臺灣上市櫃電子公司信用風險與信用交易之相關性研究

Abstract

信用風險是2006年底開始實施的新巴塞爾資本協定三大支柱之一，也是風險管理中最具挑戰性的部份，其中「信用等級之變化」及「違約發生與否」是信用風險的兩大重點。過去常用的信用風險模型常依賴公司之財務資訊，但財務資訊有時間之落後性，本文採用Merton選擇權評價模型，計算出樣本期間(92-93年)臺灣上市櫃電子公司共242家樣本公司之違約距離（DD值），並首次利用同為即時訊息的證券信用交易資訊(融資、融券使用率)，作兩大項驗證：（一）由一般迴歸驗證「違約距離」、「融資使用率」、「融券使用率」對「信用等級變化（以TCRI等級為指標）」之解釋能力；（二）由Logit迴歸驗證「違約距離」、「融資使用率」、「融券使用率」對「違約發生與否」之解釋能力。 經實證結果：（一）考慮「違約距離」後，「融資使用率」對「信用評等變化(TCRI)」有顯著解釋能力，但「融券使用率」對「信用評等變化(TCRI)」卻沒有顯著解釋能力。（二）考慮「違約距離」後，「融券使用率」對「違約發生與否」有顯著解釋能力，但「融資使用率」對「違約發生與否」無顯著解釋能力。結論可作為日後判斷信用風險之參考。

Credit Risk is one of three pillars in The New Basel Capital Accord, which is going to launch at the end of 2006, being the most challenging branch in Risk Management. “The change of credit ratings” and “availability of default” are two focuses in it. In the past, Credit Risk Model relied on the information by financial statement, but it used to be delayed. Consequently, Merton in the paper, an option-pricing model, is discussed to estimate the value of DD (Distance to Default) between 2003-2004 in 242 sample high-tech companies of Taiwan Stock Market. Margin Buying Ratio and Short Selling Ratio, as real-time information in security credit transaction, are first used to verify in two ways: 1) Using general Regression to evaluate the ability of DD and Margin Buying Ratio and Short Selling Ratio in “The change of credit ratings（TCRI）” 2) Using Logit Regression to evaluate the ability of DD and Margin Buying Ratio and Short Selling Ratio to “availability of default” The empirical results suggest: 1) Margin Buying Ratio has a stronger ability to analysis in “The change of credit ratings（TCRI）”, after taking DD value into consideration. 2) Short Selling Ratio has a stronger ability to analysis in “availability of default”, after taking DD value into consideration.

The conclusion can be used as reference to evaluate credit risk.