各別的依附類型；休閒興趣部分則使用自編之休閒興趣調查表，量測受試者夫妻在休閒興趣的四大向度，個人/群體*靜態/動態上之有興趣之休閒活動數量；最後以關係評估量表（Relationship Assessment Scale，RAS）作為婚姻滿意度之測量工具。樣本部分，本研究以卡培爾國際有限公司之「為愛啟程」團隊網路交友配對計畫所蒐集之夫妻樣本資料做二手資料分析，採取系統觀點以201對(共402人)完整夫妻配對資料，進行研究。 　　研究經由結果得知，夫妻雙方之休閒興趣的相似程度、各自依附類型、依附類型配對組合皆能部分解釋丈夫、妻子及雙方平均婚姻滿意度部分變異，而丈夫婚姻滿意度之解釋力以休閒興趣相似程度為最高，夫妻皆不安全依附之配對組合為次之。妻子婚姻滿意度之解釋力以夫妻皆安全依附之配對組合為最高，休閒興趣相似程度為次之，夫妻間一方為安全一方為不安全依附之配對組合則為第三高。平均婚姻滿意度之解釋力以夫妻皆不安全依附之配對組合為最高，休閒興趣相似程度為次之。 / This study aims to explore the relationships of married couple’s similarity in leisure interest, matches of attachment styles and marital satisfaction. Based on the data of “Capire International Company “collected from 201 pairs of married couples, and reconstructed this study’s model. In the study, we used attachment stype scale to test married couple’s attachment style. Cluster analysis was also used to sort out each spouse’s attachment type. As for leisure interest, we used self-edited questionnaire to measure married couple’s four dimensions of leisure interested. Finally, the RAS (Relationship Assessment Scale) was used to measure couple’s marital satisfaction. The result of the research indicated that, no matter the similarity in leisure interest of married couple, husband or wife’s individual attachment type and married couple’s matches of attachment styles all can explain part of the variation of the husband, wife and the mean of both marital satisfactions. And the similarity in leisure interest has the highest prediction for husband's marital satisfaction, with both spouses’ attachment type as insecure lying second. As for the explanation power for the wife’s marital satisfaction, both spouses’ attachment type as secure ranked the highest, with similarity in leisure interest second and one spouse attachment type as secure and another as insecure ranked the third. Last of all, for mean martial satisfaction, both spouses’ attachment type as insecure has the highest prediction, with similarity in leisure interest ranked second.

行銷在過去只運用於企業部門，作為滿足顧客需求，提高利潤的手段。但現在即使是非營利組織都處於高度競爭的環境之中，甚至公部門也必須透過行銷來說服民眾相信他們的政策與服務，因此行銷的概念就漸漸的擴張到此類機構。台北市立動物園為台北市政府教育局所屬之社會教育機構，也是一非營利組織，其功能已從過去單純的休閒娛樂場所轉型為遊憩、教育、保育、研究四大功能並重的機構，因此如何運用行銷策略使動物園成為使遊客滿意的「遊憩」場所；如何運用行銷策略來達到「教育」大眾愛護動物、珍惜生命的目標；如何運用行銷策略來「保育」動物，為生物多樣性做出貢獻；以及如何運用行銷策略來展示其在動物「研究」上的努力，就變成一個重要的課題。本論文將從此四大功能出發，探討台北市立動物園運用什麼樣的行銷組合策略來達成這些功能，並做出建議以期對台北市立動物園有所貢獻。

隨著時間的發展，基金的種類與數量成倍數增長，導致投資人在挑選基金時，亦面臨了選擇股票時的窘境：投資標的數目過多、複雜度高，身陷其中，而不知如何挑選理想的投資組合。目前由於人們對於退休金的相關規劃愈益重視，遂有基金商品針對此概念來設計。 生命週期基金基本上符合這樣的概念，生命週期基金基本上是屬於一種組合型基金，但是並不一定要以組合型基金的型態來顯現，美國80只生命週期基金中將近半數為基金的基金。生命週期基金是為了滿足某個年份左右退休投資者的退休投資目標的基金，如FidelityFreedom系列、FrankRussell Life Points系列、T.Rowe PriceRetirement系列、Vanguard LifeStrategy系列等。例如FidelityFreedom2020是針對2020年左右退休的投資者設計的，為實現投資者退休的投資目標的基金，主要投資在Fidelity旗下股票型基金、債券型基金和貨幣市場基金等各類基金。我們便想要了解此種商品的投資型態下具有何種特色。 我們首先要探討基金在不同投資策略其表現如何，而我們衡量的方式---簡單的說是以是否能夠達到投資人的要求報酬率為基準，以投資報酬率來建構出年金終值，最後以各種投資策略所得到的最終價值之差距做為成本的衡量，之後我們則根據生命週期基金的樣態，自行設計出兩種投資模式同樣來探討不足要求資本的相關概念。 再來以投資聚集效果(pooling effect)為主題，因為在基金存在著不同風險容忍程度的投資人，所以我們希望探討在不同投資策略下所建構的效率前緣對於不同風險忍受程度的投資人是否具有超額報酬。 首先我們就兩種投資標的(股票、債劵)之投資報酬率變化以下列方式作設定---利用隨機模型(Stochastic Model)：並利用蒙地卡羅模擬的方式來建構投資標的之報酬率。 我們觀察不同的起始投資比重(股票資產權重考慮由0%~100%，間隔為1%，共101組；債券資產的權重則為1-股票資產權重，也就是100%~0%)，並以投資組合保險中三種常見的投資策略：買入持有(Buy & Hold；BH)、固定比例混合法(Constant Mixture；CM)及時間不變性投資組合保護(Time-invariant Portfolio Protection；TIPP)，作為投資策略。在完成對投資標的之報酬率變化及投資策略的設定後，就可以在三種投資策略及每個投資策略有101個起始權重下，得到303組不同的投資結果，如此我們就可以得到帳戶的最終價值，就可以針對是否符合投資者要求的報酬率做相關的研究。 同樣的我們可以就個別的投資策略建立個別的效率前緣。之後我們就不同風險容忍程度的投資大眾，以Harry M.Markowitz等人所提出的optimal frontier的概念加以設定風險點(risk point) ，各種不同風險程度的投資人即代表不同的風險點，如此我們便可以就不同的投資模型來探討基金的投資聚集效果(pooling effect) 。 最後我們想探討的部分則是希望讓投資大眾知道如果其處於何種經濟體之下，應該採用何種投資方式，或者是在投資人的不同要求之下，可以知道採取何種投資策略，以求學術上的操作可以應用到實務上，並求取更佳的效果。 / With the development of time, the kind and quantity of the fund become multiples to increase, cause investors to face the awkward situation while choosing the stock when they select funds: There is too much figure of the investment object marking investment complexity more diffcult , and does not know how to select ideal investment combination. Nowdays, people put emphasize on retirement plan more and more. so some mutual funds are designed for this concept. Lifecycle fund is identical to this concept .Lifecycle fund is a kind of Fund of Funds basically, but might not appear like the Fund of Funds , 80 Fund of Funds in U.S.A. nearly half appear like Fund of Funds . Lifecycle fund is for the fund of retired investors' retired investment needs which is different from age-changed , such as Fidelity Freedom series, Frank Russell Life Points series , T.Rowe Price Retirement series , Vanguard Life Strategy series ,etc.. For example Fidelity Freedom2020 is designed for pensioner's investor to retire about 2020 year, the fund that in order to realize the goal of investors when they retired, make an investment in many objectives, such as stock fund ,bond fund and money market fund ,etc. under command of Fidelity mainly. I want to know the characteristic of lifecycle fund and based on this concept to design mutual fund. I will discuss behavior of fund in different investment strategies, and the way which we measure ---It is to set the rate of returns by meeting investor's requirement as the datum, build and pay the end value of the annuity to construct by investing in the rate of returns, for the measurement of " bankrupt " with the disparity of the final value got of various kinds of investment strategies , later I designed two kinds of investment ways according to the concept of lifecycle fund and also discuss the concept of " bankrupt ". This research will also make emphasize on pooling effect , There are a lot of investors of different risk tolerance in the fund ,so I hope to discuss investor of different risk tolerance will have abcdrmal return under different efficiency frontier which are derived by different invest model and strategies. First, two kind investment target (stock, bond) Investment rate of returns by way of the following to settle ---Utilize Stochastic Mode: Wilkie investment model, Taiwan investment model and the rate of returns of the one that make use of simulation that build and construct investment terms. In each method, we will consider 101 different initial ratio of stock value and three different investment strategies: Buy & Hold(BH)、Constant Mixture(CM) and Time-invariant Portfolio Protection(TIPP).According to theses investment combination, I can construct different efficiency frontier under different investment models and strategies. Such final value of the account that we can receive so I can do relevant research to the rate of returns according with investor's request . Later, according to investor of different risk tolerance , set some risk point with the concept of optimal frontier published by Harry M.Markowitz, the investors of different risk degrees represent risk point, I can discuss pooling effect in fund under different investment model and strategies. Finally, the topic I want to discuss is let the investor know at which kind of economy , should adopt the investment strategies , or under investors' different requests, can know which kind of investment tactics are adopted , so that the operation on academy can be applied to the practice , and ask for better result.

投資組合保險的概念發源自1980年代，對於較保守或是對於股市未來走勢不清楚的投資人來說，是一種不錯的投資策略，既可以保障原本所投資的本金，亦可參與上方的獲利。投資組合保險策略所運用的範疇很廣，尤其適用於大筆資金之持有者，且只願意承受一定範圍的損失風險，如：退撫基金、保險基金或各類信託基金之基金經理人。 本研究以台灣50ETF(指數股票型基金)為研究對象，探討複製性賣權及固定比例投資組合保險等兩種資產配置策略，在不同市況下(2006年至2011年)之績效，並與買入持有策略做比較。其中，本文以GARCH波動度模型估計複製性賣權策略中之波動度；在CPPI策略中，由於考量到不同市場狀況下，投資人之風險偏好程度應會有所不同，風險乘數亦會有所改變，因此本文將風險乘數最適化，以改善傳統之固定風險乘數CPPI策略。 由本研究之實證結果可以得到以下結論： 1. 複製性賣權策略在空頭市場之績效會比買入持有策略及台灣50ETF好。然而，在大空頭時，由於股價急速下滑，導致資產配置來不及調整，而產生保險誤差。另外，複製性賣權在多頭市況下，較低的保本比例，會帶來較高之報酬。 2. CPPI策略在各種市況下，其績效大致都會優於買入持有策略，且完全沒有出現保險誤差，但只有在空頭走勢下，CPPI會打敗市場，原因在於CPPI發揮了保護下檔風險的功能，且說明了投資組合保險策略之目的並非超越市場報酬。 3. 將複製性賣權策略與CPPI策略相比時，從報酬率來看，空頭市場下CPPI的保護功能較複製性賣權強，而多頭或盤整市況下，並無一致的結果。從Sharpe ratio、長期相對平均成本、上方獲取率損失等績效指標，CPPI大致上都比複製性賣權好得多。

在因子模型下，損失分配函數的估算取決於混合型聯合違約分配。蒙地卡羅是一個經常使用的計算工具。然而，一般蒙地卡羅模擬是一個不具有效率的方法，特別是在稀有事件與複雜的債務違約模型的情形下，因此，找尋可以增進效率的方法變成了一件迫切的事。 對於這樣的問題，重點採樣法似乎是一個可以採用且吸引人的方法。透過改變抽樣的機率測度，重點採樣法使估計量變得更有效率，尤其是針對相對複雜的模型。因此，我們將應用重點採樣法來估計偏常態關聯結構模型的尾部機率。這篇論文包含兩個部分。Ⅰ：應用指數扭轉法---一個經常使用且為較佳的終點採樣技巧---於條件機率。然而，這樣的程序無法確保所得的估計量有足夠的變異縮減。此結果指出，對於因子在選擇重點採樣上，我們需要更進一步的考慮。Ⅱ：進一步應用重點採樣法於因子；在這樣的問題上，已經有相當多的方法在文獻中被提出。在這些文獻中，重點採樣的方法可大略區分成兩種策略。第一種策略主要在選擇一個最好的位移。最佳的位移值可透過操作不同的估計法來求得，這樣的策略出現在Glasserman等(1999)或Glasserman與Li (2005)。 第二種策略則如同在Capriotti (2008)中的一樣，則是考慮擁有許多參數的因子密度函數作為重點採樣的候選分配。透過解出非線性優化問題，就可確立一個未受限於位移的重點採樣分配。不過，這樣的方法在尋找最佳的參數當中，很容易引起另一個效率上的問題。為了要讓此法有效率，就必須在使用此法前，對參數的穩健估計上，投入更多的工作，這將造成問題更行複雜。 本文中，我們說明了另一種簡單且具有彈性的策略。這裡，我們所提的演算法不受限在如同Gaussian模型下決定最佳位移的作法，也不受限於因子分配函數參數的估計。透過Chiang, Yueh與Hsie (2007)文章中的主要概念，我們提供了重點採樣密度函數一個合理的推估並且找出了一個不同於使用隨機近似的演算法來加速模擬的進行。 最後，我們提供了一些單因子的理論的證明。對於多因子模型，我們也因此有了一個較有效率的估計演算法。我們利用一些數值結果來凸顯此法在效率上，是遠優於蒙地卡羅模擬。 / Under a factor model, computation of the loss density function relies on the estimates of some mixture of the joint default probability and joint survival probability. Monte Carlo simulation is among the most widely used computational tools in such estimation. Nevertheless, general Monte Carlo simulation is an ineffective simulation approach, in particular for rare event aspect and complex dependence between defaults of multiple obligors. So a method to increase efficiency of estimation is necessary. Importance sampling (IS) seems to be an attractive method to address this problem. Changing the measure of probabilities, IS makes an estimator to be efficient especially for complicated model. Therefore, we consider IS for estimation of tail probability of skew normal copula model. This paper consists of two parts. First, we apply exponential twist, a usual and better IS technique, to conditional probabilities and the factors. However, this procedure does not always guarantee enough variance reduction. Such result indicates the further consideration of choosing IS factor density. Faced with this problem, a variety of approaches has recently been proposed in the literature ( Capriotti 2008, Glasserman et al 1999, Glasserman and Li 2005). The better choices of IS density can be roughly classified into two kinds of strategies. The first strategy depends on choosing optimal shift. The optimal drift is decided by using different approximation methods. Such strategy is shown in Glasserman et al 1999, or Glasserman and Li 2005. The second strategy, as shown in Capriotti (2008), considers a family of factor probability densities which depend on a set of real parameters. By formulating in terms of a nonlinear optimization problem, IS density which is not limited the determination of drift is then determinate. The method that searches for the optimal parameters, however, incurs another efficiency problem. To keep the method efficient, particular care for robust parameters estimation needs to be taken in preliminary Monte Carlo simulation. This leads method to be more complicated. In this paper, we describe an alternative strategy that is straightforward and flexible enough to be applied in Monte Carlo setting. Indeed, our algorithm is not limited to the determination of optimal drift in Gaussian copula model, nor estimation of parameters of factor density. To exploit the similar concept developed for basket default swap valuation in Chiang, Yueh, and Hsie (2007), we provide a reasonable guess of the optimal sampling density and then establish a way different from stochastic approximation to speed up simulation. Finally, we provide theoretical support for single factor model and take this approach a step further to multifactor case. So we have a rough but fast approximation that execute entirely with Monte Carlo in general situation. We support our approach by some portfolio examples. Numerical results show that such algorithm is more efficient than general Monte Carlo simulation.

近年來，在中國大陸市場有大量公司進行掛牌上市的同時，也有越來越多的公司出現債務逾期甚至是違約的情況。考慮到目前中國經濟增速放緩，處在轉型發展的複雜階段，銀行信貸等資金供應鏈需要謹慎評估企業出現財務困境的風險。但是我們發現金融機構在平常管理信貸業務的時候會盲目地看重高額利潤的回報而忽略借款者潛在的財務危機，而且投資人在進行投資分析的時候往往也會忽略企業的財務狀況而使自己遭受損失，因此從企業的財務狀況入手對其進行財務困境機率的評估有非常重大的現實意義。 本文通過對企業財務指標進行相關分析以構建公司財務困境機率評估模型。本文選取了不良貸款率最高的製造業作為研究對象，將2015年滬深兩地的124家上市製造業公司的財務資料作為訓練樣本，將2014年120家上市公司的財務資料作為檢驗樣本，將交易所特別處理公司劃分為非正常組公司，其餘為正常組。本文通過篩選得出23個財務指標作為研究變數，引入了 Logistic 模型與 SVM 模型，針對單一模型的預測結果在準確率和穩定性方面不理想的問題引入了基於 Logistic 模型、SVM 模型的組合模型，並用檢驗樣本進行了四個模型的相關實證分析，比較了四個模型之間的準確度。 對四個模型進行實證分析的結果表明：Logistic模型穩健性好、可解釋性強、建模過程簡單易操作，但分類精度略低於 SVM 模型；SVM雖然分類精度高，但缺乏可解釋性和穩定性，且建模過程依賴專家知識和經驗；Logistic -SVM 組合模型則兼具其優點，預測精確度較單一模型均有提高，而且研究發現異態並行結構優於串型結構。通過本文建立的模型可以計算出企業的陷入財務困境的機率，有效評估企業的違約風險，進而為相關金融機構和投資者提供放款或投資的判斷依據。 / At present, more and more companies are listed in the Chinese mainland market. At the same time, more and more companies are frequently at risk of default and overdue. Given the slowdown in China's economic growth and the complex environment of transformation and development, the supply of funds such as bank loans and other capital needs to be cautious, debt default, loan overdue cases are still likely to occur one after another. However, we find that financial institutions blindly value the return of high profits while ignoring the potential financial crisis of borrowers in the normal management of credit business, it is of great significance to start with the financial status of a company to assess the probability of financial distress. This paper builds a company default probability assessment model by analyzing the financial indicators of enterprises. This paper selects the manufacturing industry with the highest NPL as the research object. Taking the financial data of 124 listed manufacturing companies in Shanghai and Shenzhen in 2015 as the training samples, using the financial data of 120 listed companies in 2014 as the test sample, Exchange special treatment companies divided into non-normal group companies, the rest for the normal group. According to the data of its 2015 financial indicators, 23 financial indicators were screened out as research variables, and a comprehensive analysis was carried out. The Logistic model and SVM model were introduced. Combined model was introduced based on the Logistic model and SVM model to solve the problem that the prediction accuracy and stability of the single model were not ideal,. Finally, empirical analysis of the four models is carried out using the sample data of listed companies in 2014, and the accuracy of the four models is compared. The results of empirical analysis of the four models show that Logistic regression model has no strict assumptions on the data, a better stability and interpretation, but the classification accuracy is slightly lower than the SVM model. The SVM model has higher classification accuracy, but the disadvantage is the lack of interpretability and stability, the modeling process depends on expert knowledge and experience. In order to balance the stability of Logistic model and the accuracy of SVM model, this paper introduces a combined model based on Logistic model and SVM model. The analysis shows that the prediction accuracy of combined model is higher than that of single model, the combination of Logistic regression model and SVM model based on Parallel structure has a higher prediction accuracy than Sequential structure. The model established in this paper can calculate the default probability of an enterprise, effectively assess companies’ risk of financial distress, and then provide the judgment basis for the relevant financial institutions and investors to lend or invest.