信用風險長久以來是學術和實務研究的重要議題，而以往的研究常常著重在違約機率的計算與探討;而另一方面，在信評公司的系統性的評估下，信用評等的發佈適時地提供了提供了利害關係人另一種信用風險的客觀參考指標。
本文採用Moodys所研發的PFM模型(Private Firm Model，針對未上市櫃公司的KMV模型)進行台灣金融產業中未上市櫃銀行的研究，計算各被研究公司的違約距離，再加以分組比較，計算出依此模型所求出之內部信用評等分級。
由於信用評等公司所採用的評等方式多是利用已發生的財務資訊以資產品質、獲利能力、通路、風險管理能力和資本結構進行，以訪談的方式進行，其中人為主觀的成分往往無法客觀的屏除。然若可以採用股價所隱含的資訊進行分析，理論上應可以反應一家公司所有財務和非財務的資訊。本研究即試圖找出未上市櫃公司之應有股價，用以進行風險的分析研究，此即為PFM模型之精神。
最後，在有效建立出台灣未上市櫃銀行之信用分佈後，本文進一部將模型所預測出的信用評等與中華信評之既有信評歷史交叉分析以檢視兩模型之關係，研究結果顯示，加入金控的銀行具有與信評較為一致的信用評等，未加入金控銀行之信用評等則俱較明顯的不同。 / Credit risk has been long interested by scholars and practitioners in ways of different measures, especially probability of default; on the other hand, credit rating agencies such as S&P, Moodys, and Fitch also provide rating reports in a timing manner for interested parties for diverse purposes.
This paper adopted Moodys’ PFM (Private Firm Model, based on KMV model for listed corporation) for exploring Taiwan’s unlisted banks’ distance to default (DD) in a bid to create our internal rating model for each bank’s credit profile. Basically, rating agencies utilize historical financial and non-financial information in terms of asset quality, profitability, risk management, and capitalization as well by in-depth interviews to assess companies’ credit, however, exclusion of fully subjective appraisers’ opinions is questioned. In contrast, stock price should, theoretically, contain sophisticated information both financially and non-financially for credit research, which is the spirit of PFM’s credit assessment.
In the final session, this paper will compare credit ratings generated from internal rating model with the ratings assigned by Taiwan Ratings’ to study the correlation between these two models. It concludes that FHC-based banks have similar credit ratings as Taiwan Ratings’ but not non-FHC-based ones.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0923580261 |
| Creators | 尹立慶 |
| 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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