信用風險評等模型之建構研究—以個案銀行「有財簽非公開發行公司」之授信戶為例

A Study of Building the Credit Risk Rating Model : a Case of Individual Bank's Non-public Company Borrowers with Financial Statements as Exemples

楊曜華

指導教授 ： 胡茹萍

國立臺灣師範大學/科技學院/工業教育學系在職進修碩士班/碩士(2010年)

摘要

鑒於過去有關企業信用風險評等模型之研究，於選取財務報表變數時，多以縱向分析之財務變數為主，另亦多僅只於探討財務報表變數之內容；惟銀行業實務上於評估授信戶時，除考慮縱向分析之財務變數外，亦評估橫向分析之財務變數，同時並將聯徵資訊變數納入考量。為與銀行實務運作更為貼近，本研究同時將縱向分析財務變數、橫向分析財務變數及聯徵資訊變數一併納入研究之範圍。

　　本研究係以個案銀行介於1999年至2006年間，屬「有財簽非公開發行公司」之好壞授信戶樣本，作為研究對象之範圍。藉由羅吉斯迴歸模型之統計分析，探究分別採用縱向分析財務變數、橫向分析財務變數、結合縱向與橫向分析財務變數，及聯徵資訊變數時，所建構之企業信用風險評等模型，彼此間之差異性與區別力，最後並彙整研究產生之結果。

　　經本研究之統計結果顯示，相較於僅採縱向及橫向財務報表變數進行分析所建置之評等模型而言，同時納入縱向分析、橫向分析之財務報表變數及聯徵資訊變數之綜合評等模型，對企業是否發生違約之區別能力最高，且亦較貼近銀行業實務上從事企業金融徵授信作業之評估角度與認知觀念。

關鍵字

信用風險評等模型 ； 羅吉斯迴歸分析

並列摘要

A typical construction of corporate credit risk rating model just adopted Longitudinal Analysis of variables from financial reports. However, banks would utilize not only Longitudinal Analysis, but also Cross-Section Analysis and JCIC variables in practice. To comply with banks’practice, this research takes Longitudinal/Cross-Section Analysis of financial reports and JCIC numbers to be the variables in the modeling process.
This research takes the Non-Public Offering Companies whose Financial Statements attested by CPA as samples over the period 1996~2006. By logistic regression methodology, following analyses were performed in order to build corporate credit risk rating model: 1. Longitudinal Analysis (of financial variables). 2. Cross-Section Analysis. 3. Combination of Longitudinal Analysis, Cross-Section Analysis, and JCIC information variables. This research then examines the differences and discriminative effects among these analyses.
Results of the examination suggests that the comprehensive model which adopts Longitudinal Analysis, Cross-Section Analysis, and JCIC information variables has the greatest discriminative ability on identifying whether a certain company may default. Also, this comprehensive model is closer to the bank’s practice in valuation and recognition of corporate loan applicants.

並列關鍵字

credit risk rating model ； logistic regression

參考文獻

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