本研究以台灣地區上市及上櫃公司為研究對象，但排除金融行業，期間從民國86年至95年，正常公司樣本數為6125個，財務危機公司樣本數為299個；模型架構以選擇權評價模型及KMV公司的違約距離概念，分析違約距離在台灣市場的適用情形。
本研究發現：
一、理論違約距離較實證違約距離有較佳的預測正確率；而將違約點設為總負債或流動負債加二分之一長期負債或流動負債，其三者的正確性相近，而以流動負債加二分之一長期負債較具有較佳的預測效果。
二、將產業分類重新分為5個群組，結果發現除電子業及營建業群組，因違約樣本比例過低及過高，使重新分組後的檢定力曲線較差外，其餘三組均較未分組前的檢定力曲線佳。
三、在敏感度分析中，理論違約距離與股東權益價值變異數、負債及時間三個變數呈反方向變動，股東權益對理論違約距離的變化呈同方向變動，而無風險利率的變化呈不規則。股東權益價值變異數是變化最大的，換言之，公司降低股東權益價值變異數的效果，比降低公司負債或增加股東權益，所影響的理論違約距離大。

This study used listed companies on SEC and OTC in Taiwan but exclude financial-related companies. The samples of this study are from 1997 to 2006. The normal samples are 6125 and the distress samples are 299. This study applies option pricing model and the concept of distance to default (DD) from KMV Corporation. The goal of this study is to verify the DD suitable situation in Taiwan stock market.
The empirical result shows that:
(1)The theoretical DD is more predictive than empirical DD. The three default points have similar correctness in short-term liabilities, long-term liabilities, or short-term liabilities plus 1/2 long-term liabilities. But the short-term liabilities plus 1/2 long-term liabilities is more predictive.
(2)In the power curve, all samples have reorganized to 5 groups. The electronic group and construction group are inferior to the primitive curve because of the low or high distress percentage. The other power curves are superior to the primitive curve.
(3)Through sensitivity analysis, the theoretical DD has negative relationship with volatility, debt and time but has positive relationship with equity. That is uncertain the change of risk-free rate affects the theoretical DD. The volatility is the most important variable than the others. In the others word, reducing the volatility is farther than reducing the debt or inducing the equity in the theoretical DD.

中文部分
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14.劉怡芬，民95年，MKMV模型下最適違約點之定義－以台灣證券市場為例，東吳大學會計學系碩士論文
15.劉惠鈴，民92年，應用等比例危險模型於金融危機預警系統之研究，朝陽科技大學財務金融系碩士班碩士論文
16.蘇文娟，民89年，台灣上市企業財務危機預測之實證研究，國立東華大學國際經濟研究所碩士論文
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