從不動產預期違約機率探討銀行授信風險管理品質

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Title:	從不動產預期違約機率探討銀行授信風險管理品質
Other Titles:	Exploring the quality of bank credit risk management through estate expected default frequency
Authors:	陳璦玲;Chen, A-Ling
Contributors:	淡江大學財務金融學系碩士在職專班邱建良;張鼎煥
Keywords:	不動產;抵押;授信;預期違約機率;信用風險;莫頓(Merton)模型;estate;Mortgage;Credit;Expected Default Frequency;Credit risk;Merton model
Date:	2014
Issue Date:	2015-05-04 09:43:42 (UTC+8)
Abstract:	經濟成長不動產價格膨脹上揚，不動產抵押授信放款曝險期間較長，但卻是銀行業資金運用生利相當重要的業務及獲利來源，銀行業之間的過度惡性競爭，對於申貸者的信用等級調低致放款寬鬆，高估不動產價格，當經濟步入衰退期，不動產抵押品價值下跌，申貸人違約機率隱含風險升高，銀行業喪失資金的流動性及清償性，所面臨的危機將瓦解金融體系穩定性；債信危機使全球各地金融機構經營不善案例頻傳。本研究從不動產預期違約機率探討銀行授信風險管理品質。自2006年起美國發生次級房屋信貸違約風暴危機後，在2008年蔓延至全球，演變為全球金融海嘯，影響全球金融市場穩定性，全球各界於是開始從不同面向探討次級房屋信貸危機發生原因及影響程度，積極進行相關制度與法律規範的強化，新版巴塞爾協定的實施，為銀行業財務風險監督管理帶來新面貌與挑戰。本研究採用資料時間範圍為2008年第3季至2013年第2季止的季資料，樣本合計380筆觀察值，應用具市場資訊與即時性優點的莫頓(Merton)模型估計預期違約機率(Expected Default Frequency, EDF)，採用時間序列(time-series)輔以縱橫資料(panel data)方法，進行基本敘述統計分析，研究結果顯示能有效區分臺灣地區19縣市不動產抵押授信放款期間存在預期違約機率的隱含風險現象。此估計模型合理估計衡量不動產抵押授信放款期間預期違約機率與每單位報酬需承擔之違約機率，別於以往文獻研究方式，是本論文特殊之處。 The mortgage loan takes great proportion of profits in bank. Due to the unhealthy competition, banks over-estimate the price of real estate and accept the appliances with lower credit rating. The price of real estate will soar highly when economic growth and that will cause the risk of mortgage loan becomes longer. In recession, the value of mortgage fell that increases the imply default risk. Then, the banks will lose capital liquidity and the coming crisis disrupt the stability of financial system. Debt crisis causes a lot of bad management of financial institutions cases around the world. In this study, discuss the exploring the quality of bank credit risk management through estate expected default frequency. After the subprime mortgage default crisis disburses in America in 2006 and spreads to global in 2008, the authorities discuss the reason and influence of crisis. Simultaneously, the authorities actively strengthen relevant rules and regulations such as new BASEL agreement. To bring the brand new face to banks’ financial risk supervisory management. Different from the past research this model reasonably measures the predicted default risk of mortgage loan. We choose the quarter data from the third quarter in 2008 to the second quarter in 2013. There are 380 samples and we use these panel data to do empirical estimation. We adopt Merton model with market information and promptness merits. We do the descriptive statistic analysis to gauge the predicted default risk of mortgage loan in 19 counties in TAIWAN. The outcomes show that we can find it exactly exist the predicted default risk of mortgage loan phenomenon.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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