近年來，企業財務危機頻傳，相關金融機構監理機制及信用風險等議題開始廣泛為投資人所重視，由Merton於1974年提出違約機率模型開始，產業與學術界無不爭先針對違約機率模型提出更完整的討論與模型，近十年來，對於違約相關的議題也開始為人所矚目，1995年Lucas首先提出違約相關的議題之後，學者便紛紛展開違約相關模型研究。然而，違約相關模型多半複雜且具實際運用上的困難，故本研究將違約相關事件簡化為兩兩公司的情況，以2001年Zhou所提出的模型為基礎。

　　為了消除公司規模的影響，本研究遵循2002年Lopez的實証研究將公司依總資產分為三類，再依兩公司間產業的位置分為同業競爭者、上下游廠商與同一集團的情況來進行違約相關的實証研究。實證結果發現，整體而言Zhou模型對於台灣資本市場確實具有違約相關的預測能力，能反應兩家公司間可能的違約相關事件。

　　Recently, many companies face financial distress crisis, and therefore, investors　begin to focus on regulations of financial　institutions and crdit risk issues. Merton　(1974) first proposed the model of default probability and from then on studies of default probability have grown tremendously. Besides, the issues of default correlation have also been main concerns of invertors during the last decades. However, the models of default correlation are often complicated and difficult to use in practice. As a result, in this thesis we simply disscuss the default correlation between two companies and our model is based on the paper ”An Analysis of Default Correlations and Multiple Defaults” proposed by Zhou (2001).

　　In order to eliminate the impact of firm size, our study uses Lopez’s (2002) concept to classify total assets into three categories. In each category, we study the default correlation from three aspects : competitors in the same industry, firms in the supplydemand relation, and firms in the same conglomerate. Our results show that Zhou’s model has good prediction on default correlation of Taiwan market generally.

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