本研究試圖推導一個商業銀行之企業放款利率加碼模型。在商業銀行其極大化預期利潤的基礎下,推導出企業放款利率加碼之最佳化模型,並利用台灣某間列前十大商業銀行的256家企業放款個案為樣本,針對銀行實務上對企業授信的信用評等項目進行實證分析,找出影響企業授信品質優劣的顯著變數,並利用本研究理論模型找出不同風險程度之利率加碼臨界點,以提供商業銀行在面對不同企業放款的風險下,所應給予之最佳化加碼利率。實證結果顯示:(1)銀行對企業評估核貸的信用評等項目中,貸款期間、承作利率、償還方式、核貸階層、保證人個數,是影響授信品質的顯著變數。(2)本研究模型可以提供不同風險程度之企業放款所需給予利率加碼臨界點,以提供銀行授信部門更合理的企業放款加碼利率模型,避免銀行低估風險降低獲利,或是高估風險流失客戶。本研究的結果提供給商業銀行在制定企業放款利率加碼政策時,一個利潤極大化下的企業放款利率加碼理論模型及相關實證研究結果的參考。
This paper aims at deriving an interest rate mark-up model of corporate loans for commercial banks. Using 256 corporate loans from one of the biggest ten commercial banks in Taiwan, we derive the mark-up model maximizing expected profit. This study focuses on identifying credit indicators that can significantly capture the default risks of corporate loans and also on finding the critical values of cut off points in an attempt to maximizing, banks expected profits. Our findings show that 1) interest rate, loan duration, repayment method, loan approval level, and number of guarantor are significant indicator variables for evaluating credit quality and 2) our model could provide optimal interest rates of corporate loans with different default risk in order avoiding less profit from underestimating risk and lose customers from overestimating risk. The theoretical model and empirical results of this study could offer a reference based on maximizing profit for commercial bank when it makes the policy for default risk premium of corporate loan.