以財務比率建立銀行放款信用評估模式

Abstract

在政府提倡金融自由化、國際化之引導下，16家新銀行相繼成立，金融產 品不斷推陳出新，銀行間業務之兢爭愈演愈烈；另據央行統計資料顯示： 銀行仍以放款為主要營業項目。因此，在傳統存放利差縮小、業務兢爭日 趨激烈之環境下，更須注意放款決策品質與評估時效，以保障其債權、擴 展放款業務；減少放款損失與資金積壓等弊端。職是之故，本研究期以借 款戶財務比率資料，建立一具體而明確之放款信用評估模式，作為銀行放 款前信用評估之參考依據。研究中以「股票交易採全額交割」作為信用危 機之界定標準，據以選取信用危機樣本15家；另以配對方式選取產業相同 、規模相近之信用正常樣本15家，分別求算其危機前三個年度之財務比率 各 21種。而后，利用因素分析法篩選特徵值大於一者，以其因素得分為 解釋變數，分別建立危機前三個年度之邏輯迴歸模式。並以因素負荷量大 於 0.6之財務比率為主，進行因素之解釋與命名。分析結果顯示：本研究 所建立之模式，其解釋能力與區別能力均具顯著性。且模式中所得之機率 值代表企業信用正常之機率，若能根據本研究之評估結果，對於比較可能 發生信用危機之企業，輔以其它非財務性之因素考量、加以重點徵信，則 不僅可降低徵信成本，且可提高放款品質與時效。 Because of the internationalization and liberalization of the nation's financial system,16 new banks have been established one by one,and the financial products have been changed very quickly. The competition in loan making among banks has become harder. As as result,banks urgently need a concrete and definite credit devaluatoin model as a criterion before loan making. In this study, we use FULL DELIVERY as the criterion of credit crisis to choose 15 credit crisis samples.On the other hand,we separately find 15 normalsamples with the similiar scales in the same industry by means of pair-making method. And we separately devaluate their 21 financial ratios before credit crisis for 3 years. Then we choose the factors whose eigenvalues are larger than 1 and use their facor scores as the explaintary variables to establish Logistic Regression Model.Finally, we name the factors according to Financial Ratios whose Factor Loadings are larger than 0.6. As the study showing, the explanatory ability and discriminanting ability in this study are significant. So banks may use the model to make loan with the help of other non- financial factors in order to reduce costs and improve qualities of bank loan.