| Summary: | 碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 102 === The global financial market has been influenced by the U.S subprime mortgage crisis and Lehman Brothers bankruptcy which caused the financial tsunami; Taiwan''s financial institutions were not immune to this. In order to encourage private consumption and investment, the Central Bank not only loosed credit approval, but also took the mechanism to decrease the interest rate, reduced the commission fee, increased credit line, consequently the bank’s profit was compressed, loan quality was low, non-performing loan was increased. How to decrease default rate and elect out the high risk customers, thus the proactive preventive measure is the most important task.has become the essential topic for the banking industry.
This research takes the mortgage loan cases of a Financial Institution as its object. The Samples are collected from the data warehouse of Information Center and Credit Information Center in five years from 2007 to 2011. Because there is showed a big different proportion between the sample size of well-performing loans and non-performing loans, so when the logistic regression analysis is conducted, it easily causes mistaken non-performing loan for well-performing loan. Therefore, the survey is adopted 2:1 paired sample selection mode; randomly sample 1,058 well-performing loans, 529 non-performing loans, totaling 1587 cases.
We use the SPSS statistical software to investigate the credit risk factors of the mortgage loan customer and create a suitable default risk assessment model of the mortgage loan for the bank. To investigate the significant factors causing for the non-performing default mortgage loan, This research analyze by the logistic regression model, and then construct the default risk assessment model in order to predict the default probability of customers.
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