銀行授信風險管理之實證分析

An Empirical Analysis on Risk Management of Bank Loan

楊致傑(Chih-Chieh Yang)

指導教授 ： 何瓊芳

中原大學/商學院/國際貿易研究所/碩士(2009年)

https://doi.org/10.6840/cycu200900954

摘要

銀行本身為國家金融及經濟體系的關鍵樞紐，而授信業務亦是銀行獲利的主要來源之一，然而隨著經營環境的變遷與競爭，造成企業面對的不確定性與經營風險隨之增加外，銀行業對於企業放款業務所需承擔的風險也相對的提高，因此銀行授信業務的良窳，直接關係著銀行經營的成效，因此如何管理授信信用風險係銀行業相當重要的課題。
本研究之研究對象是針對台灣2003年至2007年間之財務危機公司，並選取『電子業』及『傳統產業』二種不同產業作為研究範圍，各選取30家財務危機公司及30家財務正常公司，樣本均採用1：1配對方式，先依照風險的高低完成二種產業的企業信用評等，最後再應用其於授信定價與政策，來管理及分析授信信用風險，經由實證與分析探討，得到以下結論：
1.本研究以M-W中位數差異檢定、K-S檢定及羅吉斯迴歸分析，找出對『電子業』
及『傳統產業』具有解釋能力的變數，最後再介紹『電子業』及『傳統產業』
財務正常和財務危機的比例，並計算不同產業之勝算比和相對風險。
2.本研究可供金融業者依各銀行實際的狀況，參酌本研究以較簡易、低成本及實
際可行的分析方法，來建立銀行授信風險的評等制度，將產生的企業信用評等
結果應用在授信定價與企業授信政策方面，以管理授信信用風險。

關鍵字

財務危機預警 ； 羅吉斯迴歸模式 ； 企業信用評等

並列摘要

Banks play a critical role in financial and economic domain. Lending business also plays a major role in generating revenue in the banking sector. However, because of the rapid changes and fierce competitions of the economy, it not only causes business to face increasing risks and uncertainties, but also induces banks to take more risk on the commercial loan. Therefore, how to manage the lending risk of business is one of the main topics in the bank industry.

The scope of this study is to select 30 financially normal and 30 financially troubled Taiwanese companies in the electronics and traditional industries. The financially troubled companies were listed having financial crises between 2003 and 2007. Based on the information, this research builds up two credit rating models separately for the electronic industry and the traditional industry. Moreover, this paper applies two models into pricing policy and lending management in order to control the credit risk of loan. The empirical findings and applications are:

1. Through M-W test, K-S test, and Logistic Regression analysis, this study finds explainable variants. In the end, this research measures the odds ration relative risk in the two industries by using the ratio of companies in normal and crisis conditions.
2. This research provides a low cost, easy, and practical analytical method based on the real situation of banking sector to establish the lending risk evaluation system and to apply the system into the loan pricing and authorization policies in order to manage the loan risk.

並列關鍵字

logis ； financial distress ； corporate credit scoring model

參考文獻

李明仁(2008)。企業財務危機預警模型之實證研究。世新大學財務金融學

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