本研究藉著對信用風險模型演進的說明，讓金融機構管理者能了解信用風險模型的發展趨勢，進而發展出一套適合金融機構本身的信用風險模型，以提供銀行授信人員在決定放款利率時的一個客觀且合理的參考依據。同時，本研究以「中長期資金運用制度」研究對象，針對所核貸之個案，利用其放款利率與無違約風險之公債殖利率間的差異，以風險中立評價方法，衡量其中隱含的違約機率及信用風險溢酬，並與實際銀行加碼數作一比較。實証結果摘要如下：
1.信用風險溢酬理論值多低於實際加碼數，推究原因，銀行在訂定放款加碼幅度時會同時考量其他資金成本的負擔問題及流動性貼水因素。
2在銀行放款後，隨著貸款所設定之擔保品市價的變動，原先在申貸時假定的債權回復率也必須隨之進行修正。當回復率向下修正時，銀行承貸的預期債權損失率亦逐漸增加，且原假設之債權回復率愈高，放款後修正的預期債權損失率增加幅度愈大。
3.近年來本國銀行逾放比例屢創新高，雖然銀行承作中長期資金貸款案所承擔之信用風險相對較小，但近年來違約機率卻有增加的趨勢，至使預期損失額提高。綜合而言，銀行承作中長期資金貸款案仍存有不可輕忽的信用風險，應強化其授信覆審工作以確保債權品質，俾有助於中長期資金之運用效益。

On a basis of the development of credit risk models, this study aims to help managers of financial institutions understand the development of the models so as to develop their own model that will provide objective and reasonable references for banks to decide the lending rate. Furthermore, this study used "Utilization of Long-Term Funding" as the object and studied individual cases of approved loans. By using risk neutral evaluation method to study the difference between the lending rate of loans and the risk-free interest rate of public bonds, to extract implied probabilities of default and required credit risk premiums form actual market data on interest rates. These credit risk premiums of model were used to be compared with the actual markups of banks and the results are as follows:
1.Most values stated in credit risk premium are lower than the actual markups for banks usually consider the burden of other capital costs and the factor of liquidity premium when they set the rating for markup.
2.After a loan is approved, the assumed recovery rate upon application will adjust according to the market value of the collateral. When the recovery rate decreases, the expected loss rate on the loan will gradually increase. Moreover, the higher the assumed recovery rate, the larger the corrected expected loss rate after the loan is approved.
3.In recent years, the non-performing rate for banks in Taiwan has reached a record high. Even though banks face less credit risks when they make long-term loans in "Utilization of Long-Term Funding", the probability of default has increased in recent years, which has contributed to the increase of expected loss rate on the long-term loan. In sum, banks still face credits risks that should not be ignored when they manage long-term loans. Thus, it is necessary to improve loan review to enhance the quality of loans and to increase the efficiency of utilization of long-term fund.

目錄
第一章　緒論 1
第一節　研究背景及目的 1
第二節　研究內容及架構 3
第二章　信用風險模型之演進及現況 5
第一節　信用評等制度概述 5
第二節　早期的信用風險模型發展及其缺失 10
第三節　信用風險評價模型的目前趨勢 21
第四節　各類信用風險模型之綜合評述 44
第三章　個案背景與現況概述 46
第一節　我國中長期資金運用制度緣起 46
第二節　「中長期資金運用制度」運作現況概述 47
第三節　銀行承作中長期資金貸款概況 52
第四章　中長期資金運用承貸銀行信用風險之評估 57
第一節　基本評估模型的建立 57
第二節　資料來源與模型變數處理方式 63
第三節　信用風險溢酬之個案試算 67
第五章　實證結果與分析 70
第一節　信用風險溢酬的理論值與實際加碼數 70
第二節　預期債權損失率與違約機率 73
第三節　中長期資金貸放預期損失額與實際狀況分析 79
第六章　結論與研究意涵 82
第一節　結論 82
第二節　研究限制 84
第三節　研究意涵 85
參考文獻 86
附表 91

參考文獻
一、中文部分
1.中華信用評等公司網站（http://www.taiwainratings.com.tw）。
2.何太山（1977），「運用區別分析建立商業放款信用評分制度」，政治大學企業管理研究所未出版碩士論文。
3.邱志榮（1991），「公司營運危機之預測─財務比率與現金流量比率之比較」，成功大學工業管理研究所未出版碩士論文。
4.周詩添（1978），「企業授信風險評估模式之研究」，淡江大學管理科學研究所未出版碩士論文。
5.陳秀璟（2000），「引用利率期限結構模型與信用風險溢酬改進信用風險值之估計」，銘傳大學金融研究所未出版碩士論文。
6.郭敏華（2000），＜債信評等＞，智勝文化事業有限公司，2000年初版。
7.陳雅惠（2000），「以信用等級變動衡量信用風險－以無擔保公司債為例」，東吳大學會計研究所未出版碩士論文。
8.黃小玉（1988），「銀行放款信用評估模式之研究─最佳模式之選擇」，淡江大學管理科學研究所未出版碩士論文。
9.黃美月（1997），「上市公司營運危機預測模型建立之研究」，管理會計雜誌，第41期，1997年7月，p.53-82。
10.彭俊豪（1999），「以類神經網路建構上市公司財務預警模型之比較研究」，朝陽大學財務金融研究所未出版碩士論文。
11.經建會（1999），＜中長期資金運用推動與發展＞，行政院經建會，中長期資金運用策劃及推動小組編印，1999年6月。
12.趙令斌（2000），「以選擇權模式衡量信用風險」，東吳大學會計研究所未出版碩士論文。
13.劉志華（1998），「信用風險衡量與管理」，台大商學研究所未出版碩士論文。
14.劉淑方（2000），「選擇權架構下信用風險之衡量─考慮公司稅的模型」，淡江大學財務金融研究所未出版碩士論文。
15.儲蓉（1999），「對發展信用評等應有的態度與做法」，經濟情勢暨評論季刊，第五卷第一期，1999年6月。
16.謝劍平（1999），＜固定收益證券投資與創新＞，智勝出版社，1999年2月初版。
17.簡子文（1999），「信用風險衡量模式發展回顧與模擬」，輔仁大學金融研究所未出版碩士論文。
二、英文部分
1. Altman, Edward（1968）, "Financial Ratios, Discriminant analysis and the prediction of corporate bankruptcy," The Journal of Finance, Vol.23, No.4, pp.589-609.
2. Altman, Edward I. & G.G. Halderman, & P. Narayanan（1977）, "ZETA Analysis: A new model to identify, the bankruptcy risk of corporations," Journal of Banking and Finance, Vol.1, No.l, pp.29-54.
3. Anthony Saunders（2000）,＜Financial Institutions Management：a modern perspective＞, 3rd ed.
4. Beaver, William H.（1966）, "Financial ratios as predictors of failure," Journal of Accounting Research, Vol.4, pp.71-111.
5. Black, Fischer, and Myron Scholes.（1973）, "The Pricing of Options and Corporate Liabilities." Journal of Political EcoNomy, Vol.81, No.3, pp.637-653.
6. Black, Fischer, and John C. Cox.（1976）, "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions." Journal of Finance, Vol.31, No.2, pp.351-367.
7. Brennan, Michael, and Eduardo Schwartz.（1978）, "Corporate Income Taxes, Valuation, and the Problem of Optimal Capital Structure." Journal of Business, Vol.51, No.1, pp.103-114.
8. CreditMetrics（1997）, Technical Document, JP Morgan.
9. Duen-Li Kao（2000）, "Estimating and Pricing Credit Risk: An Overview," Financial Analysts Journal, Vol.56, pp.50-66.
10. Duffee, Gregory R.（1996）, "On Measuring Credit Risks of Derivative Instruments." Journal of Banking and Finance, Vol.20, No.5, pp.805-833.
11. Duffie, Darrell, and Kenneth J, Singleton（1997）, "An Econometric Model of the Term Structure of Interest-Rate Swap Yields." Journal of Finance, Vol.52, No.4, pp.1287-1321.
12. Franks, Julian, & Walter Torous（1989）, "An empirical investigation of U.S. firms in reorganizations." Journal of Finance, Vol.44, pp747-769.
13. Hite, G., and Arthur Warga（1997）, "The Effect of Bond-Rating Changes on Bond Price Performance."Financial Analysts Journal, Vol.53, pp35-51.
14. Jackson, P. & Perraudin, W.（2000）, "Regulatory implications of credit risk modelling," Journal of Banking and Finance, Vol.24, pp.1-14
15. Jarrow, Robert A., and Stuart M. Turnbull（1995）, "Pricing Derivatives on Financial Securities Subject to Credit Risk." Journal of Finance, Vol.50, No.1, pp.53-86.
16. Jarrow, Robert A., David Lando, and Stuart M. Turnbull.（1997）, "A Markov Model for the Term Structure of Credit Risk Spreads." Review of Financial Studies; Vol.10, No.2, pp.481-523.
17. Johnson, Ramon（1967）, "Term Structures of Corporate Bond Yields as a Function of Risk of Default." Journal of Finance, Vol. 22, No.2, pp.313-345.
18. Jones, Edward, Scott Mason, and Eric Rosenfeld（1984）, "Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation." Journal of Finance, Vol.39, No.3, pp.611-627.
19. Jonkhart, M.J.L.（1979）, "On the Term Structure of Interest Rates and the Risk of Default: an Analytical Approach, " Journal of Banking and Finance, Vol.3, pp.253-262.
20. Kim, In Joon, Krishna Ramaswamy, and Suresh Sundaresan（1989）, "The Valuation of Corporate Fixed Income Securities." Working paper, University of Pennsylvania.
21. Lando, David.（1998）, "On Cox Processes and Credit Risky Securities," Review of Derivatives Research, Vol.2, pp.99-120.
22. Leland, Hayne（1994）, "Corporate Debt Value, Bond Covenants, and Optimal Capital Structure." Journal of Finance, Vol.49, No.4, pp.1213-52.
23. Longstaff, Francis A., and Eduardo S. Schwartz（1995）, "A Simple Approach to Valuing Risky Fixed and Floating Rate Debt." Journal of Finance, Vol.50, No.3, pp.789-819.
24. Lopez, J.A., Saidenberg, M.R.（2000）, "Evaluating credit risk models," Journal of Banking and Finance, Vol.24 , pp.151-165.
25. Lotz, C., Schlogl, L.（2000）, "Default risk in a market model," Journal of Banking and Finance, Vol.24, pp.301-327.
26. M. Crouhy, D. Galai & R. Mark（2000）, "A comparative analysis of current credit risk models," Journal of Banking and Finance, Vol.24, pp.59-117.
27. Mason, Scott, and Sudipto Bhattacharya（1981）, "Risky Debt, Jump Processes and Safety Covenants." Journal of Financial EcoNomics, Vol.9, No.3, pp 281-307.
28. Merton, Robert C（1974）, "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates." Journal of Finance, Vol.29, No.2, pp.449-470.
29. Monkkonen, Heikki M.（1998）, "Modeling Default Risk: Theory and Empirical Evidence." Ph.D. dissertation, Queen's University at Kingston, Canada.
30. Nandi, Saikat（1998）, "Valuation Models for Default-Risky Securities: An Overview, " Economic Review (Federal Reserve Bank of Atlanta), Vol.83, pp.22-35.
31. Ogden, Joseph P.（1987）, "Determinants of the Ratings and Yields on Corporate Bonds: Tests of the Contingent-Claims Model." Journal of Financial Research, Vol.10, No.4, pp.329-339.
32. Pogue, T. F. & R. M. Soldofsky（1969）, "What's in a bond rating?" Journal of Financial and Quantitative Analysis, June, pp.201-228.
33. Pye, Gordon.（1974）, "Gauging the Default Premium." Financial Analysts Journal, Vol.30, No.1, pp.49-50.
34. Silvers, John B.（1973）, "An Alternative to the Yield Spread as a Measure of Risk." Journal of Finance, Vol.28, No.4, pp.933-955.
35. Tam, Kar Yan & Melody Y. Kiang（1992）, "Managerial applications of Neural Networks: The case of bank failure predictions," Management Science, Vol.38, No.7, pp.926-947.
36. Titman, Sheridan, and Walter Torous（1989）, "Valuing Commercial Mortgages: An Empirical Investigation of the Contingent-Claims Approach to Pricing Risky Debt." Journal of Finance, Vol.44, No.2, pp.345-373.
37. Vasicek, O.A.（1984）, "Credit Valuation", KMV Technical Document, KMV, March . (http://www.kmv.com)
38. Weinstein, Mark L（1983）, "Bond Systematic Risk and the Option Pricing Model." Journal of Finance, Vol.32, No.2, pp.337-348.
39. Wilson, Thomas（1997）, "Measuring and Managing Credit Portfolio Risk (I)," The Journal of lending and credit risk management, July , pp.61-72.
40. Zhou, Chunsheng（1997）, "A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities." Working paper, Washington, DC: Federal Reserve Board.