標題: | 中小企業信用風險加成模型之實證研究-以台灣之H銀行為例 CreditRisk+ Model for Small and Medium Enterprises:The Case of H bank in Taiwan |
作者: | 陳瑞娟 Jui-Jan Chen 王克陸 Dr. Kehluh Wang 財務金融研究所 |
關鍵字: | 信用風險加成模型;暴險額;違約機率;違約損失分配;經濟資本;損失準備;CreditRisk+;Credit Exposure;Default Rates;Loss Distribution;Economic Capital;Annual Credit Provision |
公開日期: | 2005 |
摘要: | 本研究以國內某商業銀行之中小企業授信戶為研究對象,依據各項授信資料建立信用風險模型,主要依據瑞士信貸第一波士頓銀行(Credit Swiss First Boston, CSFB)所提出的CreditRisk+建立中小企業授信戶之違約損失分配,希望藉此模型協助金融機構,在管理中小企業授信戶之信用風險時,能精確估計提列信用損失準備金,以因應非預期信用風險發生時的可能損失,提供金融機構管理信用風險的另一種模型。其研究結果如下:
1. 為了順利建立CreditRisk+模型,本研究利用非線性迴歸模型估計各信用等級之違約機率,其中信用等級A,其違約機率為0.12%;信用等級B,其違約機率為0.36%;信用等級C,違約機率為1.08%。呈現信用等級越差,違約機率越大之趨勢。
2. 運用CreditRisk+模型,建立投資組合之預期違約損失分配,求得各種百分位損失水準的臨界值資訊,精確的估計提列信用損失準備金:為因應當債權人發生非預期損失,銀行需要準備的額外自有資金為730,033千元,此為經濟資本。年度信用準備提撥金額(ACP)即是預期違約損失金額110,266千元。此外,當極端狀況出現時(99%水準),附加信用準備上限(ICR cup)為840,299千元,此項金額的功能主要為用來彌補年度信用準備之不足。 The main purpose of this paper is to investigate the credit risk of the small and medium enterprises in Taiwan. CreditRisk+ model is adopted to analyze important variables and to establish the loss distribution. Financial institutions can estimate appropriate credit provisions and provide protection against unexpected losses. Our empirical results include: 1. We estimate the default rate by nonlinear regression. It is 0.12% for rank A, 0.36% for rank B and 1.08% for rank C. 2. Using H bank’s data about SMEs to estimate the loss distribution and to calculate the provision, the economic capital is 730,033 thousand dollars which is a cushion for unexpected credit default losses. The Annual Credit Provision (ACP) is the expected loss of 110,266 thousand dollars, and the ICR Cap is 840,299 thousand dollars. |
URI: | http://140.113.39.130/cdrfb3/record/nctu/#GT009339504 http://hdl.handle.net/11536/79706 |
顯示於類別: | 畢業論文 |