企業信用評等與銀行放款及訂價之關聯性探討

A study of the Relationship between Ratings, Banking Loans, and Pricing

高文祥(Wen-Hsiang Kao)

指導教授 ： 鄭雅穗

元智大學/管理學院/管理研究所/碩士(2009年)

摘要

國內自民國80年以後陸續准許多家新銀行加入，為爭取業務，削價競爭普遍存在，多數銀行未能反應企業的違約風險，給予適當的放款利率（訂價）。以致出現信用評等較差的企業，取得放款利率較低，而信用評等較佳的企業，取得利率較高之不合理現象。
本研究以本國銀行為研究對象，樣本銀行家數共31家，其目的在探討各銀行針對公開發行公司（含上市櫃、興櫃）在不同的信用評等下的授信訂價。資料來源取自台灣經濟新報（TEJ）的銀行放款（Bank Loan）及TCRI (Taiwan Corporate Credit Risk Index)資料庫，而資料選取期間為民國92至96年之短期信用放款。
根據研究結果發現：
一、 多數銀行承做短期信用放款，因競爭激烈，低估企業的違約風險，大部分都呈現損失的狀況。
二、 若將樣本銀行依承做上述放款之平均加權損益按高低分組，再將企業依TCRI信用等級分組，則發現：借款企業的信用評等越佳，其往來銀行多半是營運績效佳或大型的銀行；反之，信用評等差的企業，多須仰賴規模較小或營運績效不佳的銀行給予支持。
三、 個案探討之銀行，近期因致力於建置良好的內部評等系統且與風險訂價系統及績效評核系統整合。此等運作，可避免營運陷入惡性競爭，提升風險控管能力，亦有別於過去的放款作業形態，不完全依賴業務人員的人為判斷。對於不同風險等級的授信對象，給予不同的利率，儘可能做到質量並重。

關鍵字

違約風險；信用風險；信用評等；內部評等系統

並列摘要

This study attempted to examine the effectiveness of utilizing credit rating as a key indicator for quality loans. Due to the deregulation of bank license since 1991, there were many new banks been approved and joined the market. The increasing competition led to a price war. As a result, good credit rating entity doesn’t guarantee a better loan rate than a bad credit rating entity.
The scope of this study only focuses on domestic banks that include 31 sample banks. This study discusses the different price strategy for listed clients with various credit rating statuses. The major sources of this study are Taiwan Economic Journal (TEJ) and database of Taiwan Corporate Credit Risk Index (TCRI) from the period of 2003 to 2007 for short-term credit loan.
As a result of the study,
1) Due to the highly competition in short-term credit loan market, most of the banks underestimate the default risk and let to a financial loss.
2) If samples had been ranked by weighted average profit and grouped by TCRI risk grouping, we therefore conclude that the entities with better credit ranking customarily will choose the banks with better operating performance or the one with larger capital base to deal with and vise versa.
3) A case study from sample banks shown that bank can avoid the low price competition by establish an internal credit rating, risk pricing and performance evaluation system. Through the system, the bank would able to issue a most appropriate rate per client’s different risk level without depending on manual review of bank agents. This will increase both the efficiency of loan rate approval procedure and loan quality.

並列關鍵字

Default Risk；Credit Risk；Credit Ratings；Internal Credit Ratings

參考文獻

[1]王鶴松，（民92），「我國銀行業的現況與未來努力的方向」，台灣金融財務季刊第四輯第四期，台灣金融研訓院。

[12]陳逸文，（民89），「銀行授信之風險管理」 - 台灣金融財務季刊。

[18]蔡嘉倩、敬永康、沈大白，（民92），「運用TEJ資料庫計算台灣債務償還率（回收率）之研究」，金融業風險管理實證研究論文集，p162-175

[23]Altman E. I. and A. Saunders（1998）, “Credit Risk Measurement: Developments Over The Last 20 Years”, Journal of Banking and Finance 21, 1721-1742.

[25]Basel Committee on Banking Supervision (2003), The New Basel Capital Accord , Issued for comment by 31 July 2003.