臺灣博碩士論文加值系統

在第一次金融改革成功前，台灣的銀行業曾經遭受信用風險管理效率失當的威脅，而第一次金融改革所需的鉅額花費也驗證了銀行信用風險管理效率的重要性。本研究使用2003年台灣60家本國與外商銀行對於國內129家上市公司972筆的短期放款資訊，討論銀行放款效率性，亦即放款的利率定價與放款公司的信用風險是否相稱。主要的實證結果有三：(1)本研究以KMV違約率模型衡量企業的信用風險，發現其與放款利率並非呈現線性正向關係，反而呈現開口向下拋物線的型態。也就是說銀行對高風險客戶的放款契約，並未訂定對稱的風險貼水，亦即台灣銀行業的放款並不具充分的效率性。(2)就產業的分類來說，電子業借款客戶隨著信用風險增加，其所增加的邊際利率收益較其他產業為低。(3)整體樣本而言，銀行對電子產業的放款契約風險效率較其他產業為差，但是透過放款效率前緣的架構歸納，可以發現電子產業借款客戶中的確存在少部分較其他產業優異的借款客戶。因此推論銀行可能容易追逐此類電子產業客戶反而易遭受風險管理不效率的損失。

Before success of the first banking reformation, Taiwan’s bank faced difficult situation from bad credit risk management. The importance of credit risk management was proved in huge expenditure. The paper focuses on the efficiency of the bank loan, using 129 listed firms and 972 observations of individual transaction loan data from TEJ database in 2003. There are three main finding. Firstly, the relationship between the loan return and the default risk exists positively, but no-linear pattern. Secondly, the loan-interest rate of the machinery-electricity firms is lower than that of textile firms, even if the credit risk is controlled. Thirdly, we adopt a KMV loan efficient frontier model that depicts banks may seek nominal return and ignore the risk, because the increasing marginal interest rate is not symmetry with the increasing default risk.

目錄
圖次…………………………………………………………………………………II
表次…………………………………………………………………………………III
第一章、緒論………………………………………………………………………1
第一節、研究背景…………………………………………………………………1
第二節、研究目的…………………………………………………………………1
第三節、研究架構與流程…………………………………………………………7
第二章、文獻回顧…………………………………………………………………8
第一節、信用風險模型相關文獻…………………………………………………8
第二節、放款訂價相關文獻………………………………………………………10
第三節、投資組合理論與KMV投資經理人模型…………………………………14
第三章、研究方法…………………………………………………………………16
第一節、KMV選擇權評價模型 ……………………………………………………16
第二節、實證模式設定……………………………………………………………18
第三節、KMV投資經理人模型 ……………………………………………………20
第四章、實證結果分析與討論……………………………………………………23
第一節、資料來源與樣本特性分析………………………………………………23
第二節、實證結果…………………………………………………………………29
第三節、討論………………………………………………………………………36
第五章、結論與建議………………………………………………………………40
第一節、結論………………………………………………………………………40
第二節、未來研究方向……………………………………………………………40
參考文獻……………………………………………………………………………42


圖次
圖1 本研究流程圖…………………………………………………………………7
圖2 信用風險模型分類……………………………………………………………9
圖3 效率前緣圖型…………………………………………………………………13
圖4 KMV模型………………………………………………………………………16
圖5 樣本公司產業分佈……………………………………………………………25
圖6 電子業擔保契約效率前緣……………………………………………………34
圖7 紡織業擔保契約效率前緣……………………………………………………35
圖8 電子業無擔保契約效率前緣…………………………………………………35
圖9 紡織無擔保契約效率前緣……………………………………………………36
圖10 電子業與紡織業擔保放款契約效率前緣 …………………………………37
圖11 電子業與紡織業無擔保放款契約效率前緣 ………………………………37

表次
表1新巴賽爾標準法與內部評等法之成本效益比較………………………………2
表2放款訂價理論變數預期方向與敘述……………………………………………14
表3總樣本基本篩選程序……………………………………………………………24
表4 KMV投資經理人樣本分佈 ……………………………………………………26
表5以虛擬變數表示的變數分佈……………………………………………………27
表6非虛擬變數敘述性統計…………………………………………………………29
表7 KMV 投資經理人樣本基本敘述統計…………………………………………30
表8 KMV 違約率模型與TCRI信用評等鑑別比較…………………………………31
表9利率與違約率實證模型分析結果………………………………………………33

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