Bankruptcy Prediction of SMEs, Credit Rating and the BIS Capital Adequacy

• Main Authors: Chih-Chieh Wan, 萬智傑
• Other Authors: Mei-Ying Liu
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/63308491796450355739

碩士 === 東吳大學 === 企業管理學系 === 96 === Using a sample containing financial and nonfinancial data of 1500 Taiwan small and medium sized enterprises (SMEs), we first employ the Logistic regression to develop the bankruptcy prediction model for SMEs. Then we implement the credit rating for the SMEs and compare the bank capital requirements of the portfolio among the alternative approaches under the Basel II. The empirical results show that our financial predictors include cash/total assets, inventory/net sales, turnovers of account receivables, average collection period, rate of gross operating income and the non- financial predictors include number of correspondent bank, age of firm, number of guarantee, utilization rate of credit line. Different from the large firms, the credit rating of Taiwan SMEs exhibits a bi-modal distribution. If classify the entire SMEs portfolio as retail, the capital charges are lower than classify as corporate. The capital charged by the Internal Rating Based (IRB) approach is not necessarily less than the standardized approach. The IRB approach can provide capital saving relative to the standardized approach only when the SMEs portfolio classified as retail.