The study of credit risk pricing of bank loans

• Main Authors: Yuan-Feng Hsieh, 謝元峰
• Other Authors: Chun-wen Chung
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/17957844196598165256

碩士 === 東吳大學 === 國際貿易學系 === 92 === When the banking industry deals with bank loan businesses，it is important that the banks can price a reasonable loan rate，and，in addition，they must measure the default risk of borrower carefully. Whether the interest spread can cover enterprises default risk will be an important topic. The research objects are the 32 domestic banks in Taiwan. The purpose is research the loan price of publishes（include listed corporations）in every different grades of Taiwan Corporate Credit Risk Index. In this research，the bank loan material of publishes is from the Bank Loan database of Taiwan Economic Journal. The research period is from 1996 to 2003. The result of this study as follows： 1.For the most part of bank loans are loss of domestic banks under the credit rating of TCRI 7th.It is especially some of the government-owned or controlled banks and privately owned banks that the operating performance is below average. Thus it can be seen that the banks undervalue the default risk of enterprises clearly and resulted in loss. 2.The financial reports of financial institutions are not transparency enough. It is especially the problems of overdue loans. The overdue loans ratio is undervalued on purpose and resulted in the Allowance for Uncollectible Accounts preparation are not enough and corrode the self-capital of banks critically. Hence, some of the banks that the operating performance are disappointing, the government should not assist unlimited and avoid the waste of social resources. 3.The banks does not establish a set of good internal rating system. The banks should establish a set of good internal rating system in order to estimate the default risk and default loss and make a correct price for the bank loans of enterprises.