| 摘要(英) | In recent years, upon the trends of financial freedom and internationalization, banks in Taiwan are increasingly set up, which leads to raise many competitors in a short time. Due to the limited loan and saving markets, the business of financial industry does not grow in parallel. On the contrary, the business competitions among financial institutions are more serious, such as old bank vs. new bank, public bank vs. private bank, foreign bank vs. local bank, and bank vs. other financial institution. All these competitions decrease the profit of difference on savings and loans, influence the quality of credit, lower the profit of banks, and increase expired rate of loans. Hence, the bank industry bears with more credit risks than before.
The research subject was one of financial institutions in Taiwan. Through comparing the differences of the short, median, and long terms on loan rate and risk-free rate, this study presented a formal methodology, an empirical investigation using a market-based risk neutral approach. In the variant recovery rate, the probability of default is endogenously determined. Then, based on different industries, the credit risk premium, probability of default, loss given default and exposure at default were separately estimated.
Through analyzing the different industries, the findings indicated that the manufacturing industry showed the least estimate rates on risk premium, expected loss, and default probability, whereas the service industry exhibited the highest. Accordingly, this study suggests that if the banks want to do the loan business in future, they have to assess the industry type first for effectively controlling the risks. In addition, this study establishes a model of enterprise credit risk with implementation of the New Basel capital Accord, which will enhance the business image and actual competition of banks as well as developing those important functions as easily executed, endogenous determined, applied decision-making on pricing rate, and the criterion on loan permission.
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| 參考文獻 | 參考文獻
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