标题: 应用存活分析建构台湾中小企业风险评估模型
Constructing the Risk Assessment Model Using Survival Analysis for Small and Medium Enterprises in Taiwan
作者: 刘怡珍
Liu, Yi-Chen
唐丽英
洪瑞云
Tong, Lee-Ing Tong
Homg, Ruey-Yun
工业工程与管理学系
关键字: 中小企业;风险评估;主成份分析;Cox模式;存活分析;small and medium enterprise;risk assessment;principal components analysis;cox model;survival analysis
公开日期: 2009
摘要: 近年来国内中小企业受到经济不景气的影响,且随着全球化竞争日渐激烈及产业外移,国内银行等金融机构对于中小企业之放款态度渐趋保守,造成绝大多数的中小企业均面临资金严重短缺的窘境。然而,中小企业的财务结构不若大企业健全,财务报表资讯可信度较低,无法真实反应公司实际经营状况,此导致中小企业与金融机构之间存在严重的资讯不对称(information asymmetry)问题,使得金融机构很难有效研判中小企业的偿还能力,以致银行或金融机构对于中小企业授信作业不易,放款政策不易订出。目前国内、外文献所提出的违约之风险评估多以上市柜之大型企业为研究对象,对于中小企业违约风险评估之研究相对较少,因此现有的国内、外文献所建议违约风险评估系统可能不适用于评估中小企业贷款的信用判定标准。因此,本研究针对以中小企业为主要借款客户之金融机构,建构一套客观且合理之风险评估模型,以预测中小企业是否会违约及预测违约的时点,以供银行或金融机构之决策者作为弹性放款决策之參考依据。本研究所建构风险评估模型之过程,主要分为四阶段:(1)选择变数与搜集整理资料;(2)利用主成份分析来消除变数间之共线性;(3)利用Cox模式来建构风险评估模型及建立中小企业在各个时点的存活机率表;(4)验证存活机率表之有效性,以提供银行或金融机构决策者作为弹性放款决策之參考依据。本研究搜集了国内某金融机构所提供之中小企业客户历史资料进行模型建构,验证本研究模型之可行性。
Recently, domestic small and medium enterprises (SMEs) are affected by the economic downturn, increasingly intense global competition, and industry relocation. Financial institutions such as domestic banks became conservative regarding to SME loans; as a result, most SMEs face the problem of fund shortage. However, SMEs’ financial structure is not as sound as large enterprises; the credibility of financial statements is relatively lower and cannot reflect the actual operational performance. As a result, the information asymmetry between SMEs and financial institutes is serious. It is hard for financial institutions to estimate SME’s repayment capacity and therefore difficult for them to design the loan policy for SMEs. Domestic and foreign studies on default risk assessment focus mostly on listed or over-the-counter companies which have a larger scale. There are not as much studies on the default risk of SMEs. As a result, the default risk assessment system in domestic and foreign studies may not apply to the credit criteria in SME loans.
The study targeted financial institutes whose clients are mostly SMEs. We built an objective and rational risk assessment model to predict SME’s default possibility and time to default. Decision makers in financial institutes can use this as a reference for flexible loan decisions.
There are four stages in constructing the risk assessment model: 1. To select variables and collect data; 2. To eliminate the colinearity among variables using the principal components analysis; 3. To build the risk assessment model and survival rate table for SMEs based on the Cox model; and 4. To verify the effectiveness of survival rate table, which is a reference for decision makers in financial institutions regarding flexible loans. The study collected historical SME data from a domestic financial institute to build and test the feasibility of the model.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT079733545
http://hdl.handle.net/11536/45454
显示于类别:Thesis