Small and Medium Enterprises (SMEs) in Taiwan play an important role in the economic system, but compared to other listed or larger companies, SMEs are more difficult in obtaining fund, and this is the reason why Small and Medium Enterprises Credit Guarantee Fund (SME Credit Guarantee Fund) sets up. The purpose of this study is to discuss the guaranteed risk of the SME Credit Guarantee Fund, including the estimate of the ex-ante probability of default and the hypothesis test of the ex-post recovery rate.
The sample data, which are divided into twenty three industries, are established for the estimation of the market value for all kinds of industries, using the Moody's KMV Private Firm Model as the basic theory to estimate the company¡¦s probability of default and revising the default point to fit the features among different economic periods in Taiwan. This research uses the Chi-square homogeneity test to test how characteristic variables of companies affect the recovery rate. The study finds that the default point of the original definition of KMV may underestimate SME¡¦s probability of default in Taiwan, and there is lower estimated probability of default at good times rather than that at bad times. The recovery rate shows a right-skewed distribution, and the results also indicate that the how many banks the companies transact with, whether the directors and supervisors of the companies are joint and several guarantee, how old the companies are and how long the responsible officers are in business, have significantly affected the recovery rate.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0624111-140318 |
| Date | 24 June 2011 |
| Creators | Ho, Jian-syun |
| Contributors | Hsiao-jung Chen, Kuang-erh Lai, Chau-jung Kuo, Chin-Ming Chen |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0624111-140318 |
| Rights | not_available, Copyright information available at source archive |
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