批次信用保證放款貸放利率之評價

Evaluation of the Lending Interest Rates for Package Credit Guarantee Schemes

台灣中小企業信用保證基金提供信用保證，協助中小企業順利自金融機構取得所需的資金。此基金提供之批次信用保證有別於授權、專案與直接保證之個體觀念，而採「群組保證，代償總額設限」的模式進行。面對群組風險的評估，放款銀行需考量個體間之關聯因素。因此，本文以關聯結構模型為基礎，考量放款群組關聯結構特徵，建構一批次信用保證放款利率評價模式提供放款銀行參考。透過本文的評價模型，我得到以下具體結論：1. 信用保證放款利率，會隨著信用保證代償上限比率的下降，債權回復率的下降，以及違約率的上升而提高。2. 放款利率對代償上限或債券回復率的敏感度，會隨著群組之違約相關性而有所不同。在違約相關性低時，代償上限、回復率以及違約率對放款利率的影響較小；在違約相關性高時，代償上限、回復率以及違約率對放款利率的影響很大。3. 本文的結論並不因為風險因子為常態分配或是高狹峰分配而有所不同。

The Small and Medium Enterprise Credit Guarantee Fund of Taiwan (SMEG) offers Package Credit Guarantee Schemes, which are different from the individualization of authorized or specific credit guaranty. Package guarantee and limits on total repayment sums. This model requires assessment of the correlation between individual entities regarding the risks of the package. Hence, this paper constructs a copula model to help banks determine the loan rate under the characteristics of the dependence structure of the package. According to our model, we get some conclusions as follow: 1. The loan rate is a decreasing function of the guaranteed repayment rate and the recovery rate, and an increasing function of the default probability. 2. The sensitivities of the loan rate to the guaranteed repayment rate, the recovery rate, and the default probability depend on the correlation between individual entities. The loan rate will be more sensitive to the guaranteed repayment rate, the recovery rate, and the default probability if the correlation coefficient is high, and vice versa. 3. Our conclusion still holds even if we change the factor distribution from normal distribution to leptokurtic distribution.