Modeling Credit Risk for SMEs：Evidence from the Taiwan Market

• Main Authors: Tsung-Hsun Liu, 劉宗勳
• Other Authors: Jian-Heng Du
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/85244175196139977121

碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 97 === The New Basel Capital Accord clearly stipulates that Financial Institution may use interior evaluation to weigh the enterprise loan credit risks from the end of 2006. It is essentially for Financial Institution to construct one set of credit risk appraisal model for its own characteristic credit loan. But as we know, released literatures proposed about the risk assessment models are still focus on the large enterprises in the market. However, small and medium enterprises that especially is not suitable in local market. Therefore, this research refers Edward I, Altman and Gabriele Sabato, （2007）, Modeling Credit Risk for SMEs: Evidence for the U.S. Market, Abacus, Vol.43. to construct credit risks model as in Taiwan small and medium-sized enterprise with Logistic Regression. The construct model of this research aims at finance variables in the small and medium-sized enterprises, There are five differentiates, such as fluid, profit ability, financial leverage, credit capacity and business capacity. Refers to the domestic and foreign literature, we screen 20 financial variables, auxiliary (Accuracy Ration) to examine 10 financial variables by 2 items. We also screen 5 items step by step to establish forecast model of the violation rate in the Taiwan market (probability of default PD).