中小企業難以從正規金融體系融通所需資金，是長久以來一直存在的問題。就中小企業而言，經常面臨自有資本不足，生產管理不當，研發能力較差，管會制度不健全等諸多問題，且由於規模較小，擔保品薄弱，又缺乏大企業的財務規劃能力，因此難以自正規金融體系取得資金。多年來，政府為振興產業，積極督促銀行加強辦理中小企業融資，訂定多項中小企業專案融資方案，另並經由信保基金、聯合輔導中心、馬上解決問題中心等機制，補強中小企業信用與輔導功能。
就銀行而言，由於風險控管問題，對中小企業融資一向持保守的態度。如能有效控管中小企業授信風險，降低損失率，當能提高銀行辦理中小企業融資的意願。關於中小企業信用風險管理這個議題，甫於去年所公佈預定於2006年年底實施的新巴塞爾資本協定(通稱BaselⅡ), 規範銀行衡量風險性資產的方法，除現行使用之標準法外，BaselⅡ鼓勵銀行建立自己的內部評等法(IRB)，自行開發內部模型，估計客戶之PD、LGD、EAD，以提升自己對風險的敏感性及控管能力。
以BaselⅡ IRB法自行開發之風險衡量因子PD、LGD、EAD的另一項運用即是風險調整定價(Risk-Adjusted Credit Pricing)，亦即計算個別客戶的風險貼水，包括預期損失(EL)與非預期損失(UL)。預期損失係銀行承作一筆放款，針對客戶出現違約時可能的損失；非預期損失則指在一定信心水準下，最大可能損失(MPL)超過預期損失的部分。EL之估算將作為呆帳準備提存之用，而UL則作為計提最低資本之用。風險調整定價之算式為：風險調整定價=資金成本+作業成本+風險貼水(EL+UL)。
至於資本計提及風險抵減，BaselⅡ規範對於營業額在一定金額以下之中小企業，除給予規模調整以適用較低風險權數之外，對於符合其他零售型暴險之小企業之小額暴險亦可適用較優惠之風險權數，因此，在計提其非預期損失(UL)之風險成本方面亦可稍獲紓減。
最後，銀行內部不論是業務人員或是風險管理人員，如能儘早發現本質上有風險或是潛在問題的授信帳戶(即預警帳戶)，及早採取適當措施，如降低授信額度或限制其額度之動用，從而可有效降低風險訂價因子之EAD，因此，風險預警機制在信用風險監控(Credit monitoring)上扮演成敗關鍵性角色。
本文探討心得，歸納提出下列四點建議：
1、 提高對中小企業之貸款可適用其他零售型暴險資本計提方式之金額，可減低銀行資本計提之金額，從而降低中小企業向金融機構融資之成本。
2、 中小企業信保基金可以提高信保成數來鼓勵中小企業改善財務結構及經營管理能力。
3、 政府應以提供差別管理方式鼓勵國內銀行積極採用BaselⅡ IRB法。
4、 銀行本身應積極培訓風險管理人員及提升資料倉儲管理能力。

Small and Medium Enterprises(SME) have long encountered difficulties financing themselves from banking institutions; it is resulted from the observed commonalities that feature SME such as insufficient initial fund, improper operational management, incompetent in Research and Development, and lack of sound accounting systems. Moreover, that the insufficient guarantee, the relatively small scale of business and deficiency in finance planning compared with larger corporations, would hinder SME from getting formal bank financing. For years, to prosper local industries, the government has pushed the authorities concerned to launch loan programs helping SME out of these obstacles and urged the financial institutions to provide SME with more financial assistance. For instances, Small and Medium Business Credit Guarantee Fund(SMEGF) and Small Business Integrated Assistance Center, sponsored respectively by the government and local banks, are established to support and nurture small and medium businesses.
The banks have been prudent and conservative toward SME’s loan cases concerning the risk control; inferably, they would be more enthusiastic dealing with SME if the credit risk and default cases of SME could be lowered. With regard to SME’s Credit Risk Management, Basel II, which implementation date for the Standardised and Foundation Approaches will be end of 2006, sets out the regulations for the banks to measure risk assets. Besides the current Accord of managing risk, Basel II encourages the banks to set up the Advanced Internal Rating Based approaches(IRB) to estimate customers’ Probability of Default(PD), Loss Given

Default (LGD), and Exposure at Default(EAD) so as to enhance the banks’ awareness of the carrying risk.
Another risk-managing practice, developed from Basel II IRB’s risk factors, PD, LGD, and EAD, is Risk-Adjusted Credit Pricing, which is meant to individually estimate the risk premium by each customer, covering Expected Credit Loss(EL) and Unexpected Credit Loss(UL). EL stands for the possible default loss incurred whenever a loan is undertaken, and it is used for the allowance of doubtful accounts. UL stands for the excess loss (i.e. Maximum Possible Loss(MPL) less EL), and it is used to reserve the minimum capital charges. The formula for
Risk-Adjusted Credit Pricing =
Cost of Funds + Operational Costs + Risk Premium(EL+UL)
As for capital charge and risk adjustment, Basel II approaches flexibly adjust SME’s risk weight (RW) based on it’s business scale. For corporate loans, lower RW is allocated to those enterprises that have less business volume, while higher RW is applied to the ones that have larger business volume. Small enterprises of credit limits under a certain amount shall be applicable to retail loan cases and be applied to an even lower RW. Under such regulations, it consequently reduces the cost of UL risk, which is considered a relief to both banks and enterprises.
The last but not the least, the sound early warning system(EWS) could effectively help credit risk control. Once the accounts are considered likely to default, either the sales representatives or the credit administrators shall take immediate actions to manage those problematic accounts; for instance, to reduce their credit limits or restrict the usage of funds, then EAD, the risk pricing factor, could be lowered. Hence, the EWS plays a decisive role in credit risk monitoring.

Four conclusions and recommendations drawn from the thesis are:
1、 The regulatory authorities shall take account of different level of EAD and specify appropriate amounts of corporate exposure and retail exposure, so as to lower bank’s capital charge and reduce SME’s cost of loan, further to expand SME loans.
2、 SMEGF could lift the percentage of guarantee for SME to improve the finance structure and management.
3、 The government shall cordially promote Basel II IRB approaches to all banks, adopting a flexible and differentiated method weighing SME’s credit risk.
4、 Banks should invest resources to develop experienced risk controllers and enhance management information system (MIS) capability.

目錄 I
圖目錄 II
表目錄 III
第壹章 緒論 1
第一節 研究動機 1
第二節 研究目的 3
第三節 研究方向 4
第二章 本國銀行中小企業授信之概況 5
第一節 中小企業的定義 5
第二節 中小企業的特性 9
第三節 中小企業融資的特性 26
第三章 Basel Ⅱ之方法論 41
第一節 巴塞爾資本協定之沿革 41
第二節 Basel Ⅱ-IRB 法(Internal Ratings-Based Approach) 42
第四章 Basel Ⅱ方法之導入及實務運用 51
第一節 風險貼水之計價 51
第二節 資本計提及風險抵減 60
第三節 信用風險之預警制度(Early Warning System, EWS) 64
第五章 結論與建議 72
參考文獻 74
中文部分 74
英文部分 75

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