| Summary: | 碩士 === 長庚大學 === 企業管理研究所 === 95 === This paper uses A bills finance corporation as a case study to examine the impact of the internal rating system under the Basel II credit risk IRB approach on credit businesses and ratings of bills finance corporations. This paper discusses the differences before and after the implementation of the internal rating system by using bills finance corporations as examples, and conduct chi-square tests and ROC rate tests to validate the results produced by the credit risk models under the old and new systems. This paper comes up with the following conclusions and suggestions:
1.The differences in the provisions of guarantees and crediting methods to the parent companies or third parties between the old and new credit rating systems will affect the methods in granting credit facilities in the future.
2.The increase in weightings of financial indicators from the credit rating model under the new system will reduce the impact of subjective judgments from personnel.
3.If the history is too short or the number of the companies is too small in some industries, the worst ratings shall be given on the conservative principle. This put such industries at a disadvantage in terms of rating results.
4.During the initial period immediately after the implementation of IRB approach under the new system, the industries with too short a history or too small numbers of companies cannot reflect their true credit levels; therefore, the validity of predictability of defaults by the rating system will be affected.
5.Joint Credit Information Center’s database may be utilized to assist in the establishment of credit risk models for different industries at bills finance corporations.
6.The results of the implementation of the internal credit rating systems under IRB approach should be linked with the pricing mechanism of risk costs and performance management system.
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