| 摘要: | 本研究探討中小企業信保案件之信用風險，文章一開始先對國外以及台灣的中小企業信保制度做詳細完整的介紹，以利讀者對信保制度及其可能存在之風險有進一步的認識與瞭解。接下來選取90年在金融聯合徵信中心有註記為信用擔保之案件作為研究樣本，利用Moody’s所發展的PFM模型計算違約機率，以LossCalc模型計算回收率，最後再利用此兩信用風險因子計算信用風險值。 實證研究對信保樣本做以下七大特性的檢定：(1)產業別，(2)公司規模， (3)授信額度和其佔借款公司資產總額或負債總額的比率，(4)核貸銀行去年的逾放比，(5)借款公司的往來銀行家數，(6)會計師查核意見，(7)過去一年是否有延遲還款記錄。結果發現，在違約機率方面，會隨著公司規模、授信金額以及往來銀行家數遞增而上升；傳統產業的違約機率最高。就回收率而言，擔保比率、違約暴顯比率、違約機率、產業指數報酬率、GDP成長率以及重貼現率都是顯著的預測因子。當信保基金對違約案件執行代位清償時，不同的授信金額、核貸銀行前一年逾放比以及借款公司往來銀行家數間的回收率亦有顯著差異；此外，有擔保品的授信案件回收率明顯高於沒有擔保品的違約案件；以土地及廠房為擔保品的回收率略高於信保基金作保案件的回收率。而公司的各種貸款額度使用率與回收之間也有反向的關係存在。若看投組部位的信用風險值，則電子業、核貸銀行前一年逾放比以及往來銀行家數較高的案件信用風險值也偏高。 最後，由於中小企業的會計制度較不透明，會計師查核意見有人為操縱的可能，所以對信用風險的三大要素都沒有區別能力。而過去一年是否有延遲還款記錄則受限於樣本資料的不足，有延遲還款記錄的企業低於30家，也不具有信用風險的鑑別能力。 This paper explores the credit risk of Small Medium Enterprise Gauranteed (SMEG) loans. In order to make readers be more familiar with SMEG, the first part of this article introduces the foreign and domestic SMEG system. Subsequently, including in the sample firms with record of government guarantee in 2001 JCIC database, we calculate PD and RR by Moody’s PFM and LossCalc model separately. Finally, we use these two factors to get VaR. The empirical research tests the following seven characteristics: 1.industry, 2.firm scale, 3.loan size and the ratio of loan amount to total asset or liability, 4.bank NPL ratio of last year, 5. relationship with banks, 6.accountant auditing opinion, 7.proponed-payment record.The results reveal that PD increases according to scale, loan size and the number of banks rises. Traditional industry has the highest PD；Collateral ratio、 default exposure ratio、PD、return of industry index、GDP growth rate and interest rate are influential expected factors of RR.When the SMEG exercises replacement payment for default loans, there are significant differences among loan size、last year NPL ratio and the number of relative banks. Besides, collateral loans have higher RR than credit loans; while loans mortgaged by land and plant have higher RR than SMEG loans. The usage ratio has negative relationship with RR. Portfolios of Electronic industry、higher NPL ratio and more relative banks have higher credit VaR.. Finally, no matter in PD, RR or VaR, accountant auditing opinion and record of proponed-payment has no distinctive ability. Owing to the less transparency of the accounting system of SME, accountant auditing opinion tends to be manipulated. The number of proponed-payment sample, less than 30 firms, is not sufficient to show the credit risk. |
