臺灣博碩士論文加值系統

信用保證機構向來是各國政府對中小企業融資需求輔導或照顧的重要制度。我國政府透過台灣中小企業信用保證基金（以下簡稱信保基金，SMEG）提供信用保證，協助中小企業順利自金融機構取得所需的資金。SMEG雖非營利機構，然其營運收付之財務狀況，仍影響機構是否得以永續經營。是故，本篇論文修訂Merrick (2001)聯立估計的模型，以國內某家銀行移送信用保證之放款案件為樣本資料，推估出信用保證放款案件的違約機率與回復率；此機率除可量化信用保證案件之承保風險外，亦可提供信保基金為將來的代償責任預作準備。在日趨複雜的金融環境中，風險控管是否得宜往往影響機構營運甚至生存，本文模型則為信用保證機構提供了一個可行的風險評估模式。

In almost all nations, credit guarantee is an important system that the government relies on to help small and medium enterprises (SMEs) obtain finance and provide guidance to them. In Taiwan, Small and Medium Enterprise Credit Guarantee Fund (SMEG) is an institution mandated by the government to assist SMEs to obtain necessary funds from financial institutions. Although SMEG is a non-profit organization, its financial status still affects its sustainability. Therefore, this paper modifies the model presented by Merrick (2001) and uses data of loans submitted by a domestic bank to SMEG for credit guarantee to estimate probability of default and recovery rate of credit guaranteed loans. As this model quantifies risk of credit guarantee, it can help SMEG calculate the necessary reserve for prepayment in subrogation. In this increasingly complicated financial environment, quality of risk control determines the prosperity or survival of an organization. The proposed model is a feasible risk evaluation model that credit guarantee institutions can utilize to effectively improve their quality of risk control.

Table of Contents

Abstract ……………………………………………………………………………… II
1. Introduction ……………………………………………………………………… 1
2. Development of SME Credit Guarantee Systems ……………………….. 13
2.1 SME Credit Guarantee Systems in Foreign Nations ………………....... 13
2.2 Development of the SME Credit Guarantee System in Taiwan ..…… 15
2.3 Challenges Facing SMEG………………………………………………….. 30
3. Evolution and Literature of Credit Risk Models ………………………...... 38
3.1 Basel Capital Accord ………………………….................................... 38
3.2 Conventional Credit Risk Measurement Models ……………………. 42
3.3 Structural Approach Model ……………………………………………... 52
3.4 Reduced-Form Model .................................………………………….... 58
4. Assessment of Credit Guarantee Risks ………………………………….... 69
4.1 Model Specification ………………………………………………........ 70
4.2 Empirical Results and Analysis………………………………………....... 73
5. Conclusions and Suggestions……………………………………………….... 80
Reference …………………………………………………………………………... 84
Appendix A：The Flow Chart of Trust-Region Reflective Newton Algorithm … 89

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