中小企業信用評分模型之建構

新巴塞爾資本協定自2006年年底開始實施，鼓勵銀行能盡速發展自己的內部評等法，透過金融工具抵減信用風險，降低所需計提的資金成本，進而提高資本適足率。面對中小企業的資金需求日趨成長，各金融機構在信用風險的管理上，更較以往高度重視。信用風險的評估模式有很多種，5P授信原則、經驗法則、財務預警模型、類神經網路到近幾年的廣被金融機構接受的信用評分模型。本研究蒐集某金融機構2007年5月至2008年5月中小企業授信戶，以羅吉斯迴歸做為統計演算方法，並且篩選出有效變數製作成中小企業信用評分模型，最終並以違約率分佈圖、吉尼係數以及K-S檢定等三種方法，來評估以及檢驗本研究所建置的信用評分模型的預測能力。

關鍵字

中小企業；信用評分模型；羅吉斯迴歸

並列摘要

The New Basel Record (Basel II ) put into operation at the end of 2006. It encourages the banks to develop their own Internal Rating Base(IRB). Through the financial instruments will reduce the credit risk and increase the BIS ratio. Besides, faced on the increasing to the capital demand of SMEs, it takes seriously in the management of credit risk for all the financial institutions. There are many evaluations of the credit risk, 5P lending principle, expert experience, finance warning model, neural network and the credit risk model which is acceptance generally by the financial instruments in the latest. This study collects the sampling of the SMEs loan customers during May 2007 and May 2008 from a financial institution. In this research, it uses the logistic regression to be the algorithm and selects the efficiency variable to generate the SMEs credit scoring model. Finally, using the distribution of odds rate, Gini Coefficient method and K-S method to evaluate and examine the model fitting.

並列關鍵字

Small and Medium Enterprise (SME) ； Credit Scoring Model ； Logistic Regression

參考文獻

9.洪雪媚，新巴塞爾資本協定對國內中小企業影響之實證研究，台灣大學國際企葉學研究所，2007年。

11.張大成，民92，違約機率與信用評分模型，台灣金融財務季刊，第四輯第一期，19-37頁。

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國際替代計量

中小企業信用評分模型之建構

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