銀行不良債權之評價

The Pricing of the Non-Performing Loans of Banks

劉永欽 ； 洪榮華

《亞太經濟管理評論》 11卷2期 (2008/03) Pp. 51-64

https://doi.org/10.30087/APEMR.200803.0003

摘要

本文經由分析銀行不良債權的特性，應用Duffie & Singleton (1999)的風險債券評價模式以評價銀行不良債權，無論一次或分期收回之債權皆適用。此模式使用違約危險率(hazard rate)與回收率(recovery rate)來調整折現率，有別於調整現金流量的「衍生投資價值評價法」(derived investment value)。評價者在對危險率與回收率建立合理的決定模式後，以本文模型可以得到可靠的不良債權價值，故可為評價不良債權之另一優良選擇。另由數值分析結果可得知不良債權價值與危險率、損失率的關係，可作為估算危險率與損失率的基準，俾利模式之應用，有助於銀行與金融檢查機關對不良債權的評估、購併者與資產管理公司對不良債權公平價格的決定。

關鍵字

不良債權 ； 衍生投資價值評價法 ； 調整折現率 ； 危險率 ； 回收率

並列摘要

Based on analysis of nature of bank's non-performing loans (NPL), this paper applies Duffie-Singleton (1999) model for pricing defaultable claims/bonds to evaluate NPL, whether the NPL is of one-time recovery or recovery by installment. This model uses hazard rate and recovery rate to adjust discounted rate and therefore is different from the derived investment value (DIV) approach that adjusts cash flows. After estimating the hazard rate and recovery rate using reasonable methods, the introduced model can obtain a reliable value of NPL, thus it can be a good alternative of pricing NPL. By numerical analysis, we can know the relationship between the values of NPL and the hazard rates and loss rates, and refer to the relationship as criterion to yield reasonable NPL hazard rate and loss rate. The modified model can be applied by banks, financial auditors, acquiring firms, and asset management corporations.

並列關鍵字

Non-Performing Loans ； Derived Investment Value ； Risk-Adjusted Discount Rate ； Hazard Rate ； Recovery Rate

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