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Student Number 91438207
Author Wen- Pin Tai(戴文彬)
Author's Email Address t8767@yam.com
Statistics This thesis had been viewed 1996 times. Download 1532 times.
Department Executive Master of Finance Management
Year 2003
Semester 2
Degree Master
Type of Document Master's Thesis
Language zh-TW.Big5 Chinese
Title Empirical Study on the Recovery Rate of Non-performing Commercial Loans
Date of Defense 2004-07-08
Page Count 53
Keyword
  • Recovery rate
  • Abstract         Abstract
     
    Bank plays an important role in the national economic system. Its policy drives the economic growth, yet ill-determined loans would damage the economy. Domestic banks in Taiwan have been suffering from dead loans over the past few years, thus, the financial corporations are forced to review their definition of goals, as well the completeness of the risk management system. Banks feed the public’s savings to supply loans, hence, their social responsibilities are self-evident and risk management policies required careful execution.
    Credit check, loan approval, appropriation, and claim for non-performing loans are all important risk management segments. The study on recovery rate discussed the last segment of the risk management. The factors affecting the recovery rate and empirical results were provided as guidelines on policy making, preparation for bad debt, collateral appraisal, forecast loss, loan pricing, calculation of risk value.
    The purpose of this study is to discuss the following three topics: 1) factors affecting recovery rate; 2) cross analysis on the abovementioned factors; 3) the difference between the recovery rate of new and old banks. Case study and empirical study were conducted.
    The case study analyzed the loan background of an electronics company that attributed to infringement of the contract, and the factors affecting the recovery rate. Lastly, detailed discussion on the recovery rate of various banks was provided.
    The empirical study focused on the recovery rate of Bank A, provided 146 companies and 223 cases of non-performing loans from 1992 to 2002. The average values and variant analysis were conducted to examine the effect of industry, credit usage ratio, loan period, overall economy, the liability ratio, and credit status of the company on recovery rate. The difference between the recovery rate of new and old banks was discussed.
    The results of the empirical study classified factors affecting the recovery rate into three groups: 1) the characteristics of the debtor; 2) the influence of the external environment; 3) loan conditions (collateral or loan period). The most influential factor was the collateral, of which the recovery rate for real estate was the highest at 48.24%, followed by medium to small trust fund at 36.88%, machinery at 21.91%, check receivable at 7.8%, and no collateral at 8.9%. The evaluation of the debtor’s characteristics, rating, and liability showed that the recovery rate of those rated 60 or above at 26.6%, followed by below 60 at 21.87%. The recovery rate of those with liability ratio of 100% or below was 27.3%, over 100% was 21.02%. Under the external economic influence, based on line of division at 1997 Asian Financial Crisis, the recovery rate before 1997 was 30.53%, and after 1997 was 16.26%. Based on the up 
    and down trend of Taiwan Weighted, the recovery rate in upward trend was 24.29%, and in downward trend was 19.82%.
        In comparison of new and old banks, Industrial Taiwan of Taiwan had the highest recovery rate amongst old banks because of its requirement on collaterals, namely factory buildings. Based on different sample cases, the recovery rate for Chiao Tung Bank (21 cases) was 45%, Chang Hua Bank (40 cases) was 47%, Bank of Taiwan (19 cases) was 18%, First Bank (48 cases) was 37%. For the new banks, the recovery rate for Cosmos Bank (20 cases) was 22%, Pan Asian Bank (16 cases) was 10%, Tai Shin Bank (10 cases) was 11%, Entie Commercial Bank (9 cases) was 0%, and Chung Shing Bank (25 cases) was 17%.
    Table of Content 違約企業償還率的實證研究
    目 次
    摘 要                                I
    目 錄                                II
    圖 表                               III
    第一章緒論………………………………………………………………………P1      
    第一節  研究背景……………………………………………P1
    第二節  研究動機……………………………………………P2
    第三節  研究目的……………………………………………P3
    第四節  文獻回顧……………………………………………P4
    第五節  研究貢獻……………………………………………P8
    第二章個案研討-違約企業的償還情形………………………………………P9
    第一節  研討目的……………………………………………P9
    第二節  個案介紹……………………………………………P9
    第三節 各銀行償還率………………………………………P19
    第四節 A銀行在本案風險管理過程………………………P27
    第五節 銀行團會議…………………………………………P29
    第六節 結論…………………………………………………P30
    第三章研究設計………………………………………………………………P33
    第一節 選樣設計……………………………………………P33
    第二節 研究方法……………………………………………P33
    第三節 變數說明……………………………………………P35
    第四節 統計方法簡介………………………………………P37
    第四章實證結果………………………………………………………………P39
    第一節  償還率實證結果……………………………………P39
    第二節  償還率影響因素……………………………………P40
    第三節  償還率影響因素交叉分析…………………………P44
    第四節  新舊銀行償還率比較………………………………P47
    第五節  研究限制……………………………………………P49
    第五章結論與建議……………………………………………………………P50
    第一節  敘述償還率…………………………………………P50
    第二節對風險管理的影嚮…………………………………P51
    第三節後續研究建議………………………………………P52
    參考書目………………………………………………………………P53
    圖表目次
    表1-1:Altman & Arman(2002)–Period Covered 1978-2001, Prices at Default …………………………………………………………………………………P5
    表1-2:Altman (2002) – Investment Grade vs. Non -Investment Grade (Original Rating) – Period Covered 1971 -2001, Prices at Default ……………………………P5
    表1-3:Altman (2002) – Bank Loan (1996 -2001) – Prices at or Just After Default…P6
    表1-4:Moody’s(2000)– Period Covered 1970-2000, Prices One Month After Default…………………………………………………………………………………P6
    表1-5:Standard & Poor’s (2000) – Period Covered 1981 -1999, Prices Shortly After Default and at Emergence ………………………………………………P6
    表2-1:案例公司簡表 ………………………………………………………………P12
    表2-2:案例公司資金來源表…………………………………………………………P13
    表2-3:案例公司預估損益表…………………………………………………………P13
    表2-4:案例公司預估現金流量表……………………………………………………P14
    表2-5:案例公司預估資產負債表……………………………………………………P15
    表2-6:A銀行評等分數表……………………………………………………………P16
    表2-7:以違約前一年起算各銀行的償還率(新接手者尚未介入) …………………P19
    表2-8:案例公司違約後之償還率……………………………………………………P26
    表2-9:國內銀行規模(92年12月)………………………………………………P30
    表4-1:變異數分析結果 ……………………………………………………………P41
    表4-2:兩樣本平均數與中位數檢定……………………………………………… P41
    表4-3:不同產業下各擔保品別償還率表現……………………………………… P44
    表4-4:不同總體環境下各擔保品別回收率表現………………………………… P45
    表4-5:排除總體經濟影響之共變數分析………………………………………… P45
    表4-6:共變數分析事後比較……………………………………………………… P46
    表4-7:新舊銀行償還率比較……………………………………………………… P47
    圖3-1:各年度之經濟成長率與名目GDP成長率…………………………………P37
    圖4-1:各擔保品別之平均償還率………………………………………………… P39
    圖4-2:各產業之平均償還率……………………………………………………… P40
    圖4-3:額度使用程度與償還率…………………………………………………… P40
    圖4-4:各銀行償還率情形………………………………………………………… P47
    Reference 參考文獻
    1. 陳木在與陳錦村(民90),商業銀行風險管理,新陸書局。
    2. 紀景耀(民88),信用風險下可轉換公司債之評價,政治大學金融學系碩士論文。
    3. 陳雅惠(民89),以信用等級變動衡量信用風險-以無擔保公司債為例,東吳大學會計學系碩士論文。
    4.楊博仁(民91),信用風險值-臺灣企業違後償還率之探討,東吳大學會計學系碩士論文,頁20-21。
    5.包爾斯、計葵生、黃偉權著,李佩芝、莊安祺譯(民93),亞洲銀行新未來,時報文化。
    6.曾令寧、陳威光(民88),信用風險模型簡介,存款保險季刊13卷2期。
    7. Edward I. Altman 、Andrea Resti、AndAndrea Sironi ( 2001) ,Analyzing and Explaining Default Recovery Rates P86 -95。
    8. Edward I. Altman, Brooks Brady, Andrea Resti and Andrea Sironi (2003),The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications P2-5。
    9. Lea V. Carty 、Dana Lieberman(1996) Defaulted Bank Loan Recoveries,Moody’s Special Report,P1。
    10.Michel Crouhy、Dan Galai、Robert Mark(2001),Risk Managerment,Mc Graw-Hill。
    Advisor
  • Jing-Twen Chen(陳錦村)
  • Files
  • 91438207.pdf
  • approve in 1 year
    Date of Submission 2004-07-13

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