企業營運策略、公司治理與信用風險模型之實證研究

An Empirical Study on Business Operation Strategy, Corporate Governance and Credit Risk Models

本文旨利用企業會計資訊與統計科學方法，建構企業（尤其是非家族業）信用風險模型，考慮CEO專業經營產生的代理問題，計算勝算比率，預測公司可能發生信用風險之機率，找出影響公司績效之顯著變數與營運決策，儘可能在公司尚未發生信用風險前，降低財務風險損失，降低銀行授信之風險性資產，達事前預警與風險管理之效。實證分析，利用會計資訊變數做為解釋變數，進行K-S檢定、M-U檢定、Pearson檢定、二元、多元Logistic迴歸分析，建立信用風險模型。實證結果顯示：1.影響公司績效主要有償債能力、獲利能力與公司治理指標；2.增加利息保障倍數和每股盈餘、降低內部保留比率，將降低公司發生信用風險之機率；3.設置獨立董監事、避免更換會計師，將增強公司治理能力；4.非家族業信用風險模型，可有效適用一般預測模型。研究建議：1.融資決策宜降低利息費用或提高稅前淨利（增加利息保障倍數）；2.股利政策宜買回庫藏股、減少流通在外股數（降低內部保留比率、提高每股盈餘），將增強公司償債與獲利能力。管理涵義，CEO專業經營，應設置獨立董監事（內部監督）、避免會計師更換（外部監控），則公司治理能力增強，將降低公司發生信用風險的可能性，降低銀行授信之風險性資產，提高銀行資本適足率。

This paper primarily used accounting data system and statistical methods to construct a credit risk model in non-family controlled companies, discussed the agency problem in CEO utilizing professional management. The author calculated odds ratio that predicted in advance the probability of credit risk attacking non-family companies. The author picked out the significant variables as key indicators of corporate performance and making-decision, reducing financial risk losses and bank risk weighted assets. Empirical analysis, the author built up a credit risk model using K-S test and M-U test, Pearson test, binary and multiple logistic regression analysis models. Findings, The first, the key performance indicators were the solvency, the profitability and corporate governance. Secondly, the companies increasing the times interest earned and the EPS, reducing the retention ratio, could reduce the probability of credit risk attacking non-family companies. Third, establishing of independent directors and supervisors, and avoiding the switch of CPAs in order to elevate corporate governance capacity. Forth, credit risk model were applicable to general prediction model. Suggest that the companies financing decision-making and dividend policy is reducing the interest expenses or enhancing earning before in tax, bought back the storage stocks while increasing the solvency and profitability capacity. Implication of this study is that the CEO of non-family firms should value opinions from insider monitoring in establishment of independent directors and supervisors, and outsiders CPA audit in order to reduce credit risk and elevate corporate governance power, and a major part of the business of financial institutions must follow to minimize credit risk and make successful loans could reduce risky assets and enhance BIS ratio.