{"id":11250,"date":"2020-01-01T09:30:00","date_gmt":"2020-01-01T01:30:00","guid":{"rendered":"https:\/\/www.tejwin.com\/?post_type=news&#038;p=11250"},"modified":"2024-09-02T16:41:26","modified_gmt":"2024-09-02T08:41:26","slug":"credit-risk-market-model-crmm","status":"publish","type":"news","link":"https:\/\/www.tejwin.com\/en\/news\/credit-risk-market-model-crmm\/","title":{"rendered":"Credit Risk Market Model (CRMM)"},"content":{"rendered":"\n<figure class=\"wp-block-image size-large\"><img fetchpriority=\"high\" decoding=\"async\" width=\"1024\" height=\"576\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/\/5-1-1024x576.jpg\" alt=\"CRMM\" class=\"wp-image-11259\" srcset=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/5-1-1024x576.jpg 1024w, https:\/\/www.tejwin.com\/wp-content\/uploads\/5-1-300x169.jpg 300w, https:\/\/www.tejwin.com\/wp-content\/uploads\/5-1-150x84.jpg 150w, https:\/\/www.tejwin.com\/wp-content\/uploads\/5-1-768x432.jpg 768w, https:\/\/www.tejwin.com\/wp-content\/uploads\/5-1-1536x864.jpg 1536w, https:\/\/www.tejwin.com\/wp-content\/uploads\/5-1.jpg 1920w\" sizes=\"(max-width: 1024px) 100vw, 1024px\" \/><\/figure>\n\n\n\n<p><\/p>\n\n\n\n<p>Adopting&nbsp;the concept of Real Options of&nbsp;Merton Model (1974) \u2192 Uses daily stock prices to predict a company&#8217;s credit risk. After the calibration by TEJ for Taiwan&#8217;s market, the predictive ability of CRMM significantly improves and is suitable for Taiwan&#8217;s booming stock market and underdeveloped bond market. It is combined with TEJ&#8217;s financial database and is tailored for daily risk monitoring.<\/p>\n\n\n\n<div id=\"ez-toc-container\" class=\"ez-toc-v2_0_81 counter-hierarchy ez-toc-counter ez-toc-grey ez-toc-container-direction\">\n<p class=\"ez-toc-title\" style=\"cursor:inherit\">Table of Contents<\/p>\n<label for=\"ez-toc-cssicon-toggle-item-69e0daba72ccf\" class=\"ez-toc-cssicon-toggle-label\"><span class=\"ez-toc-cssicon\"><span class=\"eztoc-hide\" style=\"display:none;\">Toggle<\/span><span class=\"ez-toc-icon-toggle-span\"><svg style=\"fill: #999;color:#999\" xmlns=\"http:\/\/www.w3.org\/2000\/svg\" class=\"list-377408\" width=\"20px\" height=\"20px\" viewBox=\"0 0 24 24\" fill=\"none\"><path d=\"M6 6H4v2h2V6zm14 0H8v2h12V6zM4 11h2v2H4v-2zm16 0H8v2h12v-2zM4 16h2v2H4v-2zm16 0H8v2h12v-2z\" fill=\"currentColor\"><\/path><\/svg><svg style=\"fill: #999;color:#999\" class=\"arrow-unsorted-368013\" xmlns=\"http:\/\/www.w3.org\/2000\/svg\" width=\"10px\" height=\"10px\" viewBox=\"0 0 24 24\" version=\"1.2\" baseProfile=\"tiny\"><path d=\"M18.2 9.3l-6.2-6.3-6.2 6.3c-.2.2-.3.4-.3.7s.1.5.3.7c.2.2.4.3.7.3h11c.3 0 .5-.1.7-.3.2-.2.3-.5.3-.7s-.1-.5-.3-.7zM5.8 14.7l6.2 6.3 6.2-6.3c.2-.2.3-.5.3-.7s-.1-.5-.3-.7c-.2-.2-.4-.3-.7-.3h-11c-.3 0-.5.1-.7.3-.2.2-.3.5-.3.7s.1.5.3.7z\"\/><\/svg><\/span><\/span><\/label><input type=\"checkbox\"  id=\"ez-toc-cssicon-toggle-item-69e0daba72ccf\"  aria-label=\"Toggle\" \/><nav><ul class='ez-toc-list ez-toc-list-level-1 ' ><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-1\" href=\"https:\/\/www.tejwin.com\/en\/news\/credit-risk-market-model-crmm\/#%E2%9C%A8TEJ_CRMM_Highlights\" >\u2728TEJ CRMM Highlights<\/a><ul class='ez-toc-list-level-3' ><li class='ez-toc-heading-level-3'><a class=\"ez-toc-link ez-toc-heading-2\" href=\"https:\/\/www.tejwin.com\/en\/news\/credit-risk-market-model-crmm\/#%E2%94%83Key_Benefit\" >\u2503Key Benefit<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-3'><a class=\"ez-toc-link ez-toc-heading-3\" href=\"https:\/\/www.tejwin.com\/en\/news\/credit-risk-market-model-crmm\/#%E2%94%83Key_Advantages\" >\u2503Key Advantages<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-3'><a class=\"ez-toc-link ez-toc-heading-4\" href=\"https:\/\/www.tejwin.com\/en\/news\/credit-risk-market-model-crmm\/#%E2%94%83Key_Features\" >\u2503Key Features<\/a><\/li><\/ul><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-5\" href=\"https:\/\/www.tejwin.com\/en\/news\/credit-risk-market-model-crmm\/#CRMM_Modeling_Procedure\" >CRMM\u00a0Modeling Procedure<\/a><ul class='ez-toc-list-level-3' ><li class='ez-toc-heading-level-3'><a class=\"ez-toc-link ez-toc-heading-6\" href=\"https:\/\/www.tejwin.com\/en\/news\/credit-risk-market-model-crmm\/#Excellent_Prediction_and_Discriminatory_Power\" >Excellent Prediction and Discriminatory Power<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-3'><a class=\"ez-toc-link ez-toc-heading-7\" href=\"https:\/\/www.tejwin.com\/en\/news\/credit-risk-market-model-crmm\/#Industry_Relative_Risk\" >Industry Relative Risk<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-3'><a class=\"ez-toc-link ez-toc-heading-8\" href=\"https:\/\/www.tejwin.com\/en\/news\/credit-risk-market-model-crmm\/#Group_Risk_Monitoring\" >Group Risk Monitoring<\/a><\/li><\/ul><\/li><\/ul><\/nav><\/div>\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"%E2%9C%A8TEJ_CRMM_Highlights\"><\/span>\u2728TEJ CRMM Highlights<span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong><mark style=\"background-color:rgba(0, 0, 0, 0);color:#d35151\" class=\"has-inline-color\">92%<\/mark><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\"> <\/mark><\/strong>High ability to distinguish (ROC)<\/li>\n\n\n\n<li><mark style=\"background-color:rgba(0, 0, 0, 0);color:#d35151\" class=\"has-inline-color\"><strong>ALL Real-time<\/strong> <\/mark>monitoring of risk on trading days<\/li>\n\n\n\n<li><strong><mark style=\"background-color:rgba(0, 0, 0, 0);color:#d35151\" class=\"has-inline-color\">BEST <\/mark><\/strong>Ability to predict differences<\/li>\n<\/ul>\n\n\n\n<h3 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"%E2%94%83Key_Benefit\"><\/span><strong><mark style=\"background-color:rgba(0, 0, 0, 0);color:#d35151\" class=\"has-inline-color\">\u2503<\/mark><\/strong>Key Benefit<span class=\"ez-toc-section-end\"><\/span><\/h3>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong><mark style=\"background-color:rgba(0, 0, 0, 0);color:#d35151\" class=\"has-inline-color\">Monitoring\u00a0risks each day.\u00a0\u00a0<\/mark><\/strong><\/li>\n<\/ul>\n\n\n\n<h3 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"%E2%94%83Key_Advantages\"><\/span><strong><mark style=\"background-color:rgba(0, 0, 0, 0);color:#d35151\" class=\"has-inline-color\">\u2503<\/mark><\/strong>Key Advantages<span class=\"ez-toc-section-end\"><\/span><\/h3>\n\n\n\n<ul class=\"wp-block-list\">\n<li>Tested and adjusted by TEJ, the model is suitable for the Taiwan stock market and with high validity.<\/li>\n\n\n\n<li>&nbsp;Divided into<strong> 9 credit ratings<\/strong> that directly correspond to TCRI makes it easy to be interpreted.<\/li>\n\n\n\n<li><strong>\u00a0Combination with financial information <\/strong>from the TEJ database increases the understandability.<\/li>\n<\/ul>\n\n\n\n<h3 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"%E2%94%83Key_Features\"><\/span><strong><mark style=\"background-color:rgba(0, 0, 0, 0);color:#d35151\" class=\"has-inline-color\">\u2503<\/mark><\/strong>Key Features<span class=\"ez-toc-section-end\"><\/span><\/h3>\n\n\n\n<ul class=\"wp-block-list\">\n<li>Better warning ability in Taiwan&nbsp;market&nbsp;than other well-known models (e.g., Z-Score).<\/li>\n\n\n\n<li>Time-tested&nbsp;theoretical foundation \u2013 Merton Model.<\/li>\n\n\n\n<li>Uses of stock price and&nbsp;contents such as&nbsp;forward-looking expectations.<\/li>\n\n\n\n<li>Daily monitoring of risks&nbsp;which avoids limitations of the window period of financial statements.&nbsp;&nbsp;<\/li>\n<\/ul>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"CRMM_Modeling_Procedure\"><\/span>CRMM\u00a0Modeling Procedure<span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<figure class=\"wp-block-image is-resized\"><img decoding=\"async\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/CRMM-1.jpg\" alt=\"CRMM\" style=\"width:785px;height:auto\"\/><\/figure>\n\n\n\n<div style=\"height:21px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<h3 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Excellent_Prediction_and_Discriminatory_Power\"><\/span>Excellent Prediction and Discriminatory Power<span class=\"ez-toc-section-end\"><\/span><\/h3>\n\n\n\n<p>The shorter the final level of the TMR model, the stronger the ability to correctly identify high-risk companies. In addition, using the CRMM model, regardless of the level of indicators in the short, medium, and long-term, the predictive discriminatory ability is much higher than that of the well-known foreign structural model by about 13%.<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Industry_Relative_Risk\"><\/span>Industry Relative Risk<span class=\"ez-toc-section-end\"><\/span><\/h3>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/CRMM-2.jpg\" alt=\"CRMM\"\/><\/figure>\n\n\n\n<h3 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Group_Risk_Monitoring\"><\/span>Group Risk Monitoring<span class=\"ez-toc-section-end\"><\/span><\/h3>\n\n\n\n<p>Monitoring\u00a0CRMM information on affiliated enterprises of a group\u00a0and\u00a0the latest changes in credit risk of each group.<\/p>\n\n\n\n<figure class=\"wp-block-table caption-align-center\"><table><tbody><tr><td><img decoding=\"async\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/N2jtfAdsSsmcNfwNCLLR7xLfNNJ78wvn7cSZ7wjW.png\" style=\"width: 100px;\"><\/td><td>Major Alerts <\/td><td>CRMM Information (DD, TCRITM, TMR, Rating Adjustments), Market Trading Information, Significant Transaction Alerts, Risk Levels<\/td><\/tr><tr><td><img decoding=\"async\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/riufQWrUZjudtfzbPlbEgv7YUHCfuQXTnrSvOhfD.png\" width=\"42\" height=\"42\"><\/td><td>Stock Price Alerts<\/td><td>Capital Flow Information, Unusual Activity Alerts<\/td><\/tr><tr><td><img decoding=\"async\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/osj12jFgpLydGqM2BzPNySiRxgEbR4chL3WA0Ll8.png\" width=\"43\" height=\"41\"><\/td><td>Financial Alerts<\/td><td>Growth, Safety, Operational Efficiency Information, and Severe Deterioration Alerts<\/td><\/tr><tr><td><img loading=\"lazy\" decoding=\"async\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/yWHKsaiyMpeKBmXoBWP9iFIqA3wQUGjOgJkQNCpg.png\" width=\"44\" height=\"43\"><\/td><td>Board of Directors and Supervisors Alerts<\/td><td>Changes and Deterioration in Directors\u2019 and Supervisors\u2019 Shareholding and Pledging<\/td><\/tr><\/tbody><\/table><figcaption class=\"wp-element-caption\">Alerts Categories<\/figcaption><\/figure>\n\n\n\n<div style=\"height:25px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<div class=\"wp-block-buttons is-content-justification-center is-layout-flex wp-container-core-buttons-is-layout-a89b3969 wp-block-buttons-is-layout-flex\">\n<div class=\"wp-block-button has-custom-width wp-block-button__width-75 has-custom-font-size\" style=\"font-size:22px\"><a class=\"wp-block-button__link has-background wp-element-button\" style=\"border-radius:15px;background:linear-gradient(135deg,rgb(252,164,0) 0%,rgb(233,57,13) 100%)\"><strong>Contact us and get the Model to support you Monitor Real-time Market Credit Risk<\/strong>!<\/a><\/div>\n<\/div>\n\n\n\n<div style=\"height:25px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n","protected":false},"excerpt":{"rendered":"<p>Adopting&nbsp;the concept of Real Options of&nbsp;Merton Model (1974) \u2192 Uses daily stock prices to predict a company&#8217;s credit risk. After the calibration by TEJ for Taiwan&#8217;s market, the predictive ability of CRMM significantly improves and is suitable for Taiwan&#8217;s booming stock market and underdeveloped bond market. It is combined with TEJ&#8217;s financial database and is [&hellip;]<\/p>\n","protected":false},"featured_media":11259,"parent":0,"menu_order":0,"template":"","tags":[2916,2348],"news-category":[764],"class_list":["post-11250","news","type-news","status-publish","has-post-thumbnail","hentry","tag-credit-risk","tag-crmm","news-category-product-introduction-en"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/news\/11250","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/news"}],"about":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/types\/news"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/media\/11259"}],"wp:attachment":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/media?parent=11250"}],"wp:term":[{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/tags?post=11250"},{"taxonomy":"news-category","embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/news-category?post=11250"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}