台灣消費性信用緊縮之研究─以雙卡風暴為例 / Abstract Taiwan has suffered a credit crisis on unsecured lending products that began at the end of 2005. The default on credit cards and cash card products have incurred almost 300 billion NT dollars to be written off during the period from October 2005 to the end of 2007, hitting the highest amount of none-performing loans (NPL) for Taiwan’s plastic payment history. This thesis gives a comprehensive account on the development of credit cards and cash card products, while cross–examining their relation to (1) the over-banking phenomena, (2) the over-lending with proliferation of unsecured lending products, and (3) the stressed economy, and, in the end, provides my recommendation for unsecured consumer financial product development in Taiwan.

全球化潮流方興未艾，基於與國際接軌目標，我國金融業自2006年起實施新巴塞爾資本協定，期於現今日新月異金融環境中以全球一致性的銀行管理方法及制度落實其精神。實施新巴塞爾協定後，首當其衝者便是台灣產業發展主體—中小企業。以信用風險中資本計提為例，中小企業不若大型企業體質健全，且財務透明度亦為人詬病，相對提升金融機構授信風險，進而導致中小企業融資授信審查趨於嚴格與保守，中小企業融資難度與成本皆大幅增加。 有鑑於此，本研究以中小企業中電子業為主要研究對象，採資料採礦流程進行信用評等模型建置。為求配適最佳違約機率模型，分別以不同精細抽樣比例逐一配適羅吉斯迴歸、類神經網路及分類迴歸樹等統計模型，經評估後篩選出羅吉斯迴歸模型建置信用評等系統。再者，為確認模型與信用評等系統建置適當，係遵循新巴塞爾協定相關規範進行各項測試及驗證，結果顯示模型於樣本外資料測試表現良好，信用評等系統亦通過正確性分析、等級區隔同質性檢定及穩定度分析等驗證準則，冀能提供金融機構一套有效且精簡的信用管理機制，建立與中小企業間資訊對稱管道，於兩造雙方取得互利平衡，防範危機於未然。 / Globalization trend is still growing. Because of the objective of connecting to the world, the banking and finance industry in Taiwan has implemented the New Basel Capital Accord since 2006, hoping to make use of globally consistent banking management method and system to implement its spirit in this changing financial environment today. After the implementation of the New Basel Capital Accord, the principal development part in Taiwan industry, medium- and small-sized enterprises, is the first to be affected. For example, with regard to the capital requirements in credit risks, the constitution of medium- and small-sized enterprises is not as sound as large-sized enterprises’, and the financial transparency of medium- and small-sized enterprises is insufficient that the credit risk of financial institution would be lifted comparatively; and then, the finance and credit investigation of medium- and small-sized enterprises would become strict and conservative, thus the finance difficulty and cost of medium- and small-sized enterprises would be increased substantially. In view of this, this study regards the electronics industry from medium- and small-sized enterprises as the main study objects, and data mining procedures are used so as to establish the credit scoring system. To get the best probability model of default, different oversampling ratios are used one by one to match such statistical models and logistic regression, Neural Network Analysis, and C&R Tree; and logistic regression model is selected for the establishment of credit scoring system after assessment. Moreover, relevant the New Basel Capital Accord standards are followed to carry out every test and verification so as to confirm that the establishments of model and credit scoring system are appropriate. The result indicates that the model has good performance in out-sample test, while credit scoring system also passes such verification standards as accuracy analysis, level segment homogeneity test, and stability analysis. Hopefully, this study result can provide a set of effective and simple credit management system for the financial institution to establish information symmetrical channel with the medium- and small-sized enterprises, so that both parties can obtain mutual balance and the crisis can be alerted in advance.

信用風險對銀行、債券發行者及債券投資者而言是個很重要的考量，因此信用風險的管理成為一個很重要的課題。但管理信用風險的傳統方法，對控制信用風險都只能解決部分的問題。信用衍生性商品便應運而生。 評價信用衍生性商品的首要工作為對信用風險予以衡量及評價。本文採用違約強度模型評價信用風險並將其應用至信用價差選擇權的評價，試圖提供信用價差選擇權的合理價值及該評價公式在現實生活的可行性，並討論相關變數變動對信用價差選擇權價值的影響。 / Credit risk is an important consideration for banks, bond issuers, and bond investors. The conventional methods of managing credit risk, such as diversification, bank loan sales, and asset securitization, offer only a partial solution to controlling credit risk exposure. In recent years, the growing market for credit derivatives has provided powerful new tools for managing credit risk that can be less costly and more effective than traditional methods. How to measure and value credit risk is the main task of credit derivatives. The present study adopts an intensity model to value credit risk and applies this approach to price credit spread options. This study provides the reasonable premium for credit spread options and the practice of the pricing formula in the real world. It also covers the effects of the put premium for credit spread concerning the related variables.

本文的研究範圍，著重在1983年與1993年修訂統一慣例中對於 ，尤其是開 狀銀行、保兌銀行，與通知銀行部份的有關規定蛂A至於信用狀中的其他 被指定銀行，如讓購銀行、付款銀行□獢B補償銀行、押匯銀行等，僅做 簡要的敘述並未深入討論 蚺摮漸□雯虷傢鷃□瘙q事信用狀交易的功 能、利益、風險與h。然後討論1983修訂統一慣例對於有關銀行地位的規 定，主韘b開狀、保兌、通知銀行，至於其他被指定銀行僅做概略性簸扆u 個案討論各國對於信用狀所引起相關的判決先例檢視統熙W定。然後針 對1993年 4月修訂並自1994年 1月 1日起生效~統一慣例，對於銀行地位 的規定變動的部份做討論。最後就峇@慣例對於未規定的信用狀生效及信 用狀準據法的問題做一 蚺憟D要針對國際商會所制定的信用狀統一 慣1983與1993年兩允鴭韟傢鷃□瘜‘鱆熙W定做討論，並參酌1933、1951 、1962~等各次修訂有關部份的變動情況，但對於信用狀各當事人間鰜Y以 及備受爭議的信用狀的法律性質，不做探討。

「信用壽險」（Credit Life Insurance）是以債務人死亡、殘廢為保險事故而使債權人受領保險金的人壽保險。詳言之，因為債務人死亡或殘廢，將使債務人完全或部分失去清償債務之能力，進而使債權人的債權有不受清償的危險，故債權人以要保人的身份，而以債務人為被保險人，就債務人的生命、身體與保險人訂立「人壽保險契約（死亡保險契約）」 （此即為「信用壽險」），並約定債權人為受益人，當債務人發生死亡或殘廢之保險事故時，債權人即得請求保險金的給付，藉此來使債權獲得清償的保障。 「信用壽險」之保險利益為債權人對於債務人之生命、身體所具有的利害關係，性質上應屬「積極保險」，故應有保險價額（值）的概念，而具體的保險價額（值）應即債權人對於債務人之債權總額。而且「信用壽險」應屬「不定值保險」，其理賠計算標準應該「類推適用」保險法第七十三條第三項「保險標的未經約定價值者，發生損失時，按保險事故發生時實際價值為標準，計算賠償，其賠償金額，不得超過保險金額」之規定，亦即應以保險事故發生時債權人對於債務人之實際債權總額來計算損失、確定理賠金額。 「信用壽險」為「損害保險/損失填補保險」、「積極保險」與「不定值保險」，故「信用壽險」之保險理賠並非以保險契約所約定之保險金額為定額給付，而應以保險事故發生時債權人對於債務人之實際債權總額來計算損失（所以債權人在請求給付保險金時，應提出保險事故發生時實際債權總額之明細資料），再比較「保險價額（值）」與「保險金額」的關係，決定其為「足額保險」、「不足額保險」或「超額保險」，來確定最後之理賠金額，惟可以確定的是，理賠金額絕對不會超過「保險事故發生時債權人對於債務人之實際債權總額」與「保險契約所約定之保險金額」。 「信用壽險」性質上既屬「損害保險/損失填補保險」，而且係屬「積極保險」，並不會如「限額型/實支實付型」之醫療費用保險產生上述難解之爭議，故「信用壽險」仍應有複保險概念之適用，保險實務上仍應極力突破大法官會議解釋釋字第五七六號解釋所持顯然不夠精確之見解。 債權人若將其債權出賣並讓與他人時，雖然可以類推適用保險法第十八條之規定，而無待保險人之同意，但仍應適用保險法第一百零六條之規定，須經債務人（即被保險人）之同意，「信用壽險」之保單始會隨同移轉於他人。

摘要 由於政府對相關金融法令的開放與條文修訂，導致信用卡的使用變為更便利，同時也促使全球信用卡組織，紛紛在國內設立分行或分支機構。因此，國內信用卡競爭市場儼然也成為是另一種競爭的金融市場，例如早期的信用卡是以聯合簽帳卡為主，延伸至今的認同卡、智慧卡等，又如各式各樣的推廣方案也相繼而生，如免收年費、刷卡金額可兌換紅利積點、刷卡金額分期付款等。如此顯示國內信用卡市場的未來發展，是值得探討的議題。故本研究透過集群分析的導入，研究信用卡逾放比率、信用卡流通卡數、信用卡備抵呆帳提足率、信用卡當月轉銷呆帳金額等變數的分類關係。研究分析發現概分下列幾項： (1)本國民營銀行之信用卡業務推展較公營銀行積極。 (2)公營銀行的信用卡逾期六個月帳款占應收帳款比率較民營銀行為高。 (3)公營銀行之信用卡流通少、轉銷呆帳額度低的銀行占大多數。 (4)民營銀行之資產品質佳、轉銷呆帳額度高的銀行占大多數。

市場上存在許多傳統資產模型無法解釋的異常現象，本論文將探討台灣證券 市場異常報酬投資策略之獲利與財務危機間的關聯性，重點放在價值型投資策略， 由買進高淨值市價比的公司股票，放空低淨值市價比的股票，建構出價值型投資 組合。此投資策略的主要獲利來源出自投資組合的多頭部位，即高淨值市價比的 公司。且信用風險作為財務危機的代理變數，在解釋異常報酬上扮演重要角色， 價值型投資策略的異常報酬在高信用風險公司是較大的，表示財務危機的影響是 有反映在股票報酬上的。而與美國市場的結果不同，信用評等降評對報酬的影響 在台灣證券市場並不顯著。 / Anomalies exist in the markets that cannot be explained by traditional asset-pricing models. This paper assesses implications of financial distress for the profitability of anomaly-based trading strategies in Taiwan stock market. We focus on the value-based strategy which conditions on the BM ratio. It involves buying highest BM and selling lowest BM stocks. Financial distress, as proxied by rating downgrades, is likely to be a primary ex ante indicator of a company’s future performance. Anomaly returns of value-based strategy are bigger in high credit risk companies. But unlike the evidence in U.S market, rating downgrades only have limited impact on stock returns in Taiwan.

我國的信用卡市場在民國八十二年全面開放以來，發展至今不過10餘年，已成為全球成長最快速的信用卡市場之一。但近年來也隨著信用卡業務已有相當顯著的成長，然而信用卡不僅只是一種支付工具，也屬於免擔保的信用融資，對發卡銀行而言，風險很高。故本文對於銀行要如何快速且正確的掌握客戶信用與還款能力，以防範呆帳發生，也變得日趨重要。 故本文利用Binary Quantile Regression可用於探討解釋變數對於被解釋變數在給定「特定分位數之下的邊際效果」，提供不同分位數的估計結果，可用於觀察被解釋變數的整個分配狀況。在實證上，二元分量迴歸模型不只可用來解釋平均的狀況，更常用來觀察分配尾端的情況。在以ROC與CAP的信用風險模型來驗證其Binary Quantile Regression的效力。

雙層擔保債權憑證（CDO-squared）是目前全球資產證券化商品市場相當熱門之商品，回顧國內對信用風險之研究，極少有相關文獻或研究被提出。本研究乃以合成型雙層擔保債權憑證（synthetic CDO-squared）為主體，試圖以一套毋須進行蒙地卡羅模擬之半解析式評價模型為基礎，目的旨在探討雙層擔保債權憑證具有高投資收益的背後，所隱含之風險程度為何？廣泛探索各種不同分券（tranches）之風險特徵，透過比較分析使各個分券間之相互關係能環環相扣，進而對此商品之風險/報酬特性有全面性之瞭解並規劃合適避險策略。本研究在違約事件為條件式獨立的假設下，運用遞迴法則（recursive algorithm）及一個多維超立方體結構（hyper-cube）建構出雙層擔保債權憑證之損失分配，並以求得之評價模型為風險分析之基礎，得到下列發現與避險涵義：（1）雙層擔保債權憑證雖然標榜具有雙重的信用違約保護且能達到更大程度的投資組合分散，同時兼顧利潤與風險的平衡，但實際上卻是高槓桿程度的商品。（2）名目本金數額及分券信用評等之揭露無法反映分券風險本質，市場參與者需要仔細區分風險金額移轉數目與內含風險移轉程度之差異。（3）應用delta避險策略可以規避分券所面臨之市場風險，而使避險組合價值不受標的資產市場價差波動之影響，繼而經由避險成本之求算，可適當選用數個單一信用違約交換（single name CDS）或信用違約交換指數來進行有效之避險。

信用連結債券的價值主要取決於所連結資產池內的資產違約狀況，使得原始信用風險債券在到期時的本金償付受到其他債券的信用風險影響，因此如何準確且客觀的估計資產池內違約機率便一個很重要的課題，而過去文獻常以給定參數的方式，並且假設資產間的違約狀況彼此獨立下進行評價，對於聯合違約機率的捕捉並不明顯，因此本文延伸Factor Copula模型，建立信用連結債券之評價模型，該模型考慮了資產間的違約相關程度，以期達到符合市場的效果，同時配合統計之因素分析法，試圖找出影響商品價格背後的市場因子。 本研究利用延伸的評價模型以及Copula法，對實際商品做一訂價探討，結果發現，不管是使用樣本內或樣本外的資料去評價時，本研究的評價模型表現都優於Copula法，表示說評價時額外加入市場因子的考慮，對於評價是有正向的幫助；而在因子選取方面，我們選取18項因子後，經由因素分析共可萃取出三大類因素，藉由觀察期望價格與市場報價的均方根誤差，發現國家因素以及產業因素均對於商品價格有所影響，而全球因素對於商品不但沒有顯著影響，同時加入後還會使得計算出的商品期望價格更偏離市場報價，代表說並不是盲目的加入許多因子就能使得模型計算出的價格貼近市場報價，則是要視加入的因子對於資產的影響程度而定。 對於後續研究的建議：由於本研究的實證中存在一些假設，使得評價過程中並不完全符合現實市場現況，若能得到市場上的真實數據，或是改以隨機的方式來計算，相信結果會更貼近市場報價；同時，藉由選取不同的因子來評價，希望能找出國家因素、產業因素以外的其他影響因子，可助於我們更了解此項商品背後的影響因素，使得投資人能藉由觀察市場因子數據來判斷商品未來價格走勢。 / Value of the credit-linked notes depend on the pool of assets whether default or not, so the promised payoff of credit-linked notes is affected by other risky underlying assets. Therefore, how to estimate the probability of default asset pool accurately and objectively will be a very important issue. In the past literature, researchers usually use given parameters, and assume assets probability of default are independent from each other under valuation. Furthermore, it is not obvious to capture the joint probability of default. Thus, this article extends the Factor Copula Model to provide a new methodology of pricing credit-linked notes, which consider the default correlation between the extent of assets in order to achieve result in line with market and with Factor Analysis method added, trying to figure out the impact of commodity price factor behind the market. In the empirical analysis, pricing the actual commodity issued by LB Baden-Wuerttemberg using extend model and Copula model, we found that no matter choose in-the-sample or out-the-sample data to valuation, the models in this article are superior to Copula model by compare the root-mean-square deviation(RMSE). It means add the market factors into our valuation is beneficial. In terms of selection factors, we select eighteen factors prepared by Morgan Stanley Capital International, and three categories of factors may be extracted from Factor Analysis method. By observing RMSE, both national factors and industry factors will influence on the commodity, but world factors not only did not significantly impact on the commodity, but also add it to calculate the expected price further from the market price. Representative said not blind join the many factors can make the model to calculate the price close to the market price, it is a factor depending on the degree of influence of the added asset. For the suggestion of future research. The fact that the presence of empirical assumptions in this study, result in the evaluation process is not entirely realistic to market situation. We suggest to get the real data on the market or use random way to calculate, we believe that the outcome will be closer to the market price. Meanwhile, by selecting different factors to evaluate, trying to discover further factors which significantly impact on the commodity; it will help us better to understand the factors behind the commodity, so investors can predict commodity future prices by observing the market data.