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.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0096354015 |
| Creators | 陳冠宇 |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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