廠商融資對銀行信用風險之影響

The Impact of Firms Financing on Bank Credit Risk

方豪(Hao Fang)；李彥賢(Yen-Hsien Lee)；姜廷宜(Ting-Yi Chiang)

授信5P ； 銀行 ； 信用風險 ； 不動產 ； 縱橫資料模型 ； 縱橫分量廻歸模型 ； 5P's of Credit Investigation ； Credit Risk ； Real Estate ； Panel Quantitle Regression Model

兩岸金融季刊

5卷4期（2017 / 12 / 01）

59 - 88

繁體中文

本研究採用授信5P原則以分析台灣地區不動產及資產股相關產業廠商借款所產生的信用風險大小是否影響銀行信用風險的程度。同時，本研究也比較金融危機及非金融危機期間結果的差異性，以進行不同期間下的穩定性檢測。本文以放款額度、信用評等及風險性資產金額三項變數作為衡量銀行信用風險的代理變數。其中，銀行放款額度愈低、信用評等愈低或風險性資產金額愈高，代表其信用風險愈高。本文實證發現不論同期或落後一期及全期間或金融危機與否期間，廠商授信5P 變數對銀行信用風險變數影響的差異性並不大。整體而言，有關縱橫資料模型分析同期影響的結果發現，廠商授信5P變數中財務狀況「償債能力」分別對銀行的放款額度及信用評等有顯著正向的影響，且公司的前景展望對銀行的風險性資產金額有顯著負向的影響。接續，使用分量迴歸模型發現，廠商授信5P變數中還款來源對銀行的放款額度多有顯著正向的影響，少受銀行放款額度高低而有差別；且產業的前景展望對銀行的風險性資產金額都一致有顯著負向的影響，不因銀行風險性資產金額高低而有差別。最後，此研究結果可提供予銀行業者於授信不動產相關企業徵信審查時放款准駁的重要參考。

This research quantifies the 5P's of Credit Investigation to analyse real estate properties in Taiwan and the risk scale of asset-related vendors failing to pay loans on time, and how that affects bank credit risk. Meanwhile, the project also compares the results with and without a financial crisis to analyse the stability in different periods. This study regards bank credit-extending volume, credit rating and risky assets' amount as the proxy variables of bank credit risk. Among them, the lower bank credit-extending volume, the lower bank credit rating or the higher risky assets' amount is, the higher bank credit risk is. It was discovered in the research that there is not much discrepancy in how the 5P's influence bank risk-taking, with or without a financial crisis. All in all, the results of Panel Data Regression Model show the Payment ability has a positive impact on bank credit-extending volume and credit rating; in addition, the prospects of a company has a significantly negative influence on bank risky assets' amount. Furthermore, the analysis of Panel Quantile Regression Model shows that the Payment resource has a significantly positive impact on credit-extending volume while the prospect has a consistently negative impact on bank risky assets' amount, no matter how much the volume is. In conclusion, the research results can be provided as reference for the credit investigation of a bank in the real estate industrial firms.

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