信用保證機制向來是各國政府對邊際企業（或是經濟體系中之特殊部門）融資需求輔導或照顧的重要制度。我國政府透過台灣中小企業信用保證基金（Small and Medium Enterprise Credit Guarantee Fund of Taiwan，SMEG）提供信用保證，協助中小企業順利自金融機構取得所需的資金。然而，國內對中小企業的信用評等仍未建立適當之制度。本文以我國中小企業之專案送保戶進行研究，針對SMEG之信用保證，提出三種風險評估模型；不同的模型各自因應不一樣的資料型態。模型一係引用貸款企業之財務狀況，由公司之負債額度及其資產市值與波動性的估計值代入模型，預估企業違約機率；模型二與模型三則根據貸款企業之核貸利率，觀察其風險貼水，從中評估企業之信用等級。從信用風險分析方法來看，前者屬於結構法信用風險管理模型之分析，後者則較偏向縮減法模型分析。
在結構法的風險評估模式中，本文受限於研究對象為不具公開交易資訊之中小企業，所以採Moody’s KMV公司發展出之Private Firm Model，針對台灣中小企業特有之經營環境因素予以改良建立違約機率估計模型。至於縮減法模型的應用，則先以風險中立評價模式推導企業之違約機率，再由此機率根據信用保證契約之擔保責任內容推算違約代償期望金額，進而評估應收之保證費用。如此的費用評估過程，類同於定期保險之保費精算流程。
本研究所提供之三種信用風險管理模型，兼具反應市場資訊與實務操作可行之特性。同時，經由實證顯示，這些評估方法均能相當程度地反應貸款企業的風險狀況。期盼本文研究可供我國信用保證機構作為風險控管與費率制定決策的參考。在健全台灣信用保證機制之發展與管理上有所貢獻。

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.

Abstract ……………………………………………………………………………… II
1. Introduction ……………………………………………………………………… 1
2. Literature Review ………………………………………………….…………… 9
2.1 The Structure-Form Approach model …………………………………… 9
2.2 The Reduced-Form Approach Model………………………………… 16
3. The Application of Structure-Form Approach Model to the Credit Risk
Evaluation of SMEs …………………………………………………………….. 24
3.1 The Risk Evaluation Steps of PFM Approach …………………………. 24
3.2 The Categorization of Sample and Data Processing under
Industry Contrast Method ………………………………………………. 29
3.3 The Estimation of the Market Value and Volatility of Asset of
Listed Companies ………………………………………………………… 32
3.4 Construct the Regression Formula that Could Explain the Market
Value and Volatility of Asset …………………………………………… 33
3.5 Estimation of Market Value and Volatility of Sample
Companies’ Asset ……………………………………………………….. 37
3.6 Estimation of the Probability of Default of Sample Companies ….. 37
3.7 Model Verification ……………………………………………………………. 39
3.8 Application of the Model of Probability of Default to
Credit Rating ………………………………………………………………... 41
4. Application of Reduced-Form Approach Model to the Credit
Risk Evaluation of SMEs ………………………………………………………… 44
4.1 Single Interest Rate Model ………………………………………………. 46
4.2 Double Interest Rate Model …………………………………………... 57
5. Conclusions ……………………………………………………………………….. 67

References …………………………………………………………………………… 70
Appendix A：The Derivation Process of Guarantee Fee …………………….. 72
Appendix B：The Derivation Process of Guarantee Fee Adjustment in
Subsequent Periods ……………………………………………… 73
Appendix C：The Derivation Process of Guarantee Fee and Expected
Repayment Amount from SMEG ………………………………. 76

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