本研究探討在眾多影響台灣聯貸案件利率加碼之因素中，借款企業之信用評等是否在金融風暴前後對利率加碼之決定存在顯著變化，同時驗證主導銀行保留額度之多寡是否對台灣聯貸市場案件利率加碼有認證效果(Certification Effect)存在。 研究結果發現，借款企業之信用評等不論在金融風暴前後均對利率加碼存在顯著影響，且金融風暴後影響程度更為顯著，而主導銀行保留額度比率則是在金融風暴後方對新台幣聯貸案件利率加碼存在顯著正向關係。實證結果充份反映出國內銀行在金融風暴後歷經授信策略及行為轉變下，導致借款企業信用評等及主導銀行保留額度多寡對利率加碼之影響程度在金融風暴後明顯有所不同。 金融風暴前，國內資金充裕之環境使聯貸案多能圓滿籌組完成，故主導銀行保留額度比率低；而在金融風暴後，銀行一方面採取緊縮授信政策，但另一方面在須配合三挺政策增加放款之壓力下，轉而在授信審核上更趨嚴格，使借款企業信用評等成為決定聯貸借款利率之更關鍵因素，聯貸市場上形成信用評等良好借款企業之聯貸案利率加碼偏低且獲大幅超額認購，主導銀行保留額度低；但連年虧損、產業前景差或瀕臨紓困企業之聯貸案件，利率加碼偏高且主導銀行須保留極大額度以求順利完成額度募集之現象，故不論金融風暴前後，台灣聯貸市場並無存在主導銀行對利率加碼之認證效果，借款企業本身之信用評等才是決定利率加碼高低之最重要因素。

台灣上市公司不預警地宣布重整，跳票、全額交割或下市，造成投資大眾的損失，因此，必須建立企業信用模型來偵測其經營狀況。本研究發現財務比率自企業危機前五年起逐漸惡化，表示財務比率在危機發生前有惡化現象，另外危機發生後幾年財務比率仍有影響，故本研究視企業危機為一逐年遞增或遞減的變數，使用模糊數轉化，加入危機發生前後的總體變數，並且結合統計多變量分析和資料探勘中的乏析理論建立模型，使用窮舉法找出解釋力最佳之企業信用模型，結果顯示，採用模糊數轉化之應變數相當顯著。 / The listed companies in Taiwan suddenly announced restructuring, bankruptcy or out of stock, and their investors lost a lot. Therefore, we must set up the enterprise credit model to detect and examine their management states. We discover that the financial ratios decrease gradually since the past five years of enterprise's crisis. Besides, financial ratios still diminish after the crisis take place. Therefore, this research regards enterprise's crisis as one parameter, and we transform the parameter by fuzzy numbers. In addition, we use the macro economical parameters and combine multivariate analysis and fuzzy logic theory to find out a higher significant model. The result shows it is high significant to adopt the fuzzy number dependent variable.

本研究主要是應用二元分量迴歸BQR（Binary Quantile Regression）模型的方法估計銀行對中小企業授信之信用評等，以期提早偵測出可能會有違約還款的企業，達到授信時的預警效果。信用評等目的為協助金融機構在貸放前更明確的瞭解企業的信用風險，並具以衡量是否核准貸款的重要依據。在過去的研究中最廣為應用的計量方法主要為有母數（parametric）區別迴歸模型，包括Logit Model和Probit Model等區別迴歸模型，這二種模型在正確的條件設定之下，模型的預測結果可以說相當的好，但若是估計資料的分配並未符合所設定的條件，或者是資料具有無法觀察到的異質變異（heteroskedastic），則估計結果會有顯著的偏誤。傳統區別模型的一般設定如下，假設發生違約的機率給定為： ，此處 表示實際上是否真的發生違約逾期還款的情形。 為了在估計時更能控制風險，最近許多有關信用評等的研究方法傾向使用半無母數（semiparametric）單一指數模型以及無母數（nonparametric）的估計方法，如類神經網路與歸納樹（classification trees）分析方法。 而本文主要是將半無母數的分量迴歸區別模型和過去以有母數為主的Probit及Logit區別迴歸模型做比較。Koenker和Bassett（1978）提出分量迴歸估計方法（Quantile Regression Methods），分量迴歸可以更完整的反應出共變異效果對被解釋變數的影響，除此之外，分量迴歸模式提供使用上較多的彈性，在估計時無需對母體的分配做假設，另外，和傳統的最小平方（OLS）估計法不同在於OLS給予估計參數的分量為50%，因此OLS估計出的迴歸線只有一條，因此分析解釋變數對被解釋變數的影響是平均效果；分量迴歸區別模型則給予估計參數不同百分比的分量，從而可在相同樣本下得到不同的分量迴歸線，觀察解釋變數對於被解釋變數影響程度的變化，因此藉由不同分量估計出不同的迴歸係數 ，可以更加瞭解整體分配的全貌。

本研究旨在探討企業盈餘管理行為對其信用評等之影響，以Ordered Probit Model，探討台灣上市櫃(包含興櫃)企業之盈餘管理行為，對台灣經濟新報社(TEJ)的台灣企業信用風險指標(Taiwan Corporate Credit Risk Index, 簡稱TCRI)是否造成影響，並進一步觀察其影響為何。 本研究發現，企業之盈餘管理行會影響其信用評等，而且透過進一步之邊際影響分析，顯示企業盈餘管理對當期盈餘之影響，與信用評等之間存在著反向的關係，意味著，信用評等人員在使用財務報表，進行信用評等程序時，統計上會因為企業之盈餘管理行為而有處理上之差異；本研究另外發現就平均而言，盈餘增加(減少)之裁量性應計數影響TCRI下降機率的增加(減少)幅度，大於TCRI不變以及TCRI上升之機率變動幅度。 / This study investigates the influence of earnings management on credit rating. Using Ordered Probit Model, this study tests whether earnings management of listed companies (emerging stock included) effects Taiwan Corporate Credit Risk Index (TCRI). This study finds that earnings management does affect credit rating. In addition, it suggests that earnings with income-increasing discretionary accruals have more opportunity for getting downgradings than earnings with income-decreasing discretionary accruals through analysis of marginal effects. That is, the credit analysts treat earnings management in a different way when rating companies. Moreover, this study also finds that the marginal effects of income-increasing discretionary accruals of increasing opportunity for getting downgradings are larger than the marginal effects of opportunity for getting unchanged and upgradings. Similarly, the marginal effects of income-decreasing discretionary accruals of decreasing opportunity for getting downgradings are larger than the marginal effects of opportunity for getting unchanged and upgradings.

生技產業為我國未來六大明星產業之一，除政府成立生技創投基金，民間企業也陸續加入這波生技投資行列，如永豐餘集團旗下的上智生技創投，與潤泰集團旗下的鑽石生技投資。以籌資來源而言，又分為借款融資關係(負債端)的外部資金，以及股東投資關係(權益端)的自有資金兩種，對於公司經營各有優缺點，亦應取得平衡。唯目前多數為權益端的資金投入，尤其以該產業中風險最高的新藥研發公司為例，仍普遍高達95%以上的股東權益比率。顯示其籌資來源有限，且難以吸引負債端的投資者參與。而這樣的資金來源比例，除不符合企業融資順位理論於公司成長階段的籌資策略與負債權益比率，權益端資金多以短期獲得高利潤為目的，以資金性質亦不適合占資產達95%以上之比例。 以目前負債端籌資管道，新藥研發公司多數利用台灣中小企業信用保證基金直保部或經濟部促進產業創新或研究發展貸款計畫專案申請，唯融資額度上限遠不足以支付藥物開發費用，且非一般負債端直接經由銀行評估取得融資之方式。綜觀國際業態，單一全新藥物開發至上市平均需約USD8億元(約NTD240億元)不等，而台灣公司的研發策略多數為分段發展或老藥新用(藥物重新定位)策略，但仍有高度資金需求。唯銀行、負債端投資者普遍缺乏投入該產業的意願，主要顧慮為具冗長的產品研發週期業態、高度不確定性的產品上市審查、長期臨床試驗伴隨的高額成本。此外，對於資金專注研發之新藥研發公司，亦面臨擔保品不足之問題。而實務上，負債端資金提供者如銀行，對於複雜的生技領域與新藥研發公司業態不甚了解，為降低融資意願的另一主因。 故本研究旨在建立一套適用於新藥研發公司之一般性價值評估方式，解決此雙方認知差異問題，以增加更多元的籌資管道。其中，本文參考其他國家評估方法，選擇其中針對技術型公司、發展久遠的韓國技術信用保證基金KOTEC評估模式，導入台灣微脂體、基亞生物科技、賽德醫藥科技3間新藥研發公司個案作一評估。並於最後研究結論，經由分析比較個案公司間歷年經營狀況，得出公司整體與個別質、量性指標項目量化的相對分數，以台灣微脂體分數157分最高，基亞生技次之。本研究亦參考個案評估狀況，得出該類公司較佳的一般性經營策略結論，發現公司創立早期可先以開發週期短、風險較低的老藥新用開發以代替副業產生短期營收的效用，同時累積本業開發經驗，待時機成熟再轉入全新藥物開發為一攻守兼具的經營模式，以供新藥研發公司參考。此外，本研究屬於探索性研究，僅於評估新藥研發公司分數階段，尚未轉換為公司融資評等。該部分尚待具一定案源量後，以統計模型將評估分數與還款違約率關聯性做一分析，方能計算融資評等。而建立內部評等模型、資訊系統對台灣銀行規模而言，為一額外高昂成本，亦建議可效法韓國由政府主導為可行方式之一。 / The biotechnology industry is one of the six future stars of the industries in Taiwan. The government established Biotechnology Venture Capital (BVC), and the more and more private companies joined the procession of biotech investments, such as the two famous biotech funds, Taiwan Global BioFund (TGB) and Diamond BioFund Inc.. According to sources of funding, we can divided them into two groups: one is the loan of external funds (liability side), and the other is the shareholder investment of internal funds (equity side), both of them have different advantages and disadvantages for the company, and the company should strike a balance between these advantages and disadvantages. However, the majority of the funds are invested from the equity side, especially the new drug development companies, which are the highest risk types in the industry, and most of their equity ratio is higher than 95 %. This information indicates the limited sources of funding, and the difficulty to attract liability side’s investors to participate. That proportion of funding sources doesn’t comply with the company’s financing strategy and debt to equity ratio in the growth stage of the enterprise life cycle in the pecking order theory, and equity side’s funds are not suitable for accounting for more than 95% of assets in balance sheet because most of them want to get high profits in the short-term. Currently, major new drug development companies usually apply for loans from the Direct Guarantee Dept. of the Small & Medium Enterprise Credit Guarantee Fund of Taiwan (Taiwan SMEG) or the Promote Industrial Innovation or R&D Loan Program of Industrial Development Bureau in Taiwan, but the amount of loan is insufficient to cover the costs for the new drug development, and this method is not a general way to obtain liability side’s financing from the bank’s direct evaluation. In the international situation, the progress from development to sale of a single new drug spends about US $800 million (about NT $24 billion) on average. Despite Taiwan's R&D strategies only cover the sectional development progress or the policy of the new usage of old drugs (drug repositioning), there is still a high degree of capital requirement. However, in the present, banks and other liability side’s investors still lack the will to invest in the new drug development companies. These investors concern about several major problems, including the lengthy product development cycle, high uncertainty of the product examination and approval, the high cost of long-term clinical trials in this industry. In addition, these companies are also faced with the problem of lacking collateral, because they invest much money in new drug R&D. On the other hand, liability side’s investors, such as banks, don’t understand the complex field of new drug development companies' business models, and this situation becomes another reason for reducing the financing will. Therefore, we should establish a general evaluation method applicable to new drug development companies, to solve the problem of cognitive differences between liability side’s investors and the borrowers, and expand the funding sources of these companies. This article refers to the actual evaluation method in other countries, chooses the most suitable and well developed evaluation model --- Korea Technology Finance Corporation (KOTEC)’s evaluation method for the technology-based company, and utilizes the method to evaluate three cases of the new drug development companies in Taiwan, including Taiwan Liposome Co., Medigen Biotechnology Crop., and CytoPharm, Inc.. In conclusion of the study, by analyzing and comparing the three companies’ operating situations in recent years, we can get relative quantified scores from the companies’ overall and individual qualitative, quantitative indicators, and the result is that Taiwan Liposome Co. gets the highest score, 157 points, then Medigen Biotechnology Crop. gets the middle one. This study also refers the case situations, to find a better general business strategy for such companies. We find that new drug development company in the early stage can focus on new usage development of old drugs ,which has advantages of short development cycle and lower risk, to replace the sideline that generates short-term revenue, and accumulate the experience of drug development. When the time is ripe, it can transfer to new drug development. This way is the general suggestion of both offensive and defensive business model for new drug development companies. In addition, this study is an exploratory research, which only focuses on the evaluation stage, and has not converted the result into a corporate financing credit rating. To calculate financing credit ratings, we require a lot of historical cases data to establish a statistical analysis model, and link evaluation scores with repayment default rates. The establishment of an internal rating model or information system incurs high additional costs for the size of the banks in Taiwan, so the recommended one of the possible ways is that we can follow the example led by the South Korea Government.