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題名: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
書刊名:兩岸金融季刊
作者:敬永康沈大白 引用關係
作者(外文):Ching, StevenShen, Da-bai
出版日期:2013
卷期:1:2
頁次:頁17-36
主題關鍵詞:巴賽爾協定內部評等法信用違約財務報告舞弊Basel AccordIRBCredit riskAccounting fraud
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(0) 博士論文(0) 專書(0) 專書論文(0)
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  • 共同引用共同引用:6
  • 點閱點閱:10
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.
期刊論文
1.黃玉麗、沈中華(20091200)。盈餘管理對銀行債務資金成本之影響--信用評等觀點。管理學報,26(6),599-623。new window  延伸查詢new window
2.章之旺、吳世農(2006)。財務困境成本理論與實證研究綜述。會計研究,223,73-79。  延伸查詢new window
3.陳浩(2011)。我國上市公司信用風險度量及其影響因素的實證研究。時代金融,35,28-34。  延伸查詢new window
4.朱順泉(2006)。上市公司財務困境預警判別分析模型的建立及應用研究。中國管理信息化綜合版,9(3),50-52。  延伸查詢new window
5.葉志鋒、彭永梅(2009)。現金流量操縱、債權保護與債務違約率--來自中國證券市場的證據。經濟與管理,185,46-51。  延伸查詢new window
6.洪荭、胡華夏、郭春飛(2012)。基於GONE理論的上市公司財務報告舞弊識別研究。會計研究,298,84-90。  延伸查詢new window
7.Beatty, Anne、Weber, Joseph(2003)。Effect of Debt Contracting on Voluntary Accounting Method Change。Accounting review,1,119-142。  new window
8.Burnside, Craig、Eichenbaum, Martin、Rebelo, Sergio(2004)。Government Guarantee and Self-fulfilling Speculative Attack。Journal of Economic Theory,11,31-63。  new window
9.Jorion, Philippe、Zhang, Gaiyang(2006)。Good and Bad Credit Contagion。Journal of Financial Economic,6,860-883。  new window
10.Harris, Terry(2013)。Default Definition Selection for Credit Scoring。Artificial Intelligence Research,1,49。  new window
11.Bharath, Sreedhar T.、Sunder, Jayanthi、Sunder, Shyam V.(2008)。Accounting quality and debt contracting。The Accounting Review,83(1),1-28。  new window
圖書
1.韋琳、徐立文、劉佳(2011)。公司財務報告舞弊的識別--基於三角理論的實證研究。審計研究。  延伸查詢new window
2.Albrecht, W. S.、Howe, K.、Rommy, M. B.(1984)。Detecting Fraud: The Internal Audiror's Perspective。Altamonte Springs:Institute of the Internal Auditor's Research Foundation。  new window
3.Hayden, Evelyn(2003)。Are Credit Scoring Sensitive with Respect to Default Definition?。University of Vienna。  new window
 
 
 
 
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