摘要
中小企業乃國家經濟發展之命脈，而其成長則受金融法律制度健全與否之影響，取得融資之管道遠較大企業少，在融資市場明顯處於弱勢地位。中小企業由於規模、財務、管理等各方面之限制，資訊透明度低，容易形成逆選擇與道德危險，信用風險相對較高。

適當之融資技術能有效地增進中小企業信用，而加強外部信用保證機構之保證，訂定各種相關措施與制度，更是世界各國政府積極努力的目標。新資本協定所訂定之準則與信用風險模型，則提供銀行對中小企業融資應具備之資本要求依據，而如何透過適當之信用風險模型，衡量中小企業之信用風險，以及有效對融資與保證做合理訂價，更是銀行與信用保證機構共同關切之課題。

本研究採用郭照榮2003年「如何量計銀行放款違約機率：一個市場基礎模式的實證研究」中之模型，以逐筆放款方式內生決定銀行對中小企業融資移送信保基金保證放款案件之違約機率；結合保險對保險費收取的精算原理，模擬信保基金收支平衡原則下理應收取之保證手續費率。研究結果得出以下結論：
1.回復率與違約機率之間具正向替換關係，在七成回復率以上違約機率呈迅速上升，而在六成回復率以下，違約機率則呈平滑地下降，七成回復率左右約是銀行債權損失容忍度之臨界點。
2.信保基金提供保證七成以上之授權案件，若銀行過於依賴信保基金七成以上回復率之代償功能，則易造成違約機率之上升。
3.專案送保案件由於保證成數大部份只有五成，銀行無法容忍高違約機率，授信會趨於保守謹慎，且須事前經基金徵信審核，因此違約機率明顯比授權案件低。
4.批次信保案件，若銀行完全依賴信保基金之十成保證機制，則違約機率容易升高。而代償率上限基本上已固定，銀行授信損失決定於其本身之授信策略。
5.透過預估的隱含違約機率，利用保險精算原理，可求得信保基金收支平衡原則下理應收取之保證手續費率。

本研究之貢獻在於利用縮減式模型估計銀行對中小企業融資移送信保基金保證之違約機率，及使用保險對保費精算原理，模擬出信保基金收支平衡原則；對銀行提供授信方針與訂價決策，及授信風險控管實用之價值，並提供信保基金制定保證費，有輔助參考之意義。

Abstract

Small and medium-size enterprises (SMEs) are the engine of economic deve-
lopment, but market imperfections such as those caused by underdeveloped fi-
nancial and legal systems impede their growth. Although SMEs form a large part of private sector in many countries, they face larger growth constraints and are less likely to have access to formal sources of external finance than large firms. SMEs have the characteristics of informational opacity, weak finance, imperfect management and small size. These characteristics bring about moral hazard and adverse election, implying high credit risk of SMEs.

Lending technologies can help facilitate SMEs’ access to finance. The credit supplementation institutions have significant effects on SMEs credit availa-
bility, so it becomes an important issue to policy makers around the globe setting up relevant legal systems and supporting financial assistance to SMEs. Since The New Basel Capital Accord had released the criteria and credit risk models of regulatory capital requirements for banks to follow, how to choose an appropriate model to measure the credit risk of SMEs and reasonably price the loan assets on a risk-return basis have become a common task of banks and the credit supplementation institutions.

This paper uses the model developed by Kuo (2003) - “How to Gauge the Default Probability: An Empirical Investigation of the Market-Based Approach to Bank’s Loan Asset ” to gauge the probability of default to bank’s loan asset for SMEs which guaranteed by Taiwan SMEG. Using market-based risk neutral approach, the probability of default for each SMEs’ loan will be endogenously determined. This paper also uses the actuarial valuation principles to simulate the reasonable guarantee fee which should be received by SMEG through the breakeven analysis.

The empirical results show that:
1.The tradeoff between recovery rate and the probability of default has joint effects. The probability of default increases rapidly while the recovery rate is over 70% and decreases smoothly while the recovery rate is below 60%.
2.The guaranteed loans over 70% coverage under the Authorized Approach have higher probability of default, as banks usually depend on the credit supp- lementation institutions for the larger portion of subrogation payment.
3.The guaranteed loans below 60% coverage under the Normal Approach have lower probability of default, as banks won’t endure high probability of default and will turn to be conservative while lending to SMEs. Banks must also forward the relevant documents to the Taiwan SMEG for scrutiny and consideration, and it has reduced the default risk.
4.The guaranteed loans of 100% coverage under the Package Credit Guarantee have the highest probability of default if banks fully depend on the whole guaranteed coverage. However the bank loans lose given default will rely on bank’s lending strategy, as the subrogation rate is set to be fixed on a maximum limit of guaranteed loans.
5.Using the actuarial valuation principles, with the estimations of pro-
bability of default the reasonable rate of guarantee fee can be simulated through the breakeven analysis.

The contribution of this paper is to submit the practical value for bank’s loan pricing strategy, lending policy decision and credit risk management, also submit a subsidiary referential implication for SMEG to set the rate of guarantee fee, using the reduced form model to estimate default probability of bank’s loan assets for SMEs which guaranteed by Taiwan SMEG, and using the actuarial va-
luation principles to simulate the guarantee fee through the breakeven analysis.

目錄
第一章 緒論
第一節 研究背景 1
第二節 研究動機 2
第三節 研究目的 4
第四節 研究架構 5
第二章 中小企業融資與銀行授信風險
第一節 中小企業融資探討 7
第二節 新資本協定下之中小企業融資 14
第三節 銀行授信風險探討與管理 17
第三章 信用風險模型與文獻回顧
第一節 傳統信用風險模型介紹 25
第二節 新資本協定下之模型未來趨勢 31
第三節 文獻探討 41
第四章 模型與實證結果
第一節 研究方法 55
第二節 模型建立 56
第三節 資料來源與處理 59
第四節 實證結果與分析 63
第五章 結論與建議
第一節 結論 80
第二節 建議 82
第三節 研究限制 83
參考文獻 84

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