房屋貸款授信風險評估模型之研究-以某人壽保險公司為例

Study on Residential Mortgage Loan Credit Risk Evaluation Model-Taking a Life Insurance Company as an Example

黃光揚(Kuang-Yang Huang)

指導教授 ： 郭瑞祥

國立臺灣大學/管理學院/商學研究所/碩士(2007年)

https://doi.org/10.6342/NTU.2007.02443

摘要

1990年起政府開放金融市場自由競爭，近年來直接金融的盛行，減少了金融機構傳統的授信業務，各金融機莫不將授信業務重心放在消費性貸款，而房屋貸款占了最大的比重。金融機構的過度設立，造成彼此間的激烈競爭，授信品質日趨惡化，造成逾放高居不下，嚴重侵蝕金融業的獲利，因此如何控管授信風險，以降低不良授信所帶來的問題，實為金融機構不容忽視之重要課題。
本研究以國內某人壽保險公司之房屋貸款案件為研究對象，蒐集381件資料，包括正常繳款的正常戶260件及逾期繳款的不良戶121件，依授信5P、文獻研究及研究對象之徵信準則，選取研究變數，應用Logistic Regression模型，對選取之變數進行實證分析，以建立授信風險評估模型。
實證分析結果發現影響房屋貸款成為逾期不良戶之主要因素為借款金額、貸放成數、年所得、金融機構總負債、負債收入比、借款期數、擔保品座落、保證人及借款目的等9項，可供受研究對象及其他金融機構建立授信風險評估模型之參考。

關鍵字

授信風險 ； 風險評估 ； 房屋貸款

並列摘要

Taiwan government started to deregulate Taiwan financial market in 1990. The direct finance business boomed in recent years, which reduced traditional financial institution’s loan business. In such situation, every financial institution focused on consumer loan business. Residential mortgage loan takes the major part of consumer loan business. Fierce competition occurs due to too many financial institutions. The loan quality became worse and worse. Non-performing loan ratio remains high, which erode financial institution’s profit. To well control credit risk so as to diminish non-performing loan problem is a major task of financial institutions.
This research collected 381 residential mortgage loan cases from one domestic life insurance company as research samples. Among these 381 cases, 260 cases are normal payment cases and 121 cases are non-performing cases. This research selected 10 factors based on 5P loan principles, references and the life insurance company’s internal credit guideline. This research uses Logistic Regression Model to conduct an empirical analysis over the 10 selected factors and set up residential mortgage loan risk evaluation model.
As a result of empirical analysis, loan amount, loan advanced ratio, annual income, total debt in financial institutions, debt-income ratio, loan tenor, collateral location, guarantor and loan purpose are distinguished. These 9 distinguished factors affect a loan to become non-performing. Result of this research may be used for the life insurance company or other financial institutions to set up their credit risk evaluation model.

並列關鍵字

credit risk ； risk evaluation ； residential mortgage loan ； Logistic Regression

參考文獻

[2] 呂美慧(2000)，金融機構房貸客戶授信評量方式分析─Logistic迴歸之應用，台灣金融財務季刊，1卷1期，2000年9月，pp.1-20。

[7] 林國順(2004)，房屋貸款逾期還款預警模式之研究，碩士論文，大同大學事業經營研究所。

[13] 劉展宏(1999)，一般購屋貸款與首次購屋貸款提前清償之比較研究，1999年中華民國住宅學會第八屆年會論文集，pp.177-195。

[20] Orgler ,Y. E.(1970), A Credit Scoring Model for Commercial Loans, Journal of Money, Credit,and Banking, pp.435-445

[21] Steenackers, A. and M. J. Goovaerts (1989), A Credit Scoring Model for Personal Loans, Insurance Mathematics Economics, pp.31-34