博碩士論文 91438207 詳細資訊


姓名 戴文彬(Wen- Pin Tai)  查詢紙本館藏   畢業系所 財務金融學系在職專班
論文名稱 違約企業償還率的實證研究
(Empirical Study on the Recovery Rate of Non-performing Commercial Loans)
檔案 [Endnote RIS 格式]    [Bibtex 格式]    [檢視]  [下載]
  1. 本電子論文使用權限為同意立即開放。
  2. 已達開放權限電子全文僅授權使用者為學術研究之目的,進行個人非營利性質之檢索、閱讀、列印。
  3. 請遵守中華民國著作權法之相關規定,切勿任意重製、散佈、改作、轉貼、播送,以免觸法。

摘要(中) 摘 要
銀行在國家經濟體系裡扮演重要的角色,其放款政策往往帶動經濟成長,但是錯誤的放款也讓經濟向下沈淪。本國銀行近幾年飽受呆帳之苦,讓金融業者必須自我檢討,銀行是不是有清楚的目標,風險管理的制度是否健全。銀行以社會大眾存款為放款來源,對社會的責任不言可喻,風險管理必須更嚴謹。
銀行從徵信、審核、撥貸到不良放款的求償,都是風險管理重要的環節。償還率的研究在探討風險管理的最後一個環節,由分析影響償還率的因素及實證結果,回饋給制定授信政策、呆帳準備、擔保品鑑估、預估損失、授信訂價、計算風險值等攸關風險管理的要素參考,檢視是否合理。
本研究之目的主要在探討下列三個主題1.影響償還率的因素2.償還率影響因素交叉分析3.新舊銀行償還率的差異。並以個案及實證的方式探討。
在個案裡以某一電子公司,從授信的背景、造成違約的因素、及影響償還率的因素,到各銀行最後的償還率作詳實的論述。
實證研究方面,以A銀行授信資料,81年至91年違約企業146家,包含違約案件223筆為樣本,作償還率的實證研究。利用兩樣本平均數檢定與變異數分析檢視產業別、額度使用率、授信期間、總體經濟、企業之金融負債比率與企業信用情形對償還率之影響。另外並對新舊銀行的償還率予以比較。
本研究之最後實證結果為把影響償還率的因素分成三類(1)借戶自身的體質(2)外在經濟環境的影響(3)授信條件(徵提的擔保品或授信期間等)。影響最大的仍為擔保品因素,其中不動產的償還率最高48.24%,其次依序為中小信保基金36.88%、機器21.91%、應收票據7. 8%、無擔保8.9%。借戶自身的體質,以評等及金融負債比來檢定對償還率的影響,評分60分以上的償還率為26.6%,較60分以下的21.87%為高。金融負債比100%以下的償還率為27.3%,高於100%以上的21.02%。受外在經濟環境的影響,本項研究以86年金融風暴為分界,86年以前的償還率為30.53%,以後為16.26%。以當年度臺股加權指數漲跌區分,加權指數漲的年度償還率為24.29%,跌的年度償還率為19.82%。
在新舊銀行比較方面,舊銀行中工業銀行的償還率較高,最主要的因素在於有徵提擔保品,尤其廠房均設定於該銀行。取五家舊行庫,依不同的樣本其償還率為交銀(21件樣本)45% ,彰銀(40件樣本)47%,台銀(19件樣本)18%,一銀(48件樣本)37%。五家新銀行償還率分別為萬泰(樣本20件)22%,泛亞(樣本16件)10%,台新(樣本10件)11%,安泰(樣本9件)0%,中興(樣本25件)17%。
摘要(英) Abstract
Bank plays an important role in the national economic system. Its policy drives the economic growth, yet ill-determined loans would damage the economy. Domestic banks in Taiwan have been suffering from dead loans over the past few years, thus, the financial corporations are forced to review their definition of goals, as well the completeness of the risk management system. Banks feed the public’s savings to supply loans, hence, their social responsibilities are self-evident and risk management policies required careful execution.
Credit check, loan approval, appropriation, and claim for non-performing loans are all important risk management segments. The study on recovery rate discussed the last segment of the risk management. The factors affecting the recovery rate and empirical results were provided as guidelines on policy making, preparation for bad debt, collateral appraisal, forecast loss, loan pricing, calculation of risk value.
The purpose of this study is to discuss the following three topics: 1) factors affecting recovery rate; 2) cross analysis on the abovementioned factors; 3) the difference between the recovery rate of new and old banks. Case study and empirical study were conducted.
The case study analyzed the loan background of an electronics company that attributed to infringement of the contract, and the factors affecting the recovery rate. Lastly, detailed discussion on the recovery rate of various banks was provided.
The empirical study focused on the recovery rate of Bank A, provided 146 companies and 223 cases of non-performing loans from 1992 to 2002. The average values and variant analysis were conducted to examine the effect of industry, credit usage ratio, loan period, overall economy, the liability ratio, and credit status of the company on recovery rate. The difference between the recovery rate of new and old banks was discussed.
The results of the empirical study classified factors affecting the recovery rate into three groups: 1) the characteristics of the debtor; 2) the influence of the external environment; 3) loan conditions (collateral or loan period). The most influential factor was the collateral, of which the recovery rate for real estate was the highest at 48.24%, followed by medium to small trust fund at 36.88%, machinery at 21.91%, check receivable at 7.8%, and no collateral at 8.9%. The evaluation of the debtor’s characteristics, rating, and liability showed that the recovery rate of those rated 60 or above at 26.6%, followed by below 60 at 21.87%. The recovery rate of those with liability ratio of 100% or below was 27.3%, over 100% was 21.02%. Under the external economic influence, based on line of division at 1997 Asian Financial Crisis, the recovery rate before 1997 was 30.53%, and after 1997 was 16.26%. Based on the up
and down trend of Taiwan Weighted, the recovery rate in upward trend was 24.29%, and in downward trend was 19.82%.
In comparison of new and old banks, Industrial Taiwan of Taiwan had the highest recovery rate amongst old banks because of its requirement on collaterals, namely factory buildings. Based on different sample cases, the recovery rate for Chiao Tung Bank (21 cases) was 45%, Chang Hua Bank (40 cases) was 47%, Bank of Taiwan (19 cases) was 18%, First Bank (48 cases) was 37%. For the new banks, the recovery rate for Cosmos Bank (20 cases) was 22%, Pan Asian Bank (16 cases) was 10%, Tai Shin Bank (10 cases) was 11%, Entie Commercial Bank (9 cases) was 0%, and Chung Shing Bank (25 cases) was 17%.
關鍵字(中) ★ 償還率 關鍵字(英) ★ Recovery rate
論文目次 違約企業償還率的實證研究
目 次
摘 要 I
目 錄 II
圖 表 III
第一章 緒論………………………………………………………………………P1
第一節 研究背景……………………………………………P1
第二節 研究動機……………………………………………P2
第三節 研究目的……………………………………………P3
第四節 文獻回顧……………………………………………P4
第五節 研究貢獻……………………………………………P8
第二章 個案研討-違約企業的償還情形………………………………………P9
第一節 研討目的……………………………………………P9
第二節 個案介紹……………………………………………P9
第三節 各銀行償還率………………………………………P19
第四節 A銀行在本案風險管理過程………………………P27
第五節 銀行團會議…………………………………………P29
第六節 結論…………………………………………………P30
第三章 研究設計………………………………………………………………P33
第一節 選樣設計……………………………………………P33
第二節 研究方法……………………………………………P33
第三節 變數說明……………………………………………P35
第四節 統計方法簡介………………………………………P37
第四章 實證結果………………………………………………………………P39
第一節 償還率實證結果……………………………………P39
第二節 償還率影響因素……………………………………P40
第三節 償還率影響因素交叉分析…………………………P44
第四節 新舊銀行償還率比較………………………………P47
第五節 研究限制……………………………………………P49
第五章 結論與建議……………………………………………………………P50
第一節 敘述償還率…………………………………………P50
第二節 對風險管理的影嚮…………………………………P51
第三節 後續研究建議………………………………………P52
參考書目………………………………………………………………P53
圖表目次
表1-1:Altman & Arman(2002)–Period Covered 1978-2001, Prices at Default …………………………………………………………………………………P5
表1-2:Altman (2002) – Investment Grade vs. Non -Investment Grade (Original Rating) – Period Covered 1971 -2001, Prices at Default ……………………………P5
表1-3:Altman (2002) – Bank Loan (1996 -2001) – Prices at or Just After Default…P6
表1-4:Moody’s(2000)– Period Covered 1970-2000, Prices One Month After Default…………………………………………………………………………………P6
表1-5:Standard & Poor’s (2000) – Period Covered 1981 -1999, Prices Shortly After Default and at Emergence ………………………………………………P6
表2-1:案例公司簡表 ………………………………………………………………P12
表2-2:案例公司資金來源表…………………………………………………………P13
表2-3:案例公司預估損益表…………………………………………………………P13
表2-4:案例公司預估現金流量表……………………………………………………P14
表2-5:案例公司預估資產負債表……………………………………………………P15
表2-6:A銀行評等分數表……………………………………………………………P16
表2-7:以違約前一年起算各銀行的償還率(新接手者尚未介入) …………………P19
表2-8:案例公司違約後之償還率……………………………………………………P26
表2-9:國內銀行規模(92年12月)………………………………………………P30
表4-1:變異數分析結果 ……………………………………………………………P41
表4-2:兩樣本平均數與中位數檢定……………………………………………… P41
表4-3:不同產業下各擔保品別償還率表現……………………………………… P44
表4-4:不同總體環境下各擔保品別回收率表現………………………………… P45
表4-5:排除總體經濟影響之共變數分析………………………………………… P45
表4-6:共變數分析事後比較……………………………………………………… P46
表4-7:新舊銀行償還率比較……………………………………………………… P47
圖3-1:各年度之經濟成長率與名目GDP成長率…………………………………P37
圖4-1:各擔保品別之平均償還率………………………………………………… P39
圖4-2:各產業之平均償還率……………………………………………………… P40
圖4-3:額度使用程度與償還率…………………………………………………… P40
圖4-4:各銀行償還率情形………………………………………………………… P47
參考文獻 參考文獻
1. 陳木在與陳錦村(民90),商業銀行風險管理,新陸書局。
2. 紀景耀(民88),信用風險下可轉換公司債之評價,政治大學金融學系碩士論文。
3. 陳雅惠(民89),以信用等級變動衡量信用風險-以無擔保公司債為例,東吳大學會計學系碩士論文。
4.楊博仁(民91),信用風險值-臺灣企業違後償還率之探討,東吳大學會計學系碩士論文,頁20-21。
5.包爾斯、計葵生、黃偉權著,李佩芝、莊安祺譯(民93),亞洲銀行新未來,時報文化。
6.曾令寧、陳威光(民88),信用風險模型簡介,存款保險季刊13卷2期。
7. Edward I. Altman 、Andrea Resti、AndAndrea Sironi ( 2001) ,Analyzing and Explaining Default Recovery Rates P86 -95。
8. Edward I. Altman, Brooks Brady, Andrea Resti and Andrea Sironi (2003),The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications P2-5。
9. Lea V. Carty 、Dana Lieberman(1996) Defaulted Bank Loan Recoveries,Moody’s Special Report,P1。
10.Michel Crouhy、Dan Galai、Robert Mark(2001),Risk Managerment,Mc Graw-Hill。
指導教授 陳錦村(Jing-Twen Chen) 審核日期 2004-7-13
推文 facebook   plurk   twitter   funp   google   live   udn   HD   myshare   reddit   netvibes   friend   youpush   delicious   baidu   

若有論文相關問題,請聯絡國立中央大學圖書館推廣服務組 TEL:(03)422-7151轉57407,或E-mail聯絡