One of the most important government policies to support and satisfy financing needs for marginal enterprises or special sectors in economic system is to provide credit guarantee. In Taiwan, while Small and Medium Enterprise Credit Guarantee Fund of Taiwan (SMEG) had been established to help small and medium enterprises (SMEs) acquiring bank loans successfully by providing credit guarantee, there is still a need to set up an appropriate credit rating systems for SMEs. This research proposes three kinds of assessment models to the credit risks of SMEG. While Model one employs a firm¡¦s financial performance, substituting debt level and estimated asset value and volatility into the model to derive probability of default (PD). Model two and three utilize a firm¡¦s risk premium observed from the loan rate to estimate credit level. The former belongs to the application of structure-form approach in the credit risk management model, on the other hand, the latter is the reduced-form approach.
On the structure-form approach, due to the difficulties in accessing SMEs¡¦ public trade information in Taiwan, we adopt the Private Firm Model developed by Moody's KMV Company. We had also improved this PD evaluation model by taking some peculiar operating characteristics of Taiwan¡¦s SMEs into consideration. On the reduced-form approach, we apply risk-neutral model to estimate a firm¡¦s PD, which then been utilizing to evaluate the expected value of subrogation payment in the case of default. This can further go deeper to calculate the guarantee fee of a loan. The processes used in this model is same as that of actuarial methodology being used to determine the premium of a term insurance.
The three credit risk management models proposed in this research are designed to reflect the market information of a SME, and to the applicability of operating in real world case. The empirical results indicate they could adequately reflect the risk levels of the SMEs to a certain extent. We hope to provide the SMEG with a method of evaluating credit risk of SMEs to establish a fairer and more reasonable guarantee fee, and contribute in enhancing and managing credit guarantee mechanism in Taiwan.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-1008108-002647 |
| Date | 08 October 2008 |
| Creators | Chen, Chin-ming |
| Contributors | Lai, Li-Hau, Horace Chueh, David Shyu, Kuo, Chau-jung, Lo, Henry Y. |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-1008108-002647 |
| Rights | not_available, Copyright information available at source archive |
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