國內金融機構對上市櫃公司信用放款訂價之探討

Abstract

銀行是社會資金供需之仲介機構，以少數之資本從事高度槓桿的財務操作，放款金額往往是資本的好幾倍，因此，信用風險管理的良窳對於存款人、銀行股東及社會大眾有極大之影響。 台灣金融市場的過度競爭，為爭食有限的客戶，銀行紛紛以削價競爭、提高信用額度等方式拉攏客戶，以圖擴大市場率。面對台灣近年來的低利率時代、面對台灣金機構的價格競爭，引發本論文研究動機，本研究利用Nelson & Siegel(1987)之節約參數殖利率曲線模型(Parsimonious Model)建構不同信用等級之放款殖利率曲線，探討國內金融機構對於上市櫃公司及公開發行公司信用放款之訂價情況、評估放款訂價是否足以彌補承擔之信用風險，以實務運用的角度，研究國內銀行放款訂價與承擔風險之間的關係，以提供金融機構對於放款訂價之參考。 結果發現國內主要的金融機構對於上市櫃公司及公開發行公司的信用放款利率之訂價，均無法彌補所承擔之風險，造成股東權益之減損，各金融機構應審慎選擇授信客戶並予以適當訂價，以創造股東最大利益。

A bank, as an intermediary of supply and demand of funds in a society, grants loans with high leveraged capital. In this respect, credit risk management means a lot concerning the interests of funds suppliers, bank stakeholders and the general public. Taiwan’s financial market is known to be over-banking. To share a limited market, most banks can do nothing but to lower price and increase credit limit to attract clients’ attention. The phenomenon of low interest rate and fierce price war among local financial institutions for the recent years has aroused the research motivation for this thesis. Contributed to Parsimonious Model by Nelson & Siegel, this research locates different loan yield curves according to their credit ratings. The research attempts to collect the pricing policies of local financial institutions for funding publicly listed companies, evaluate the gap between the risk premium and credit risk, and discover the correlation from a practical perspective, which aims to provide useful reference to financial institutions when setting price. The conclusion goes to that the risk premium realized from publicly listed companies by local financial institutions is actually insufficient enough to cover the credit risk they are bearing. As a consequence, financial institutions had better be selective in clientele and proper in funding to enhance their stakeholders’ best interest.