在供應鏈信用擔保機制下銀行最適分攤比率及貸款利率之研究

Optimal Assessment Rate and Lending Rate of Bank under Supply Chain Credit Guarantee Mechanism

李柏毅(Po-Yi Li)

指導教授 ： 蔣明晃

國立臺灣大學/管理學院/商學研究所/碩士(2013年)

https://doi.org/10.6342/NTU.2013.01163

摘要

銀行為因應市場經濟發展和生產需要而形成的一種金融組織，在整個金融活動中擔任資金供需的財務仲介角色，同時透過借款等方式扶持著台灣企業的發展，在整個經濟體系中扮演著重要的角色。然而現今的銀行面臨著家數過多、市場過度飽和的情況，進而導致惡性的價格競爭，既有的放款管道所能獲得的利息收入被逐漸壓低，因此尋求新的資金運用方式去消除「爛頭寸」的囤積是為銀行當今努力的方向之一。企業為銀行放款的主要來源之一，然而台灣的中小企業在發展過程中，常會因財務資訊不透明、信用不足、或無法提供擔保品等因素，造成銀行在授信時存在著資訊不對稱、風險不易評估等考量而不願輕易借款，同時也導致廠商無法順利供貨，進而造成整條供應鏈的運作無法順利進行。
政府考量了這情形，成立「中小企業信用保證基金」，發展信用擔保的方式中所謂的「火金姑專案模式」，利用此模式風險分攤的特性去改善上述所提及的問題並促成銀行和中小企業間的交易，為銀行開拓了新的客源，並同時為中小企業的融資需求提供解決方式。
本研究以此模式為背景，發展出一套模型，從銀行的角度切入，以滿足下游零售商的需求為出發點，考量供應商的違約風險、製造商訂購數量，以及違約時懲罰價格等外在因素，為銀行制訂能使自身利潤極大的風險分攤比率和貸款利率。並在最後將各參數帶入實際數字進行敏感度分析，探討各參數變動對於最佳決策的影響。
研究結果發現，於此信用擔保機制下，銀行偏向以索取最高的貸款利率為原則去和製造商協議分攤比率；另外銀行也可以建議製造商更審慎的篩選上游供應商，或是給予供應商技術上的指導提高其供貨程度去達成所有角色皆得以獲益的局面；而銀行也可藉由此模式找出對自己對有利的貸款成數。

關鍵字

爛頭寸 ； 中小企業信保基金 ； 信用擔保機制 ； 供應鏈

並列摘要

Bank, a financial institution formed for the need of economic development, plays an intermediary role in providing the fund in the entire financial activity. It also supports Taiwan's enterprises through lending activities, so that being an essential role in the whole economy. However, nowadays, facing the fierce price competition caused by the excessive market saturation, banks' interest revenue from the traditional lending channel are shrinking. Therefore, seeking an efficient way in utilizing the funds in order to lower the "Idle Funds" has become an issue for banks need to be worked on in recent years. Firm is one of the customers who may borrow money from banks. However, banks are not willing to grant a loan to SMEs became of asymmetric information and default risks due to SMEs' low transparency of financial information, unhealthy financial/accounting system, and scant collateral. This also makes SME firms in the supply chain have no enough funds to manufacture products and deliver them to customers, hence leading to poor performance of the supply chain.
To deal with the problem, Taiwan government founded "Small and Medium Enterprise Credit Guarantee Fund of Taiwan (SMEG)", expecting to improve this kind of inefficiency existing in this financing market through the model of "“Firefly Counterpart Guarantee", which is based on the credit guarantee mechanism. SMEG shares risks with bank when confronting the scenario of default, thereby increasing banks' willingness to loan to SMEs and fulfilling the SMEs' financing needs.
The research bases on the model of "Firefly Counterpart Guarantee" as background to develop a model of credit guarantee mechanism without the role of SMEG. Under the premise that the manufacturer should fulfill the retailer's demand as much as possible, Our mechanism should help the bank decide the optimal rate of assessment as well as the lending interest rate to achieve the maximum profit of bank while considering other factors such as the default probability of the supplier, the quantity of purchasing order from the manufacturer, and the penalty of manufacturer if it fails to fulfill retailers' requirement. Furthermore, we input some numerical values into this model and perform sensitivity analysis on some parameters to discuss the impact of these external factors on decision variables and objective function.
The results show the bank will negotiate the default-sharing mechanism with the manufacturer based on the principle of charging the highest loan interest rate to the supplier. In addition, the bank can suggest the manufacturer pays more attention to select suppliers in order to decrease mutual risks, or provide some technical instruction to supplier to increase its productivity. Finally, the bank can also benefit from applying this model to determine the optimal loan-to-value (LTV).

並列關鍵字

Idle Funds ； Small and Medium Enterprise ； Credit Guarantee Mechanism ； Supply Chain

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