交易應收帳款基礎商業本票之多期動態信用增強模型

Multi-period Dynamic Credit Model of Trade Receivable Asset-backed Commercial Paper

目前的短期信用風險文獻主要為企業財務危機預測與企業之短期信用風險探討；有關資產群組層面信用增強分析，也主要集中於擔保債權憑證（CDO）等長期性證券化資產群組；針對以交易應收帳款為基礎之商業本票（ABCP）的資產群組信用增強分析相關之研究文獻極少。本研究以現行評等公司的做法為基礎，針對交易應收帳款基礎商業本票的資產群組，考量到出售人應收帳款違約及稀釋的情形，進一步將現行評等公司的靜態做法為發展成動態多期的模式，來對應計提信用增強之部位進行估計。本研究提出之方法不但可作為規劃未來所需信用支撐之資訊，另一方面也可以作為ABCP出售人（或ABCP證券）短期信用風險評估的基礎。 Existing short-term credit risk models focus either on corporate failure prediction or single-name corporate short-term credit analysis. Most portfolio level credit models are on collateral debt obligation (CDO). Few of them are on the credit analysis of short-term corporate credit portfolios such as trade receivable ABCP. Based upon current practice of rating agencies, this study develops stochastic models for default ratio, dilution ratio and change rate of sales, respectively, to predict future required credit enhancement level for an ABCP. Moreover, the proposed methodology provides information for assessing the credit risk of a trade receivable ABCP.

Existing short-term credit risk models focus either on corporate failure prediction or single-name corporate short-term credit analysis. Most portfolio level credit models are on collateral debt obligation (CDO). Few of them are on the credit analysis of short-term corporate credit portfolios such as trade receivable ABCP. Based upon current practice of rating agencies, this study develops stochastic models for default ratio, dilution ratio and change rate of sales, respectively, to predict future required credit enhancement level for an ABCP. Moreover, the proposed methodology provides information for assessing the credit risk of a trade receivable ABCP.