評估信用保證手續費的新思維：風險中立評價模型與保險精算原理的結合

A New Approach to Evaluate Guaranty Fees on Credit Guarantee Schemes: The Combination of Risk-Neutral Model and Actuarial Valuation Principles

郭照榮(Chau-Jung Kuo) ； 陳勤明(Chin-Ming Chen) ； 宋兆賢(Chao-Hsien Sung) ； 賴麗華(Li-Hau Lai)

《臺大管理論叢》 19卷2期 (2009/06) Pp. 37-55

https://doi.org/10.6226/NTURM2009.19.2.37

摘要

依台灣銀行業實務慣例，銀行對中小企業承作放款，通常採用同一筆申貸分按兩種利率訂價計息，一為經信保基金保證部分，另一為未經信保基金保證部分。本文結合風險中立評價模式及保險精算原理，透過對此種差別利率的觀察，評估中小企業信用保證基金（簡稱信保基金；SMEG）目前主要保證業務的信用風險，並據以推估SMEG應予收取之合理保證手續費。經由對個案銀行的實證結果顯示：依本模式推估之應收總手續費用，與實際代償總額相近。亦即：本文模型兼具反應市場資訊與簡單易行之特性，可供我國SMEG風險控管與費率制定決策的參考。

關鍵字

信用保證 ； 風險中立

並列摘要

According to the practices of banks in Taiwan, two interest rates will be applied to a commercial loan guaranteed by Small and Medium Enterprise Credit Guarantee Fund (SMEG), one for the guaranteed part, and the other the non-guaranteed part. Based on this rate discrepancies, this paper tries to evaluate the credit risk of SMEG's main guarantee programs by integrating the risk-neutral model with actuarial valuation principles, and to derive the optimal guaranty fees model. The empirical results show that the realistic subrogation payment is close to the total guaranty fees estimated by the proposed model. That is to say, this model has incorporated the accurate credit status of a loan, and to the best, this market information is also convenient to observe. It is hoped to make some contributions in controlling credit risk and establishing reasonable guaranty fee structures for SMEG.

並列關鍵字

credit guarantee ； risk neutral

參考文獻

Ammann, M.(2001).Credit risk valuations Methods' models, and application.New York, NY:Springer Finance.

Bannock, G.,Partner, Ltd.(1997).Credit guarantee schemes for small business lending: A global perspective.London, UK:Graham Bannock and Partners Ltd..

Black, F.,Cox, J. C.(1976).Valuing corporate securities: Some effects of bond indenture provisions.Journal of Finance.31(2),351-367.

Black, F.,Scholes, M.(1973).The pricing of options and corporate liabilities.Journal of Political Economy.81(3),637-654.

Christina, V. A.,Wilson, N.(2001).Disequilibrium in the UK corporate loan market.Journal of Banking and Finance.28(3),595-614.