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題名:投資客與風險變數對於房屋貸款信用之影響
書刊名:東吳經濟商學學報
作者:葉彩蓮 引用關係翁家君
作者(外文):Yeh, Tsai-lienWong, Chia-chun
出版日期:2011
卷期:73
頁次:頁1-28
主題關鍵詞:房屋擔保放款信用評分模型負債倍數投資客Mortgage loanCredit scoring modelDebt ratioSpeculator
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(1) 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:0
  • 共同引用共同引用:15
  • 點閱點閱:72
本研究係將「負債倍數」、「投資客與否」、「整批房貸戶與否」、「房屋坪數」等四個風險變數,納入傳統房貸信用評分系統中,建立客戶違約之預警模式,以供金融機構做為授信審核之參考,以期能有效降低逾放比率、提升銀行經營績效。研究結果顯示:傳統信用評分模型具有77.5%預測準確率,若進一步將「負債倍數」、「投資客與否」、「整批房貸戶與否」、「房屋坪數」等四個風險變數納入模式,預測準確率提高到89.3%,顯示此四個風險變數在預測違約行為有相當顯著的預測力;其中又以投資客與否的變項最具有預測力,該變數之勝算比為24.493最高,與授信品質的相關聯程度亦明顯較其他變項來的高,未來銀行可考慮將此四個風險變數納入信用評分系統中。
This study extends the traditional credit scoring system with further four factors, i.e. 「debt ratio」,「real-estate speculator」,「batch processing mortgage loan」and「size of the house」in the logistic regression model to build a dichotomous prediction model which can be adopted by financial institutes to prevent default risk of residential mortgage loan and improve the quality of risky asset. The empirical results indicate that the overall accurate predict rate of this new model is 89.3%, which is significantly higher than the traditional model (77.5%). Among the four factors, the factor of「real-estate speculator」has the highest odds ratio (24.49) indicating that factor of speculator has the most ability to predict default rate.
期刊論文
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6.周建新、于鴻福、陳進財(20040400)。銀行業房貸授信風險評估因素之選擇。中華管理評論,7(2),77-103。  延伸查詢new window
7.Ohlson, James A.(1980)。Financial Ratios and the Probabilistic Prediction of Bankruptcy。Journal of Accounting Research,18(1),109-131。  new window
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9.梁德馨、黃高鴻(2007)。小額信用貸款違約風險評分評等模型之建構--依循新巴賽爾資本協定零售型暴險內部評等法之規範。風險管理學報,9(2),1-25。new window  延伸查詢new window
10.李沃牆、聶建中(2009)。遺傳規畫決策樹模型於房貸提前償還之風險管理。住宅學報,18(1),63-87。new window  延伸查詢new window
11.林思惟(2006)。銀行推動Basel II聯徵中心提供之服務與協助聯徵中心個人信用評分之應用: 風險區隔與風險數量化。金融風險管理季刊,2(2),99-110。  延伸查詢new window
12.林思惟(2009)。信用評分與信用風險管理。金融聯合徵信雙月刊,6。  延伸查詢new window
13.賴柏志、閻美晴(2008)。金融機構常見新版J10問題Q&A。金融聯合徵信雙月刊,2008(六月號)。  延伸查詢new window
14.賴柏志、閻美晴(2008)。消費者個人信用評分產品(J10) )第二版. 下。金融聯合徵信雙月刊,試刊號。  延伸查詢new window
15.Mavri, M.、Angelis, V.、Gaki, E.、Koufodontis, L.,(2008)。A two-stage dynamic credit scoring model, based on customers' profile and time horizon。Journal of Financial Services Marketing,13,17-27。  new window
16.Chuang, C. L.、Lin, R. H.(2009)。Constructing a reassigning credit scoring model。Expert Systems with Applications,36(2),1685-1694。  new window
17.Medemam, L.、Koning, R. H.、Lensink, R.(2009)。A practical approach to validating a PD model。Journal of Banking & Finance,33,701-708。  new window
18.Gardner, M. J.、Mills, D. L.(1989)。Evaluating the Likelihood of Default on Delinquency Loans。Financial Management,18(1),55-63。  new window
19.Harrison, D. M.(2000)。The Importance of Lender Heterogeneity in Mortgage Lending。Journal of Urban Economic,49,285-309。  new window
20.Chen, Y. P.、Guo R. J、Huang R, L.(2009)。Two stages credit evaluation in bank loan appraisal。Economic Modelling,26,63-70。  new window
21.Renaud, B.(2003)。Speculative behaviour in immature real estate markets, lessons of the 1997 Asia financial crisis。Urban Policy and Research,21(2),151-173。  new window
22.Tarashev A. N.,(2005)。An Empirical Evaluation of Structural Credit Risk Models。Bank for International Settlements,179,28-29。  new window
23.Wang, G.、Hao, J.、Ma, J、Jiang, H.(2011)。A comparative assessment of ensemble learning for credit scoring。Expert Systems with Applications,38(1),223-230。  new window
24.Feagin, J. R.(1982)。Urban real estate speculation in the United States: implications for social science and urban planning。International of Journal of Urban and Regional,6(1),1-154。  new window
25.Keshavarz, H. G. R.、Ayati, G. H.(2007)。A Comparison between Logit Model and Classification Regression Trees (CART) in Customer Credit Scoring Systems。Quarterly Journal of the Economic Research,4。  new window
26.Lou, H. C.、Hung, C. Y.(2009)。Applications of Data Mining Techniques in Establishing Credit Scoring System for the Traditional Industry of the SMEs。Journal of Data Analysis,4(5),113-141。  new window
27.Baker, D.(2002)。The Run-up in Home Prices: Is It Real or Is it Another Bubble?。Center for Economic and Policy Research,1-22。  new window
28.Bellotti, T.、Crook, J.(2009)。Credit scoring with macroeconomic variables using survival analysis。Journal of the Operational Research Society,60(12),1699-1707。  new window
29.Belke, A.、Wiedmann, M.(2005)。Boom or 'Bubble in the US Real Estate Market。Monetary Policy,273-284。  new window
學位論文
1.李海麟(2002)。銀行消費者房屋貸款授信評量之實證分析(碩士論文)。國立中正大學。  延伸查詢new window
2.林成毅(2006)。貸款人背景條件與房貸授信風險相關之研究(碩士論文)。國立中山大學。  延伸查詢new window
3.郭姿伶(2000)。住宅貸款之提前清償與逾期還款(碩士論文)。國立中正大學。  延伸查詢new window
4.黃小玉(1988)。銀行放款信用評估模式之研究--最佳模式之選擇(碩士論文)。淡江大學。  延伸查詢new window
5.邱于修(2007)。投資型購屋者機率預測模型之建立。國立政治大學。  延伸查詢new window
6.陳清河(2004)。銀行房貸客戶授信風險評估模式之研究。南華大學。  延伸查詢new window
7.鄭至斌(民96)。購屋貸款違約逾期因素之探討--以X銀行的個案研究。國立高雄第一科技大學。  延伸查詢new window
8.簡安泰(2007)。消費者信用評分制度之研究。政治大學。  延伸查詢new window
9.林勉今(2003)。消費性貸款授信風險評估之研究--以X銀行為例。大同大學。  延伸查詢new window
10.張雅君(2007)。商業銀行房貸客戶違約因素之探討。世新大學。  延伸查詢new window
圖書
1.Hosmer, D. W.、Lemeshow, S.(1989)。Applied logistic regression。New York:John Wiley and Sons。  new window
2.Ng, E. H. K.、Chow, R.(2004)。Avaliability of bank credit and the residential property price level: evidence from Singapore。Singapor。  new window
3.DeFranco, R.(2001)。Unifying models of severity on defaulted mortgages。  new window
其他
1.行政院金融監督管理委員會。九十四年十二月十九日金管銀(四)字第09440010950號函。  延伸查詢new window
 
 
 
 
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