| 摘要(英) |
The increasing non-performing loans has become a serious problem in the operation of commercial banks. In order to improve the quality of assets in Taiwan local banks, The Ministry of Finance has decided to implement the「New Basel Capital Accord」in 2006. But there is no completed internal rating-based approach (IRB Approach) to evaluate the credit risk except for the standard method. For the reason to understand the suitability of IRB Models in Taiwan financial environment, this study try to use the traditional Logit and current KMV models to calculate the default probability of public firms in Taiwan and to analyze the lending policy of First Bank and Chinatrust Bank.
Major research findings include: (1) there are four financial ratios could effectively tell default and normal companies which are operating profit, return on assets, return on equity and inventory turnover. (2) except for the effect of differentiating between default and normal companies, using Logit and KMV models can gives a warning in advance to the deterioration of credit quality. (3) because of the information asymmetry in Taiwan stock market, KMV model can not work out when the stock price does not represent the real value about a company. To sum up, this study recommends that commercial banks can use both models simultaneously when assessing the credit quality of a company. They should monitor the credit condition by KMV model in daily term, while keep evaluating the operating performance regularly to do double check. (4) when applying both models on the lending policy of First Bank and Chinatrust Bank, the result shows that both banks can manage effectively the credit risk of their lending customers and provide appropriate loan terms based on their credit levels. For First Bank, the main cause of credit risk results from loans to traditional and architectural industries. It should examine severely the credit condition of these two industries in the future. Chinatrust Bank should revise the loan proportion properly and pay more attention to the customers in traditional industry. |
| 參考文獻 |
參考文獻
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18.“Principles for the Management of Credit Risk”, Basle Committee on Banking Supervision. |
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