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題名：評估信用保險手續費的新思維：風險中立評價模型與保險精算原理的結合
書刊名：臺大管理論叢
作者：郭照榮 引用關係／陳勤明 引用關係／宋兆賢／賴麗華 引用關係
作者(外文)：Kuo, Chau-jung／Chen, Chin-ming／Sung, Chao-hsien／Lai, Li-hau
出版日期：2009
卷期：19:2
頁次：頁37-55
主題關鍵詞：信用保證；風險中立；Credit guarantee；Risk neutral
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:0
  • 點閱點閱:26
依台灣銀行業實務慣例，銀行對中小企業承作放款，通常採用同一筆申貸分按兩種利率訂價計息，一為經信保基金保證部分，另一為未經信保基金保證部分。本文結合風險中立評價模式及保險精算原理，透過對此種差別利率的觀察，評估中小企業信用保證基金(簡稱信保基金；SMEG) 目前主要保證業務的信用風險，並據以推估SMEG 應予收取之合理保證手續費。經由對個案銀行的實證結果顯示：依本模式推估之應收總手續費用，與實際代償總額相近。亦即：本文模型兼具反應市場資訊與簡單易行之特性，可供我國SMEG 風險控管與費率制定決策的參考。
According to the practices of banks in Taiwan, two interest rates will be applied to a commercial loan guaranteed by Small and Medium Enterprise Credit Guarantee Fund (SMEG), one for the guaranteed part, and the other the non-guaranteed part. Based on this rate discrepancies, this paper tries to evaluate the credit risk of SMEG's main guarantee programs by integrating the risk-neutral model with actuarial valuation principles, and to derive the optimal guaranty fees model. The empirical results show that the realistic subrogation payment is close to the total guaranty fees estimated by the proposed model. That is to say, this model has incorporated the accurate credit status of a loan, and to the best, this market information is also convenient to observe. It is hoped to make some contributions in controlling credit risk and establishing reasonable guaranty fee structures for SMEG.
期刊論文
1.Christina, V. A.、Wilson, N.(2001)。Disequilibrium in the UK corporate loan market。Journal of Banking and Finance，28(3)，595-614。  new window
2.Jarrow, R. A.、Lando, D.、Turnbull, S. M.(1997)。A morkov model for the term structure of credit risk spreads。Review of Financial Studies，10(2)，481-523。  new window
3.Lu, S. L.、Kuo, C. J.(2005)。How to gauge the credit risk of guarantee issues in Taiwanese bill finance company: An empirical investigation using a market-based approach。Applied Financial Economics，15(16)，1153-1164。  new window
4.Jonkhart, M. J. L.(1979)。On the term structure of interest rates and the risk of default: An analytical approach。Journal of Banking and Finance，3(3)，253-262。  new window
5.Harrison, J. M.、Kreps, D. M.(1979)。Martingales and Arbitrage in Multiperiod Securities Markets。Journal of Economic Theory，20(3)，381-408。  new window
6.Black, F.、Cox, J. C.(1976)。Valuing Corporate Securities: Some Effects of Bond Indenture Provisions。The Journal of Finance，31(2)，351-367。  new window
7.Lando, D.(1998)。On Cox processes and credit risky securities。Review of Derivatives research，2(2)，99-120。  new window
8.Merton, Robert C.(1977)。An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees: An Application of Modern Option Pricing Theory。Journal of Banking & Finance，1(1)，3-11。  new window
9.Longstaff, Francis A.、Schwartz, Eduardo S.(1995)。A Simple Approach to Valuing Risky Fixed and Floating Rate Debt。Journal of Finance，50(3)，789-819。  new window
10.Duffie, Darrell、Singleton, Kenneth J.(1997)。An econometric model of the term structure of interest rate swap yields。Journal of Finance，52(4)，1287-1321。  new window
11.Jarrow, Robert A.、Turnbull, Stuart M.(1995)。Pricing Derivatives on Financial Securities Subject to Credit Risk。Journal of Finance，50(1)，53-85。  new window
12.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy，81(3)，637-654。  new window
13.Merton, Robert C.(1974)。On the pricing of corporate debt: The risk structure of interest rate。Journal of Finance，29(2)，449-470。  new window
會議論文
1.Narayan, P.、Warthen, T. V.(1997)。A comparative study of the performance of loss reserving methods through simulation。The E-Forum of Casualty Actuarial Society。Virginia。  new window
2.Struzzieri, P. J.、Hussian, P. R.(1998)。Using best practices to determine a best reserve estimate。The E-Forum of Casualty Actuarial Society。Virginia。  new window
研究報告
1.Kim, I. J.、Ramaswamy, K.、Sundaresan, S.(198908)。The valuation of corporate fixed income securities。White Center, University of Pennsylvania。  new window
2.Zhou, C.(1997)。A jump-diffusion approach to modeling credit risk and valuing defaultable securities。Guanghua School of Management, Peking University。  new window
學位論文
1.詹益燿(2005)。信用保證機構之承保方式與風險管理(碩士論文)。臺灣大學。  延伸查詢new window
圖書
1.Schonbucher, P. J.(2003)。Credit Derivatives Pricing Models: Models, Pricing and Implementation。John Wiley & Sons Ltd。  new window
2.Bannock, G. & Partner, Ltd.(1997)。Credit guarantee schemes for small business lending: A global perspective。London, UK：Graham Bannock and Partners Ltd。  new window
3.Ammann, M.(2001)。Credit risk valuation: Methods, models, and application。New York, NY：Springer Finance。  new window
4.中小企業信用保證基金(2006)。中小企業信用保證基金年報。台北：經濟部中小企業處。  延伸查詢new window
5.Hull, J. C.(2005)。Options, futures, and other derivatives。New Jersey, NJ：Prentice Hall。  new window
6.經濟部中小企業處(2007)。中小企業白皮書。台北：經濟部。  延伸查詢new window
 
 
 
 
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