台灣營造業工程履約保證定價模型之研究

Abstract

根據台灣營造業現況，承包廠商在與業主簽訂契約前，須先取得工程履約保證。承包廠商一般皆以銀行簽發之信用狀或本票作為工程履約保證，履約保證之審核屬於銀行徵信業務。然而一般銀行之授信規範皆以定性條件考量，廠商取得保證後，每期應繳交履約保證費率予銀行，其費率皆為單一費率，未能反映不同廠商之信用風險。 本研究利用選擇權方法，估算所選取營造公司之信用風險以作為工程履約保證之短期費率。由分析結果可知，對於正常公司而言，其保證費率低於現行單一保證費率；而對於違約公司而言，其保證費率高於現行單一保證費率。此驗證現行單一履約保證費率之不合理性。接著以信用交換定價方法之理論基礎，建構一量化之工程履約保證定價模型。利用蒙地卡羅模擬可知，擔保品額度增加、利率上揚、以及擔保品回收成數越高，則保證費率越低；違約機率越高，則保證費率越高。本研究提供一個無套利的模型來對長期工程履約保證進行定價，以估算出公平之履約保證費率。

According to current circumstance of Taiwan construction industry, contractors are required to purchase construction performance bond before signing a contract with their clients. Most of the contractors purchase the letter of credit or promissory note issued by banks as the construction performance bond. The qualification of construction performance bond belongs to underwriting affairs of banks. However, most banks adopt qualitative conditions for qualification of construction performance bond. The contractor will start to pay premium which is a single premium to banks after purchasing construction performance bond. However, this single premium can’t reflect the credit risk of different contractors. The study of this thesis has adopted option theory to assess the credit risk as a short-term premium of construction performance bond for construction companies. According to the analysis result the premium of healthy companies is lower than existing single premium, but the premium of default companies is higher than existing single premium. The study of this thesis validates that this existing single premium is unreasonable. Afterwards, this thesis utilizes credit swap theory to construct a quantitative pricing model of performance bond. Furthermore, from Monte Carlo simulation, we can see the fact that the premium will be lower with higher collateral fraction, interest rate, as well as collateral recovery ratio. As a result the premium is direct proportional to the probability of default. The study of this thesis provides an arbitrage-free pricing model to evaluate fair premium for long-term construction performance bond.