投資人違約交割信用風險管理之探討

The Study of Credit Risk Management on Settlement Default of Investors

林紹州(SHAO-CHOU LIN)

指導教授 ： 胡為善

中原大學/商學院/企業管理研究所/碩士(2005年)

https://doi.org/10.6840/cycu200500547

摘要

摘要
本研究旨在探討證券商經紀業務如何避免因地雷股或投資人個人因素產生重大違約交割損害券商利益；過去除了順大裕以外，還有許多違約交割案例，如宏福跳票事件、新巨群事件、順大裕、中精機及久津等，對證券商都造成相當大的損失也都相當大近期爆發博達、衛道、訊碟、皇統、洪氏英、合正等公司因財務狀況而導致投資人嚴重受損。
回顧傳統違約交割的研究中發現，過去的研究僅針對券商控管進行研究，但對違約交割證券投資人之分析及研究甚少，本研究期能歸納分析投資人最主要違約交割變數為何？針對投資人違約變數因素權重表，歸納出投資人之違約交割機率模型，建構出投資人信用評等分級，作為未來證券商內部評等分析參考，達到預警、預防，以降低因大額違約對券商所造成的損害。
本文透過市場實務上常發生違約交割因素設計問卷予台灣綜合券商統計87年～93年券商平均市佔率前5大券商之從業人員做一分析統計。並藉由問卷結果進行主成份分析、AHP層級分析與邏輯斯模型，分析投資人違約因素。本文研究的實證結果如下：
（一）本研究歸納分析出投資人最主要違約交割變數前十名依序如下:
1.曾利用丙種資金墊款或是利用他人信用額度來墊款；2.常出現交易習慣疏忽，導致發生違約交割；3.曾發生跳票情況；4.曾出現違約交割紀錄；5.曾有繳息不正常現象；6.出現信用擴張現象（提高額度需求）；7.經常性更改帳號與拖延財務資料準備；8.躉售物價指數變動率；9.製造業員工平均每月工作時數；10.經常使用現金卡、小額貸款來做交易
（二）本研究歸納出專家意見（AHP）針對投資人違約變數因素權重表。
（三）本研究歸納出投資人之違約交割機率模型，並建構出投資人信用評等分級。

關鍵字

AHP ； 投資人違約交割 ； 信用評等分級

並列摘要

Abstract
This study attempts to analyze the way that the security brokerage companies in Taiwan to avoid huge losses due to the publicly listing company’s financial difficulties or individual investors’ personal problems causing default in settlement of transactions. For the past decades, there were several companies in Taiwan had experienced financial problems resulting in the default in settlements of the transactions such as Huang-Fu company, Taiyu Products company, New Magnitude Group, Victor Taichung Machinery, and Chou Chin company. All these defaults caused the security brokerage companies great losses. Recently, many investors and brokerage security companies have suffered another great losses when Procomp Informatics, CradleTechnology Co., Summit Technology, Horng Technical Enterprise and Uniplus Electronics went to bankruptcy or had seriously financial difficulties.
Among previous studies on default of investors’ settlement in transactions, most literatures focused on the management of security brokerage firms, while a few concerned about investors. This work attempts to find the most significant factors for default of investors’ settlement in transactions. Furthermore, this work tries to construct a default probability model and build the investors’credit rating system in order to reduce the losses of the security brokerage firms derived from the default of settlement in transactions. This work distributed the questionnaires to the employees of the top five security brokerage firms in Taiwan which were selected by this work based on the average market shares of security brokerage firms from 1998 to 2004. The questionnaires are analyzed by the Principal Component Analysis, AHP, and Logistic Regression. The results are summarized as follows:
1. The primary ten factors regarding the default of investors’settlement in transactions are:
(1) Using illegal sources of financing or credit lines of others to finance the settlement in transactions；(2) Frequent errors on transactions resulted in defaults on settlements in transactions；(3) Had bounced checks；(4) Had previous default records；(5) Had irregular interest payments records；(6) Had credit expansions uncommonly；(7) Frequently change the account numbers and delay providing adequately financial information；(8) Dramatic change in the percentage of the wholesale price index；(9) The rapid change in average monthly working hours of employees in manufacturing industries；and (10) Frequently use of cash cards and small credit loans to finance transactions in settlements.
2. The weighted percentages of each defaulting factor are summarized from AHP.
3. This investigation constructs an investors’credit rating system through the default probability model.

並列關鍵字

Analytic Hierarchy Process ； Credit rating ； Default on s

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