利用PFM衡量我國未上市保險公司之違約風險

Abstract

透過KMV公司用來衡量公開發行公司違約風險之Private Firm Model (PFM)，衡量台灣公開發行的產壽險保險公司之違約距離，藉由違約距離與違約機率之關係，以得知我國未上市產壽險公司違約風險之大小。估計資產市值時，本文以稅前息前折耗前淨利(EBITDA)前三年、前四年、前五年的平均，期望解決公開發行公司所對應出資產市值為負的情況，但結果不顯著。估計資產報酬標準差時，對觀察值公司規模大小進行群組區分。壽險公司分組臨界點11.25，產險公司分組臨界點10.4，小規模群組呈現顯著。\n由於我國上市保險公司家數有限，使得未上市保險公司之資產市值及資產報酬標準差必須以上市保險公司之迴歸式來估計，但少數幾家未上市保險公司估計出來之結果並不合理。並且都在往後的一年或兩年內即退出市場，或者這些少數公司，在市場的認知下原本就是具有財務問題之公司，故PFM可以適用於我們產壽險公司。

This paper mainly discusses the listed companies’ default risks by KMV’s Private Firm model (PMF) and focuses on evaluating Taiwan’s insurance companies’ distance-to-default (DD). By comparing DD with respective historical default probability, we can obtain the magnitude of default risk of each listed companies. In estimating market asset value, we utilize the average EBITDA of 3-year-ago, 4-year-ago and 5-year-ago data as the proxy to resolve the probable minus-asset-value phenomenon, however the result is insignificant. Pertaining to forecasting asset variance, we categorize the studied companies by its respective capitalization.\n11.25 is the decision point for life insurance companies and 10.4 is for Property & Casualty companies. Among the researched objectives, we find that small category displays significantly.\nBecause of insufficient data from publicly traded insurers, while conducting asset value and asset variance by implementing regression methodology, our conclusion indicates acceptable only with few unsatisfactory exceptions. We successfully predict those distressed insurers stepped out the market in the following years. Hereafter, we assert that the PFM model is suitable for both life and P&C companies.