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研究生： 芭野蘭
Sanduijav, Bayasgalan
論文名稱： Comparisons among Credit Ratings for Public Companies in Mongolia
Comparisons among Credit Ratings for Public Companies in Mongolia
指導教授： 吳清在
Wu, TsingZai
學位類別： 碩士
Master
系所名稱： 管理學院 - 國際經營管理研究所碩士班
Institute of International Management (IIMBA--Master)
論文出版年： 2009
畢業學年度： 97
語文別： 英文
論文頁數： 68
外文關鍵詞： Credit rating, Probability of default, MM-score, Z-score, O-score, Updated Z-score, Updated O-score
相關次數： 點閱：61  下載：1 
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    • This study examines the best available proxy for probability of default assign credit rating for listed companies in Mongolia. In order to achieve the aim of this thesis, I analysis and incorporate two major frameworks for probability of default assessment which are Merton’s model and Accounting based measures (financial ratios, Z-score, O-score, updated Z-score, and updated O-score). The result after using Ordinary Least Squares and Logit analysis to define the best available proxy of probability default for credit rating shows that Z-score and MM-score are the best proxy for credit rating. Merton’s model gives an advantage to users because it does not require any statistical information of bankrupted company. Therefore I can straightforwardly employ and assign the credit rating of companies. Based on this condition, Merton’s model is more easily applicable in Mongolia.

    ACKNOWLEDGEMENTS I ABSTRACT II TABLE OF CONTENTS III LIST OF TABLES VI LIST OF FIGURES VII CHAPTER ONE INTRODUCTION 1 1.1 Research Background. 1 1.2 Research Motivation. 3 1.3 Research Objectives. 5 1.4 Research Procedure. 6 1.5 Research Structure. 7 CHAPTER TWO LITERATURE REVIEW 8 2.1 Credit Rating. 8 2.1.1 The Significant of Credit Rating. 9 2.1.2 Credit Rating Agencies. 9 2.2 Rankings. 11 2.3 Merton’s Model. 12 2.3.1 Assumptions. 15 2.3.2 The Option Theory. 15 2.3.3 Probability of Default. 18 2.3.4 Step by Step Calculation of the Probability of Default. 23 2.4 Accounting Based Measures. 27 2.4.1 Altman’s Z-Score. 27 2.4.2 Ohlson’s O-Score. 28 2.4.3 Z- and O-Scores with Updated Coefficients. 29 2.5 Research Questions. 30 CHAPTER THREE RESEARCH DESIGN AND METHODOLOGY 31 3.1 Data Source and Sampling Design. 31 3.2 Computing the Default Probabilities. 31 3.3 Methodology. 32 3.3.1 Ordinary Least Squares. 33 3.3.2 Ordered Logit. 34 3.4 Comparing all Indicators of Credit Risk. 35 CHAPTER FOUR RESEARCH RESULTS 38 4.1 The Company Selection Process. 38 4.2 Accounting Based Measures. 39 4.3. Calculate the Default Probability Merton’s Model. 39 4.4. Regressions. 40 4.4.1 Results on Bankruptcy Companies. 40 4.4.2 Results on non-Bankruptcy Companies. 42 4.5 Predictions. 43 CHAPTER FIVE CONCLUSION AND SUGGESTIONS 45 5.1 Conclusion. 45 5.2 Limitations. 46 5.3 Suggestion for Future Research. 47 REFERENCES 48 APPENDICES 52 Appendix 1: Correlations Between Variables 52 Appendix 2: Ito's Lemma 54 Appendix 3: Development of Share Prices for the NIC Company Inc., in 2004-2008 56 Appendix 4: Prediction Logit Results on non Bankruptcy Companies. 57 Appendix 5: Prediction OLS Results on non Bankruptcy Companies. 58

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