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In recent years, the government gradually opens the new bank establishment, causes the financial organ to enter another competition the time. However because the petroleum crisis causes the inflation, the original material rise, the interest rate undulation to be frequent, the industrial field and the finance service sector's control relaxes or relieves the limiting condition, causes many investments services multiplex, the negotiable securities, the liberalization and the internationalization. Furthermore, because under the financial service multiplication transformation, its service area separates day by day fuzzily, the financial organ should truly understand the bank storm danger spot, establishes the good risk management system, conforms to principle of the organization safe steady transport business. The new Basel capital accord reached an agreement already is regarded as one of international finance overseeing standards; In its agreement regarding the credit risk credit appraisal, the final goal is expected the silver behavior establishment innate internal credit comments and so on the system (IRB) reflects bank itself the management essence. The computation credit risk standard method and the interior comment and so on the law may say is the important angle in new Basel capital accord , the interior to comment and so on the law is according to 1988 the old version reached an agreement made the revision. This research also aims at in the new old version and new edition the credit risk in the risk weights, carries out the standard, various countries' implementation present situation, and makes the share questionnaire survey to understand our country finance industry and the enterprise regarding the new edition procedure, do again with Europe and America alternately compares. The expectation penetrates these comparative analyses, can discover difference and the improvement revises the place, provides our country financial organ and the proper authorities, faces up to the risk management transport business of regarding the organization importance, truly achieved so-called and international connects rails the goal.

The asset combination of the multi-target credit derivatives and the pricing model of credit risk, the dependence in credit default in credit derivatives is an important connection factor. Copula functions represent a methodology which has recently become the most significant new tool to handle in a flexible way the comovement between markets, risk factors and other relevant variables studied in finance. Besides, Copula functions have been applied to the solution of the need to reach effective diversification has led to new investment products, bound to exploit the credit risk features of the assets. It is particularly for the evaluation of these new products, such as securitized assets (asset-backed securities, such as CDO and the like) and basked credit derivatives (nth to default options) that the need to account for comovement among non-normally distributed variabes has become an unavoidable task. This article attempts utilizes the credit yield spread between the non-risk bond and the common corporation bond in the market and using Copula functions to make up the relation composition of asset combination. Then, penetrates through the Monte-Carlo Simulation to estimated the default time of asset combination and princing the credit risk spread in the tranche of the Collateralized Debt Obligation (CDO). Besides, this article aims at the asset default recovery rate, the discount rate and the correlation coefficient of asset combination and so on three factors makes the sensitivity analysis, we find that the most effect of the credit default spread in the Collateralized Debt Obligation is asset default recovery rate, next is the correlation coefficient of asset combination, the influence of discount rate is not obvious.

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There is no bank in Taiwan who doesn¡¦t prepare meticulously for implementation of The New Basel Capital Accord coming in 2007.Banking is more complex in recent years, except tranditional loans and investments.The products of derivatives are to change with each passing day under rapid development of financial engineering among which the credit derivatives not only can transfer credit risks,but also be a tool admitted within Basel II for mitigation,so This research is to prob into Basel II and the function of credit derivatives affecting the management strategy of medium and small-sized non-financial holding banks. This research was adopted qualitative methods which is to select two medium and small-sized non-financial holding banks whose total assets are beneath NT$600 billions at the end of Year 95 as interview cases,and conducted in-depth interviews with officers of the two banks.The interview result obtained was induced and analyzed found as follow: 1. The constitution of medium and small-sized non-financial holding banks is generally not sound. 2. The medium and small-sized non-financial holding banks have limited weakness of resoures and credit rating relatively,and will suffer biggest impact after implementation of Basel II. 3. Banks will execute a more strict lending policy to avoid over-risky loan assets and boost the efficiency of capital utility. 4. The medium and small-sized banks have no room and ability to develop and design the products of credit derivatives at present. 5. The effects of mitigation resulted from using the tool of credit derivatives or securitization of financial assets require observing. 6. As The banking industry changes,Lebensraum of the medium and small-sized banks becomes more and more limited.They should seek to keep strategic alliance with or to be merged by large-scale financial holding company or foreign bank for survival.

SME Credit Guarantee Fund established for the express purpose is to supply SME credit guarantee with the potential for development but lack the Collateral. It was financial institutions and credit financing. This study was based on a combination of market-based risk neutral evaluation model and insurance actuarial Principle assess the SME Credit Guarantee Fund to ensure that the current main business of insurance rates, According to the estimate and to the SME Credit Guarantee Fund and commercial banks to be charged with considerable risk of price compensation. In the management of business credit guarantees default risk. Bank of samples by the empirical results show that under this model receivable procedures for estimating costs, and the total amount of compensation rather, past a single 0.75% guaranteed rates significantly undervalued, with a single rate is the inverse effect of choice, nearly half over the industry higher than the current guarantee fee from the top 1.5%. If a word, which is the standard fees, fear is still not allow the fund to two-profit and loss. The model is a simple response to both the characteristics of market information, for the SME Credit Guarantee Fund in the risk management and pricing rates to be on the reference. Keywords:SME Credit Guarantee Fund. Credit risk. Risk management. Insurance Actuarial Model

Abstract Small and medium-size enterprises (SMEs) are the engine of economic deve- lopment, but market imperfections such as those caused by underdeveloped fi- nancial and legal systems impede their growth. Although SMEs form a large part of private sector in many countries, they face larger growth constraints and are less likely to have access to formal sources of external finance than large firms. SMEs have the characteristics of informational opacity, weak finance, imperfect management and small size. These characteristics bring about moral hazard and adverse election, implying high credit risk of SMEs. Lending technologies can help facilitate SMEs¡¦ access to finance. The credit supplementation institutions have significant effects on SMEs credit availa- bility, so it becomes an important issue to policy makers around the globe setting up relevant legal systems and supporting financial assistance to SMEs. Since The New Basel Capital Accord had released the criteria and credit risk models of regulatory capital requirements for banks to follow, how to choose an appropriate model to measure the credit risk of SMEs and reasonably price the loan assets on a risk-return basis have become a common task of banks and the credit supplementation institutions. This paper uses the model developed by Kuo (2003) - ¡§How to Gauge the Default Probability: An Empirical Investigation of the Market-Based Approach to Bank¡¦s Loan Asset ¡¨ to gauge the probability of default to bank¡¦s loan asset for SMEs which guaranteed by Taiwan SMEG. Using market-based risk neutral approach, the probability of default for each SMEs¡¦ loan will be endogenously determined. This paper also uses the actuarial valuation principles to simulate the reasonable guarantee fee which should be received by SMEG through the breakeven analysis. The empirical results show that: 1.The tradeoff between recovery rate and the probability of default has joint effects. The probability of default increases rapidly while the recovery rate is over 70% and decreases smoothly while the recovery rate is below 60%. 2.The guaranteed loans over 70% coverage under the Authorized Approach have higher probability of default, as banks usually depend on the credit supp- lementation institutions for the larger portion of subrogation payment. 3.The guaranteed loans below 60% coverage under the Normal Approach have lower probability of default, as banks won¡¦t endure high probability of default and will turn to be conservative while lending to SMEs. Banks must also forward the relevant documents to the Taiwan SMEG for scrutiny and consideration, and it has reduced the default risk. 4.The guaranteed loans of 100% coverage under the Package Credit Guarantee have the highest probability of default if banks fully depend on the whole guaranteed coverage. However the bank loans lose given default will rely on bank¡¦s lending strategy, as the subrogation rate is set to be fixed on a maximum limit of guaranteed loans. 5.Using the actuarial valuation principles, with the estimations of pro- bability of default the reasonable rate of guarantee fee can be simulated through the breakeven analysis. The contribution of this paper is to submit the practical value for bank¡¦s loan pricing strategy, lending policy decision and credit risk management, also submit a subsidiary referential implication for SMEG to set the rate of guarantee fee, using the reduced form model to estimate default probability of bank¡¦s loan assets for SMEs which guaranteed by Taiwan SMEG, and using the actuarial va- luation principles to simulate the guarantee fee through the breakeven analysis.

Abstract According to the latest statistical data from Ministry of Finance, it is found that domestic consuming loan is growing up continuously these years. Up to the end of September in 2000 the sum of this business is 3984.9 billion. It is equal to 34.1% among loan of native banks. Personal small-scale consumer credit is increasing at 18% rate per year from 148.6 billion in 1994 to 365.1 billion in the end of September in 2000. It is developed vigorously, and even to be the main profit for banks. This is because consumers have slowly changed their concepts about how to use their money. Another reason is that the banks are actively to provide small-scale consumer credit with easy formality. But its potential risk is becoming higher since depression in economy and unemployment are getting higher. ¡§How to do the credit estimation for your consumers; how to make the lost of breaking an appointment lower¡¨ is the most urgent for the banks who would like to have good performance in the field of consuming finance. This research takes 1764 consumers who have small-scale consumer credit from a specific bank as samples for analysis. We found 29 elements that will affect the payment from literature and credit estimation from other branches. After concluding 6 types of credit risk, 25 influent elements offered by sample bank are listed for the purpose of analysis. ¡§K-W independent check¡¨ and ¡§Spearman¡¦s rho related analysis¡¨ are used to gain 17 variables. They are interactive and remarkable for credit. The summarized introduction of this research is as follows. 1. Age is notable for payment. The risk between ages of 41 ~45 is higher than the average. Seniority around 7 ~10 years is also dangerous. The above appearance is figured out to be concerned about transition of economical environment such as depression in economy and unemployment. The thought ¡§ higher ages or seniority means lower risk¡¨ should be done some amendment. 2. Actual net income should be considered while estimating the credit. Higher income is not necessarily equal to lower risk. People with high income were easily to obtain more loans since they would have better payment capacity. It is observed from credit estimation of each bank. In fact income is unable to reflect payment capacity. Debt will be important reason to influence payment capacity. 3. Having real property doesn¡¦t mean having no risk. We could find that consumer¡¦s property usually took large percentage in credit estimation. Sometimes consumers would become dangerous since they had debt for real property. The banks had better to correct their illusion ¡¨land is wealth¡¨ as soon as possible. 4. More or less guarantees are not essential for credit risk. Simple and fast formality appeals to the popular while the banks are promoting small-scale consumer credit. In the past the banks believed that more guarantees could lower the risk. It is wrong and will be the block in developing business. The banks should focus on payment capacity as main accordance for credit estimation. Key words: Consumers loan; Credit risk management, Credit scoring system.

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