| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 95 === Based on the Basel II, banks are required to use internal credit rating systems to easure credit risks and use those results to determine the valuation and lending strategies. However, this situation creates differences between banks and enterprises in terms of enterprise expected loan amounts and interest rates.
The reason might be explained as asymmetry information between banks and enterprises. Therefore, this research is conducted for finding the variables which affect enterprise credit rating. Take one bank for example.
With the seized variables and multiple regression model, we can see the explanatory power (R-Square) of this model to be 82.47%, 81.06% and 76.61% in 1992, 1993, 1994 respectively. Among them the current ratio, ROA, CFO/current liability, D/E ratio, sales per share and operating profit margin are consistent with expectations. There are
still some explanatory financial variables not used. Along with the multicollinearity, they distort the accuracy of the model for forcasting.
|
|---|
