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題名 台灣銀行業企業金融信用風險管理之探討
The discussion of institutional credit risk in Taiwan banking industry
作者 陳仲明
Chen, Steven CM
貢獻者 張士傑
Chang, Bill
陳仲明
Chen, Steven CM
關鍵詞 企業授信
信用風險管理
日期 2013
上傳時間 1-Jul-2014 12:08:19 (UTC+8)
摘要 本研究針對台灣銀行業在企業金融業務上所面臨企業違約倒帳之信用風險，以訪談方式訪問國內三家商業銀行企業金融之信用風險管理部門主管。訪談主題內容包含銀行企業金融之組織架構與流程、信用風險管理單位人員之績效考核以及公司對於重大風險控管之觀點。\n訪談結果︰顯示上述三家銀行在企業金融組織架構、人員配置和績效考核上之設計或有所差異，但在重大風險方面重複提到關於台灣地區企業授信放款市場之規模受限、成長力道不足以及授信融資之產業有過度集中之現象。\n此外，本研究亦提出銀行業有逐漸走向以業績成長、擴大資產規模為目標之經營導向而不只是以利潤成長為主要方向之風險隱憂，對此本研究強調落實信用風險管理之重要性以及銀行業未來應發展之可行方向。
參考文獻 英文文獻:\n1. Altman, E. I, 1968, “Financial Ratios, Discriminant Analysis and the Prediction of\nCorporate Bankruptcy,” Journal of Finance, 23, 4, 578-609.\n2. Altman, E.I., R. Haldeman and P. Narayanan, 1977, ZETA analysis: A New Model to Identity Bankruptcy Risk of Corporations, Journal of Banking & Finance,\n64-75.\n3. Beaver,W.H., 1966, Financial Ratios as Predictors of Failure, Journal of\nAccounting, 77-111.\n4. Black, F., & M. Scholes 1973, The Pricing of Options and Corporate Liabilities,\nJournal of Political Economy, 81, 637-659.\n5. Coats, P. K., & L. F. Fant 1993,Recognizing Financial Distress Using a Neural\nNetwork Tool, Financial Management, 142-155.\n6. Crosbie, P. and J. Bohn, 2003, “Modeling Default Risk,” KMV corporation.\n7. Merton, R. C., 1974, “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, 29, 449-70.\n8. Koh, H. C. and Tan S. S. 1999, A neural network approach to the prediction of going concern status, Accounting and Business Research, 29, 3, 211-216.\n9. Martin, D. 1977, Early Warning of banking failure, Journal of Banking and Finance,249-276.\n10. Ohlson, J. A. 1980, Financial ratios and the probabilistic prediction of bankruptcy, Journal of Accounting Research, 18, 109-131.\n11. Nasir, M.L., John, R.I., Bennett, S.C., Russell, D.M., Patel, A. 2000. Predicting Corporate Bankruptcy using Artificial Neural Networks, Journal of Applied Accounting Research, 5, 3, 30-52.\n12. Pompe, P. and Bilderbeek, J. 2005, The Prediction of Bankruptcy of Small- and Medium-Sized Industrial Firms, Journal of Business Venturing, 20, 847-868.\n13. Gentry, J. A., Newbold, P. and Whitford, D. T., 1985. Classifying Bankrupt Firms with Funds Flow Components, The Journal of Accounting Research , 23,1, 146-160.\n14. Aziz, A. and Lawson, G. H., 1989. Cash Flow Reporting and Financial Distress Model: Testing of Hypotheses, Financial Management, 18, 55-63.\n15. Jorge A. Chan-Lau, Arnaud Jobert, and Janet Kong, 2004, An Option-Based Approach to Bank Vulnerabilities in Emerging Markets1, working paper, International Monetary Fund.\n16. Andrea Brasili and Giuseppe Vulpes, 2006, Banking integration and co-movements in EU banks’ fragility, Research and Strategy, UniCredit Group.\n17. Delianedis, Gordon and Geske, Robert, 1998, Credit Risk and Risk Neutral Default Probabilities: Information About Migrations and Defaults, Anderson School of Management.\n18 Yuqian (Steven) Lu, 2008, Default Forecasting in KMV, Oriel College, University of Oxford.\n19. Duan, J. C., and Wang, T, 2012, Measuring Distance-to-Default for Financial and Non-Financial Firms, Global Credit Review, 2, 1, 95-108.\n20. Benos, A., and Papanastasopoulos, G., 2007, Extending the Merton model: A hybrid approach to assessing credit quality, Mathematical and computer modelling, 46, 1, 47-68.\n21. Gropp, R., Vesala, J., and Vulpes, G.,2004, Market indicators, bank fragility, and indirect market discipline, Economic Policy Review, 10, 2.\n22. Le Courtois, O., and Quittard-Pinon, F., 2006, Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model, Asia-Pacific Financial Markets, 13, 1, 11-39.\n\n中文文獻:\n1. 行政院金融監督管理委員會(2007，銀行風險管理實務範本-信用風險管理分論及案例彙編)。
描述 碩士
國立政治大學
經營管理碩士學程(EMBA)
97932243
102
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0097932243
資料類型 thesis
dc.contributor.advisor 張士傑zh_TW
dc.contributor.advisor Chang, Billen_US
dc.contributor.author (Authors) 陳仲明zh_TW
dc.contributor.author (Authors) Chen, Steven CMen_US
dc.creator (作者) 陳仲明zh_TW
dc.creator (作者) Chen, Steven CMen_US
dc.date (日期) 2013en_US
dc.date.accessioned 1-Jul-2014 12:08:19 (UTC+8)-
dc.date.available 1-Jul-2014 12:08:19 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2014 12:08:19 (UTC+8)-
dc.identifier (Other Identifiers) G0097932243en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=75445-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經營管理碩士學程(EMBA)zh_TW
dc.description (描述) 97932243zh_TW
dc.description (描述) 102zh_TW
dc.description.abstract (摘要) 本研究針對台灣銀行業在企業金融業務上所面臨企業違約倒帳之信用風險，以訪談方式訪問國內三家商業銀行企業金融之信用風險管理部門主管。訪談主題內容包含銀行企業金融之組織架構與流程、信用風險管理單位人員之績效考核以及公司對於重大風險控管之觀點。\n訪談結果︰顯示上述三家銀行在企業金融組織架構、人員配置和績效考核上之設計或有所差異，但在重大風險方面重複提到關於台灣地區企業授信放款市場之規模受限、成長力道不足以及授信融資之產業有過度集中之現象。\n此外，本研究亦提出銀行業有逐漸走向以業績成長、擴大資產規模為目標之經營導向而不只是以利潤成長為主要方向之風險隱憂，對此本研究強調落實信用風險管理之重要性以及銀行業未來應發展之可行方向。zh_TW
dc.description.tableofcontents 第一章 研究目的與方法 3\n 第一節 研究目的 3\n 第二節 研究方法與流程 4\n\n第二章 信用風險衡量方法簡介 5\n 第一節 傳統違約預測模型 5\n 第二節 新興信用風險衡量方法 9\n\n第三章 企業授信簡介 13\n 第一節 授信之定義 13\n 第二節 企業之信用分析 14\n\n第四章 信用風險與管理架構 19\n 第一節 信用風險之定義 19\n 第二節 信用風險之管理架構 21\n 第三節 實證研究之設計 32\n\n第五章 實證訪談結果 34\n 第一節 A公司之訪談結果 34\n 第二節 B公司之訪談結果 44\n 第三節 C公司之訪談結果 50\n 第四節 訪談結果之比較與分析 56\n第六章 結論 60\n\n參考文獻 62zh_TW
dc.format.extent 867337 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0097932243en_US
dc.subject (關鍵詞) 企業授信zh_TW
dc.subject (關鍵詞) 信用風險管理zh_TW
dc.title (題名) 台灣銀行業企業金融信用風險管理之探討zh_TW
dc.title (題名) The discussion of institutional credit risk in Taiwan banking industryen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 英文文獻:\n1. Altman, E. I, 1968, “Financial Ratios, Discriminant Analysis and the Prediction of\nCorporate Bankruptcy,” Journal of Finance, 23, 4, 578-609.\n2. Altman, E.I., R. Haldeman and P. Narayanan, 1977, ZETA analysis: A New Model to Identity Bankruptcy Risk of Corporations, Journal of Banking & Finance,\n64-75.\n3. Beaver,W.H., 1966, Financial Ratios as Predictors of Failure, Journal of\nAccounting, 77-111.\n4. Black, F., & M. Scholes 1973, The Pricing of Options and Corporate Liabilities,\nJournal of Political Economy, 81, 637-659.\n5. Coats, P. K., & L. F. Fant 1993,Recognizing Financial Distress Using a Neural\nNetwork Tool, Financial Management, 142-155.\n6. Crosbie, P. and J. Bohn, 2003, “Modeling Default Risk,” KMV corporation.\n7. Merton, R. C., 1974, “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, 29, 449-70.\n8. Koh, H. C. and Tan S. S. 1999, A neural network approach to the prediction of going concern status, Accounting and Business Research, 29, 3, 211-216.\n9. Martin, D. 1977, Early Warning of banking failure, Journal of Banking and Finance,249-276.\n10. Ohlson, J. A. 1980, Financial ratios and the probabilistic prediction of bankruptcy, Journal of Accounting Research, 18, 109-131.\n11. Nasir, M.L., John, R.I., Bennett, S.C., Russell, D.M., Patel, A. 2000. Predicting Corporate Bankruptcy using Artificial Neural Networks, Journal of Applied Accounting Research, 5, 3, 30-52.\n12. Pompe, P. and Bilderbeek, J. 2005, The Prediction of Bankruptcy of Small- and Medium-Sized Industrial Firms, Journal of Business Venturing, 20, 847-868.\n13. Gentry, J. A., Newbold, P. and Whitford, D. T., 1985. Classifying Bankrupt Firms with Funds Flow Components, The Journal of Accounting Research , 23,1, 146-160.\n14. Aziz, A. and Lawson, G. H., 1989. Cash Flow Reporting and Financial Distress Model: Testing of Hypotheses, Financial Management, 18, 55-63.\n15. Jorge A. Chan-Lau, Arnaud Jobert, and Janet Kong, 2004, An Option-Based Approach to Bank Vulnerabilities in Emerging Markets1, working paper, International Monetary Fund.\n16. Andrea Brasili and Giuseppe Vulpes, 2006, Banking integration and co-movements in EU banks’ fragility, Research and Strategy, UniCredit Group.\n17. Delianedis, Gordon and Geske, Robert, 1998, Credit Risk and Risk Neutral Default Probabilities: Information About Migrations and Defaults, Anderson School of Management.\n18 Yuqian (Steven) Lu, 2008, Default Forecasting in KMV, Oriel College, University of Oxford.\n19. Duan, J. C., and Wang, T, 2012, Measuring Distance-to-Default for Financial and Non-Financial Firms, Global Credit Review, 2, 1, 95-108.\n20. Benos, A., and Papanastasopoulos, G., 2007, Extending the Merton model: A hybrid approach to assessing credit quality, Mathematical and computer modelling, 46, 1, 47-68.\n21. Gropp, R., Vesala, J., and Vulpes, G.,2004, Market indicators, bank fragility, and indirect market discipline, Economic Policy Review, 10, 2.\n22. Le Courtois, O., and Quittard-Pinon, F., 2006, Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model, Asia-Pacific Financial Markets, 13, 1, 11-39.\n\n中文文獻:\n1. 行政院金融監督管理委員會(2007，銀行風險管理實務範本-信用風險管理分論及案例彙編)。zh_TW