內部評級體系要求下大陸上市公司信用違約與財務報告舞弊之關聯性研究

Credit Default and Accounting Fraud-Listing Companies in China under Internal Rating Based System

敬永康(Steven Ching)；沈大白(Da-Bai Shen)

巴賽爾協定 ； 內部評等法 ； 信用違約 ； 財務報告舞弊 ； Basel Accord ； IRB ； Credit Risk ； Accounting Fraud

兩岸金融季刊

1卷2期（2013 / 12 / 01）

17 - 36

繁體中文

新巴塞爾資本協定中內部評等要求，提供銀行建全信用風險經營的重要指引，大陸於2008年起頒布內部評級法指引，並進一步於2009年頒布商業銀行資本計量高級方法驗證辦法，做為銀監會審核內部評級法實施之重要依據，然而大陸銀行在企金業務上有兩項問題對於推動內部評級有相當不利影響，一、政府與國企經常主動向財務困難公司提供支持與重組；二、盈餘操縱與財務報表舞弊事件頻傳。政府在提供財務困難公司隱性支援後，可能大量減少違約樣本，也連帶大幅降低信用分析資料的違約概率估計值，且透過財務報表舞弊也虛增企業信用評級，當然也大幅降低了資本要求。本研究是希望能夠以較為嚴謹的違約定義，透過全面性的公開資料庫的分類整理以及個案條件篩選，確認大陸上市公司的違約公司數量，並探討排除可能的隱性支援，重新界定違約定義後，將一般違約公司與隱性違約公司進行比較，研究發現隱性違約的公司數量略多於一般違約公司。在確定違約公司後，再加入財務報表舞弊公司進行交叉分析，我們發現約有五成的違約公司曾採行財務報表舞弊手段，其中約有三成的公司採用舞弊手段達五年以上。本研究範圍係以2008年以後之上市公司為目標，透過實際資料分析，我們具體挖掘出問題的實際狀況，並提供關心或參與內部評級建置之專業人士方向性建議。

According to the new version of Basel Accord issued by June 2004, its main purpose is to raise the bank's risk measurement methods and control techniques, so the new Basel Capital Accord has become the important credit risk management guidelines of the bank. In 2008, China issued the IRB guideline, and in 2009 issued a senior commercial bank capital measurement method validation guidelines, as the important basis of CBRC to audit the implementation of the IRB. However, there are two specific features of current China financial market, government and state-owned companies involved in operating difficulty companies, and thus makes the default number of companies is relatively rare. Besides, earnings manipulation events are happened frequently. The above situations will result in a significant reduction in the number of companies defaulting samples, thereby significantly reducing the probability of default of credit analysis, and capital requirements will drastically reduced . This study will focus on the following two topics, first, if the government provides implicit support to exclude the possibility of the conditions, the number of companies or default ratio will increase significantly, or if considering implicit default, the default number of companies will increase significantly. Second, a considerable number of defaulting companies will carry out accounting fraud. The scope of this study listing companies after 2008, the specification of the Basel definition of default to filter and define the so-called recessive defaulting company is distinguished what is as accounting fraud, or as management company for further integration analysis to the internal rating of the modeling process to provide overall suggestion proposal.

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