企業違約風險探討

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Title:	企業違約風險探討
Other Titles:	The research of loan default predicting model for enterprise
Authors:	李嘉昇;Li, Chia-sheng
Contributors:	淡江大學財務金融學系碩士在職專班林允永
Keywords:	財務構面變數;非財務構面變數;擔保品;Z-score;Logistic Model
Date:	2011
Issue Date:	2011-12-28 17:40:09 (UTC+8)
Abstract:	文提要內容：企業授信是銀行重要的收入來源也是企業能夠茁壯與成長的夥伴，但是銀行決定是否給予企業授信額度時，必須參考許多的指標，包含了財務構面與非財務構面的變數，銀行必須賺取放款的利息收入與避免企業的違約損失，所以銀行如何在風險與收益之間取得平衡，則是非常重要的課題。本研究則是以國內某商業銀行97~99年度的全部企業違約為研究對象，採用財務與非財務構面的變數來做實證分析，利用Altman的Z-Score值與Logistic Model來分析企業在違約年度的報表是否就顯示出可能發生違約的情形，並利用正常戶與違約戶的財務比率來作比較，確認該模型是否適用在該銀行的授信政策。 This thesis applies event study to investigate possibility of enterprise default risk. We exam the financial variable and non- financial variable by Z-Score model and Logistic Model from local bank in Taiwan. Corporate lending by banks is also an important source of income for businesses to thrive and growing partner. But the bank''s decision whether to grant business credit line, you must refer to a number of indicators, including the financial dimension and non-financial dimension of the variables. Interest income earned on loans to banks and to avoid loss of corporate defaults,.So how banks in the balance between risk and return, it is a very important issue. This study is based on a domestic commercial bank 97 to 99 years of corporate defaults as the research object households, the use of financial and non-financial dimensions of the variables to do an empirical analysis. Using Altman''s Z-Score value and logistic models Logistic Model to analyze the companies in breach of the annual report is likely to show a default situation, And use normal household financial ratios and default account for comparison to confirm the applicability of the model in the bank''s credit policy.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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