新巴塞爾資本協定對國內中小企業影響之實證研究

Investigating the Impact of Basel II on Taiwan's Small and Medium Enterprises

洪雪媚(Hsueh-Mei Hung)

指導教授 ： 林修葳

國立臺灣大學/管理學院/國際企業學研究所/碩士(2004年)

https://doi.org/10.6342/NTU.2004.01230

摘要

本論文探討2006年將施行之新版巴塞爾協定，以其對於企業金融授信較嚴格之規定，是否不利國內中小企業取得融資，進而對其造成負面衝擊。經以實證資料就巴塞爾銀行監理委員會（The Basel Committee on Banking Supervision，簡稱BCBS）的相關規定作估測，研究結果顯示：
1、經檢測85~90年為基期受評公司樣本之違約機率發現，國內零售型SMEs違約機率僅0.92%。由於我國中小企業認定標準比BCBS低，其能取得之融資金額也很少超過新台幣4,000萬元（因我國銀行規定，融資金額超過新台幣3,000萬元者，需附會計師財務簽證），故似乎可從此說明我國中小企業之違約機率比大型企業低。
2、銀行採用不同之信用風險衡量方法時，其對於中小企業授信所作資本計提應有顯著差異。
3、依我國中小企業認定標準及銀行法的規定，可知我國大部分中小企業屬於BCBS的零售型SMEs，可享有較優惠的資本計提待遇，故新協定未必全然不利於中小企業，但其在銀行企業授信的放款資產組合及授信結構等因素，將會影響銀行計提資本的效果，進而影響其融資。
4、囿於中小企業之行業特性及高作業成本，導致其貸款訂價常會比大企業高，然而隨著基準利率之採行及新巴塞爾資本協定（簡稱Basel II）的實施，銀行之貸款訂價應可適度的反映其較低之信用風險。再者，調整風險後績效評估（Risk-Adjusted Performance Measurement，簡稱RAPM）貸款訂價之實施，似乎不會增加客戶之融資成本。本研究也發現，若實施內部評等法（Internal-Rating-Based Approach，簡稱IRB）將比標準法少計提資本。

關鍵字

違約機率 ； 資本計提 ； 新版巴塞爾協定 ； 零售型中小企業

並列摘要

The new Basel Accord（Basel II）which sets more rigorous regulation in corporate financing, will be put into operation in 2006. This thesis investigates the impact of the new Accord on Taiwan’s small and medium enterprises (SMEs). By applying empirical data to the regulations developed by the Basel Committee on Banking Supervision (BCBS), our research reveals the following findings:
1. Through an investigation in the probability of default of our sample of Taiwan’s companies rated in the 1996-2001 period, the probability of the retailing SMEs was documented to be merely 0.92%. The issue is more pronounced in Taiwan since (1) the criterion of classifying SMEs in Taiwan is lower than that of BCBS, and (2) bank loans to SMEs for over 40 million New Taiwan Dollars would hardly be granted - a financial report certified by the accountant is required, according to the banking regulations, for loans over 30 million New Taiwan Dollars. These findings imply that the probability of default of SMEs in Taiwan is lower than that of large enterprises.
2. Since a bank applies different risk-assessment approaches in financing SMEs, variances in capital requirements among various approaches are significant.
3. Most SMEs in Taiwan under the regulation of classifying SMEs and the law of banks will be categorized as Retailers, by BCBS definition, and may benefit from Basel II regulations. However, it will bring in negative effect in SMEs financing when the banks set a higher capital requirement for loans to SMEs based upon factors such as portfolios of asset and credit-rating structure.
4. The characteristics of SMEs and their high operation cost usually induce greater funding costs than larger enterprises. Nevertheless, by applying the base interest rates and the Basel II system, the banks may bear lower credit risk with SMEs and may thus require lower spreads than before. We also estimate that the spreads corresponding to RAPM (Risk-Adjusted Performance Measurement) financing price is not likely to exceed the concurrent measures. Furthermore, we find that the IRB (Internal-Rating-Based) approach would lead to a lower capital requirement than the standardized approach.

並列關鍵字

Retailing SMEs ； the New Basel Accrod ； Prabability

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