標普企業評等準則運用在台灣企業的適足性研究

Research on the Adequacy of S&P Corporate Criteria's Application in Taiwan Credit Market

鄒佳蓉(Chia-Jung Tsou)

指導教授 ： 林允永

淡江大學/商管學院/財務金融學系碩士在職專班/碩士(2014年)

https://doi.org/10.6846/TKU.2014.00635

摘要

資本市場的參與者例如投資人、債權人或者政府金融監管機構，都會參考信用評等公司的評等風險要素來偵測交易對手的違約風險，信用評等公司運用財務報表資訊來評估財務風險要素，並輔以專家判斷來評估企業營運風險要素，本研究主要以標準普爾在2013年所發佈修訂後的企業評等準則的基本評等要素為主，包括營運風險評估及財務風險評估，針對台灣上市公司及未上市公開發行公司為研究對象，試算初步出企業的風險因子評估結果，進而對台灣企業的風險識別進行實證分析。研究樣本期間從1977年至2012年，共2,180家公司，其中包含了376家發生違約的公司。研究結果如下：
一、標準普爾新版評等方法論的透明度獲得明顯提升，多數評等因子均能以量化且客觀的角度來分析，尤其在財務風險評估架構最為顯著。
二、該評等準則相對於過去被認為僅適用於歐美市場而不利於新興市場的評等方法論而言，在追求全球一致性方面獲得了相當程度的改善。
三、台灣企業財務體質健全與否與企業的違約有較高的相關性。
四、標準普爾的營運風險評估架構對於台灣企業違約與否的解釋能力必須輔以質化的專家判斷，才能有較佳的預測能力。

關鍵字

風險架構評估 ； 信用風險 ； 違約

並列摘要

The credit rating scales and rating factors are wildly applied in the assessing the default probabilities of counterparties by the various participants in capital market, including investors, debtors and the supervisors from the government. The credit rating corporations plays a critical role in providing these relevant information. They not only heavily rely on the financial information disclosed in financial reports to assess the financial risk, but also incorporate the assessment on business operation. Post the financial crisis in 2008, people begin to questions the effectiveness of the rating methology. This research is thus made on back of revised criteria of Standard and Poor's "Corporate Methodology" in 2013 to assess the corporate risk profile in Taiwan market. In the research, we plan to verify the effectiveness of the key risk factors, including business operation and financial profile, in predicting the default probabilities in Taiwan market. We use both listed corporations and unlisted but public offering corporations operating in the period of 1977-2012, totaling 2,180 firms, as the sample for this research. The conclusions of the research are as following:
1. S&P’s new corporate criteria has greater transparency with more objective consideration on the ratings factors, especially for the financial risk assessment.
2. Global consistency of this criteria is also significantly improved while the former criteria was criticized by being more favorable to developed countries, such as Europe countries or US.
3. The scoring factors on Financial risk assessment in this criteria has satisfacrory correlation with the default probability.
4. The assessment on Business risk profilt, in addition to the quatitative factors, needs to go with the qualitative expert judgement in order to achieve a better projection on the default probability.

並列關鍵字

Risk Factor Assessment ； Credit Risk ； Probability of Default

參考文獻

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