Constructing a Credit Discriminant Procedure for Small and Medium-sized Enterprises - A Case Study of Financial Institution in Taiwan

• Main Authors: Hsiao-Ting Lin, 林筱婷
• Other Authors: Lee-Ing Tong
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/37121116369768179856

碩士 === 國立交通大學 === 工業工程與管理系所 === 95 === Many financial institutions have suffered serious loan risk due to economic recession and unstable financial markets. In order to reduce the credit risks due to incorrect loan decisions, Taiwanese governor has required banks and financial institutions to meet the requirements from the New Basel Capital Accord (Basel II). For this reason, developing a reliable credit rating model has become a crucial task for banks or financial institutions. Many studies on credit rating are based on the financial data drawn from the publicly traded companies. However, 90% of enterprises are small and medium-sized enterprises in Taiwan. It is not quite appropriate to apply the credit rating model for publicly traded companies directly to those banks or financial institutions whose customers are mainly small and medium-sized enterprises. Therefore, this study, focusing on small and medium enterprises, proposes an effective and reasonable credit rating procedure to assist banks and financial institutions sifting the lower risk applicants and making appropriate loan decisions quickly. The proposed procedure consists of three stages: (1) selecting variables and collecting data; (2) utilizing DEA to evaluate the credit rating score (CRS) for each loan business and establish a standard for grading the loan business using the CRS; (3) constructing a prediction model by using Group method of data handling (GMDH). Finally, a real case from a Taiwanese loan company is utilized to demonstrate the effectiveness of the proposed procedure.