| Summary: | 碩士 === 國立臺灣科技大學 === 財務金融研究所 === 100 === Credit risk is the important sources of risk faced by banks, but also determine the bank's capital adequacy is an important factor in international The 2008 financial crisis has shown understanding of credit risk, rather limited, research in this area in recent years to introduce new bank credit risk management systems and early warning systems, in academic research, more emphasis on quantitative modeling tools and default probability of measure default rates modeling tools are only part of the credit risk management, the need to tie in with the strategy for the operation of the banking practice, the application mode on the banking practice is worthy of further study issues.
This study uses the case study method in 2010 to 2012 years of credit risk management system of early warning system to the individual bank-depth interviews, analysis and explore its application in practice of, and past scholars and literature conducted difference comparison and understand the industry the actual difficulties. Expectations by the cases of successful application experience to provide a reference to build a credit risk management and early warning system to follow-up studies scholars, academic and banking practice.
The case study results show that the cases of bank credit risk early warning system mode of operation is divided into quantitative models of the credit business loan loan application on loan before the loan application is based primarily on credit 5P, the TCRI external ratings and internal credit rating, internal credit ratings can be divided into the core model and the model of housing, the core model, including financial module, non-financial modules, the person in charge of the module, model housing including a warning signal, the group factors and human intervention part. The financial module 14 ratio, equity ratio, debt ratio, a fixed rate, fixed long-term suitable rate, current ratio, quick ratio, inventory turnover rate, and accounts receivable turnover ratio, fixed asset turnover, net turnover ratio, operating margin, operating profit margin, net earning before tax and net of pure profit rate. In this case banks using a logistic regression model to build early-warning model, the use of the aforementioned customer credit ratings to predict. Extending loans, using the reporting system of review system and the concentration limit for the management of credit risk management.
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