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  • 學位論文

信用卡風暴後對金融業信用卡違約風險因素之探討

The Study of the Default Risk Factors of Credit Card in Financial Industry after Credit Card Storm

指導教授 : 陳若暉

摘要


本研究針對28家本國、外商銀行,自90年9月至105年9月之季資料,運用Panel Data模型中之固定效果與隨機效果模型進行實證研究。探討金融業發卡銀行在風暴後,信用卡業務指標與違約風險間是否具關連性。並進一步將信用卡發卡指標細分為總額、金控、非金控、有效卡數25萬卡以上和以下、平均每卡消費金額7,000元以上和以下。分析信用卡業務指標分別對逾期放款比率與備抵呆帳覆蓋率的影響。同時加入調整係數,進一步分析各項業務分組對逾期放款、備抵呆帳覆蓋率之調整速度差異。 實證結果顯示,有效卡數、當月停卡數、循環信用餘額、循環信用成長率、信用卡利息收入占利息收入與逾期放款比率呈現顯著正相關。而當月發卡數與逾期放款比率呈現顯著負相關,係因2007年4月樣本期間受美國次貸風暴影響,金融業承作相關業務時轉趨保守,持卡人用卡亦趨於謹慎並全額繳清消費款項,間接導致逾期放款比率下降。當月發卡數、循環信用餘額、當月預借現金金額、循環信用成長率與備抵呆帳覆蓋率呈顯著正相關。而當月停卡數、當月簽帳金額與備抵呆帳覆蓋率呈顯著負相關。 以調整係數分析,研究顯示平均每卡消費金額7,000元以下分組的調整係數值最大,表示銀行能以較迅速的時間達成預期備抵呆帳覆蓋率。而有效卡數25萬卡以下分組的調整係數最小,意味著銀行欲達到預期逾期放款比率之速度較慢。

並列摘要


This study uses a quarterly basis of 28 domestic and foreign banks obtained from September 2001 to September 2016 and the applies the Panel Data of the fixed and random effect model for an empirical research. Discussion on issuing banks after the financial industry turmoil in 2007, This paper focuses on the relationship between credit card business indexes and default risks. Further,it subdivides the credit card business into seven specifications such as Total, Financial Holding Company, Non-Financial Holding Company, Valid Card Number above or below 250,000 and the Average Amount of Consumption per Card above or below NTD7,000 This work analyzes the impacts of credit card business indexes on the overdue loan ratio and allowance for bad debt coverage. By adding a speed adjustment coeffticient. the differences of speed adjustment for each specification of overdue loans and allowance for bad debt coverage will be measured. The empirical results show that the number of valid cards, the monthly credit card cancellation, revolving credit balances, revolving credit growth rates, the credit card interest income/total interest income were positively correlated with the overdue loan ratio. However, the monthly credit card issued was negatively correlated with the overdue loan ratio . It is because that the sample is affected by the subprime crisis on April 2007. The banking sector tended to more conservative offering the loans which indirectly led to decline the overdue loan ratio. The results of monthly credit card issued, revolving credit balances, the monthly advanced cash amount, and the revolving credit growth rate were positively correlated with the allowance for bad debt coverage. On the other hand, the monthly credit card cancellation and the monthly credit card bill were negatively correlated with the allowance for bad debt coverage. To analyze speed adjust ment, this study reveals that the speed adjusement coefficient is faster than others for the specification of the average amount of consumption per credit card less than NTD7,000. This indicates that the bank may quickly reach the expected allowance for bad debt coverage. However, the specification of valid card number below 250,000 cards shows the smallest speed adjustment coefficient. This means that it is relatively slow to get the expected overdue loan ratio for the banks.

參考文獻


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