| Summary: | 碩士 === 逢甲大學 === 金融碩士在職專班 === 103 === After the financial storm, the operational safety of banks has become a public concern. For banks that use the interest rate spread as the foundation of their niche, credit offering is closely related to the robustness of their operation. The high business risk of small-and-medium-sized enterprises (SMEs) is particularly important to them. This study investigated factors of the credit risk of SMEs. Drawing upon a sample of SME credit accounts with a loan of no more than 30 million dollars in a Taichung branch of a commercial bank in Taiwan, this study analyzed the credit rating mechanism of this bank and explored how duration of existence, business finance ratio, debt ratio, and the number of banks that have consulted the loaner’s credit data for new services over the last three months are related to credit risk (i.e. probability of default). First, the sample firms were decomposed using the original rating system to define related factors. Later, a cross analysis was performed to identify default factors. Finally, grey relational analysis (GRA) was utilized to rank default factors among normal accounts and default accounts respectively. The significance of these factors was also examined through cross analysis. Results showed that default risk is higher among firms whose place of business is rented, whose responsible person or guarantor of the company owns real estate, whose real estate used for applying the current loan has been used as a collateral for another loan or whose ratio of average deposit to total debt (including the current loan) is lower than 4.99%.
As to credit for SMEs, results suggested that firms whose responsible person (including the actual manager) and his/her spouse do not have revolving debt or uncleared balance in their cash card and whose business finance ratio is below 50% tend to have a lower probability of default. These findings can be a reference for banks in credit decision-making.
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