銀行授信決策模式之構建及其應用︰以動態規劃分析的安全準則導向

Abstract

就本國銀行經營業務型態而言，授信業務仍為獲利的主要來源，實為 銀行營運命脈之所繫。本文嘗試從一個嶄新的角度切入問題，為降低人為 舞弊、袪除放款風險，而提出一套基於安全準則為訴求的授信決策模式， 可以提昇放款品質，將借款戶呆帳風險有效降低，俾更加保障銀行的債權 。 本文之第二章旨在介紹不同評估原則的銀行授信決策模式，剖析各 種立論之內涵，以為建構授信決策模式之基本考慮，並進而從宏觀角度， 導引整合性決策支援系統之設計雛型，用以凸顯本研究模式之系統功能。 第三章之研究方法則係以動態規劃為主，採用成本─數量─利潤分析 為分析工具，以多期間的淨現金流量作為授信決策之基礎，並導入馬可夫 動態規劃之階段最適化決策，提供授信管理者階段的作業處理過程以及控 制計劃之程序。換言之，在本研究之方法整合分析中，成本－數量－利潤 分析提出了一個簡易明確的授信決策指標，而馬可夫動態規劃方法則為其 品質提昇作了較為具體的保證。第四章導之於淨現金流量之觀念，以之獲 致調整後之損益平衡點，即具初步之指標意義，並以可行曲線導引銀行授 信決策之接受區域，提供銀 行授信決策者可供採行之重要參考基礎。在 可接受區域內，以衡量借款戶是否在放款後改善他們的績效，而作授信與 否之依據，是為安全準則導向的銀行授信決策。同時，本研究亦例舉銀行 個案，以為實證之參考，並就農業及工業個案操作，以為應用之推廣。第 五章則係本文模式之一般化推展，第一，可以將轉移機率及報酬函數視情 況予以適度調整，第二，可以應用折現因子計算每個階段的期望收入。此 之一般化模式，除了導入個案研究外，可以作為後續研究之重要參考方向 ，亦將導引本研究之安全準則導向的銀行授信決策模式更見說服力。 本文最後以結論及建議彙總了安全準則導向的銀行授信決策模式的重點及 勾劃了提升未來研究幾個建議方向。 This dissertation proposes a credit granting model based on safety-first strategy. Our model could reduce bad debt for granting credit, enhance the quality of the loan, decrease the defect of the loan officer's subjective, and protect the asset of banks. After a brief introductory chapter, chapter 2 compares the bank credit granting models by vary discipline, analyze different approaches for establishing credit granting models, and induce the prototype of comprehensive decision support systems for exploring system functions of our research. The methodology of dynamic programming is studied in chapter 3. Adopting cost-volume-profit analysis as a tool, that makes the optimal credit granting decisions by multi-period net cash flow basis, and provides loan officer step-by-step procedure to monitor the planning process by Markovian dynamic programming. Chapter 4 uses net cash flow concept to derive the customer's revenue exceeding adjusted break-even point, which is an effec- tive indicator of risk measure. The portion of total revenue curve beyond the break-even point which the bank will make the safety- first oriented decisions for credit granting procedure is defined as feasible curve. The feasible curve could be referred to acceptive area. It is an important function as a safety-first oriented decision for bank credit granting that measures whether customers are likely to improve their business performance after granting the loan. Chapter 5 proposes the generalized procedure for our approach. We also propose a case study in the last section of this chapter. Finally, concluding remarks summarize our approach that provides the strategic decisions of bank credit granting and up- grade the quality of loans, and adopt some suggestions to enhance our further researches.