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題名：住宅抵押貸款逾期率之廣義線性模型研究
作者：陳宗豪 引用關係
作者(外文)：Tsung-Hao Chen
校院名稱：國立高雄第一科技大學
系所名稱：管理研究所
指導教授：林左裕
楊顯爵
學位類別：博士
出版日期：2007
主題關鍵詞：住宅抵押貸款；逾期放款；敏感度；指定度；機率界限；接受者作業特徵曲線；residential mortgage loans；non-performance；sensitivity；specificity；cutoff point；receiver operating characteristic curve
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本研究旨在應用廣義線性模型中之羅吉斯廻歸模型，以改善國內不動產抵押債權逾期模型，其中包括考慮總體經濟因素及尋找較佳之機率界限(cutoff point)以增加逾期預測準確率。資料來源採用國內某大型行庫之住宅貸款資料，觀察期間為1985年元月至2006年12月。應用羅吉斯廻歸模型時，採用總體經濟因素(包含經濟成長率、失業率及利率)；這三個變數中，經濟成長率及失業率分別採取依行政院主計處資料提供，以逾期或期滿結案時的經濟成長率(失業率)減撥貸時經濟成長率(失業率)之差額列入計算。經由多元共線性(multicollinearity)及特異値(outliers)與特殊影響之觀察值(influential observations)診斷後，並採用敏感度(sensitivity)與指定度(specificity)交叉點預測方法，找出最適的機率界限，以穩定逾期預測準確率及正常預測準確率之預測程度；並輔以接受者作業特徵曲線(ROC curve)方法分析預測能力。
實證結果顯示，當模型僅含貸款者特質及借款契約條件時，加入總體經濟因素可以提高對住宅抵押貸款逾期之預測能力，在模型適合度及模型預測能力，皆相對改善僅含「貸款者特質及借款契約條件」，故亦佐證外商銀行房屋貸款授信參酌總體經濟因素指標有其合理性與實用性。
This dissertation aims to enhance the predictability of a logistic model, which is frequently fitted for residential mortgage loans. The improvements include incorporating three indexes–interest rate, economic growth rate and unemployment rate–and comparing the cutoff points of the probabilities for classifying a loan as default versus non-default. For economic growth rate and unemployment rate, we use the spread (instead of original rates) between the rate when a loan is granted and the one when it matures or defaults. The data set contains 2658 loans which were observed between Jan. 1985 and Dec. 2006 in a large commercial bank in Taiwan.
In fitting the model, multicollinearity is diagnosed, and outliers and influential observations are screened. Specificity and sensitivity are analyzed for comparing the cutoff point probabilities of predicting a default loan. These comparisons are also analyzed with receiver operating characteristic curve (ROC curve).
Our results show that, with the borrower’s characteristics and lending contract conditions in the model, the indexes such as interest rate, economic growth rate and unemployment rate can enhance the accuracy for predicting a default loan. This finding is consistent with the practice of some foreign banks in Taiwan, in which case they ceased the mortgage business in the mid- 1990s while the economy was expected to decline in Taiwan.
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