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系統識別號 U0026-0812200914095622
論文名稱(中文) 利用模糊模式作企業信用評等之研究
論文名稱(英文) Using Fuzzy Models for Commercial Credit Rating
校院名稱 成功大學
系所名稱(中) 工業與資訊管理學系碩博士班
系所名稱(英) Department of Industrial and Information Management
學年度 96
學期 2
出版年 97
研究生(中文) 林均洋
研究生(英文) Chun-Yang Lin
電子信箱 r3695410@mail.ncku.edu.tw
學號 r3695410
學位類別 碩士
語文別 中文
論文頁數 66頁
口試委員 口試委員-楊大和
口試委員-田方治
指導教授-陳梁軒
中文關鍵字 距離測度  授信決策  信用評等  模糊理論 
英文關鍵字 commercial loan decision making  credit rating  fuzzy set theory 
學科別分類
中文摘要 近年來,財政部開放新銀行執照的申請,造成各個銀行競爭激烈,使存放款利差逐漸縮小,為爭取申貸客戶,銀行在檢驗企業信用評等時往往過於粗略,導致授信品質不良,金融機構的逾放比率不斷上升。在此環境中,為提高放款量、減少審核時間並且使信用評估模式能夠更合理反映出企業之信用水準,本研究透過我國銀行公會所頒布之"授信企業信用評等表",發展出一套結合專家主觀判斷之非量化評估與從財務報表中擷取量化評估值之模式,來綜合評估企業之信用水準,協助授信業者作出穩健決策。

該評等表之三大項目中,"經營管理"、"產業特性暨展望"二大項所涵蓋的評估因素,皆為較難以量化之定性指標,係由授信人員個人之主觀評判,其評分標準甚為模糊,造成評等結果難以精確表達出借款戶之信用水準。為解決該信用評等制度中,主觀評判較為難以衡量之問題,本研究將使用模糊理論套用於信用評等模式中,以距離測度之方式求取專家意見綜合評估值,並以模糊演算求得借款戶之信用水準,目的在於建構一較符合實際之信用評等模式,提高信用評估結果之參考價值。在研究中將會利用模擬數據探討本模式與傳統評估法之差異,並且實際取得企業之財務數據帶入本模式中分析。
英文摘要 Due to the establishment of the New Basel Capital Accord, stepping up internal ratings-based approach of credit risk allows banks to adopt the internal ratings-based approach for the minimum regulatory capital calculation. On the other hand, with the deregulation of the new bank licenses, the competition of financial banks is getting fierce. Consequently, the profit margin of saving and loans is shrinking. The fierce competition has lead to bad quality of loans and increasing debt rate. In such environment, in order to increase the amount of loans, reduce the verification time of banks and construct a more precise model to evaluate a company's credit level, this study would develop a efficient model of credit ration based on the current credit rating table for commercial loan, which is announced by the Bankers Association of the Republic of China.
In the current credit rating table for commercial loan, two evaluation items, "management performance" as well as "business characters and prospects", include a number of qualitative evaluation factors. These factors are subjectively evaluated by the persons in charge of credit rating. However, the associated criteria are pretty vague, so that the rating results cannot reveal the actual conditions. This makes the results obtained unpredictable. Therefore, in order to deal with the subjective judgement problems in the current approach, this study is going to employ fuzzy logic of fuzzy set theories to build up the credit rating model. The main purpose is providing the decision maker a clear method when dealing with the uncertain environments, in order to enhance the quality of commercial loan decision making result.
論文目次 摘要.................................I
Abstract............................II
致謝...............................III
目錄................................IV
表目錄..............................VI
圖目錄.............................VII
第一章 緒論..........................1
1.1 研究背景.........................1
1.2 研究動機.........................2
1.3 研究目的.........................3
1.4 研究方法與範圍...................4
1.5 研究流程.........................4
1.6 論文架構.........................4
第二章 文獻探討......................6
2.1 銀行授信概述.....................6
2.1.1 授信方式的歷史演變.............6
2.1.2 授信業務流程與要點.............8
2.2 授信評估相關研究................10
2.2.1 統計模型......................11
2.2.2 類神經網路、基因演算法........11
2.2.3 專家系統、案例式管理..........12
2.2.4 其他方法......................12
2.3 模糊理論........................14
2.3.1 模糊數........................14
2.3.2 語意變數......................16
2.3.3 α截集........................17
2.3.4 模糊數的基本運算..............18
2.4 距離測度........................18
第三章 信用評等評估模式之建構.......21
3.1 研究構想........................21
3.2 模式架構與指標的選取............23
3.3 定義各評估項之語意變數與隸屬度..24
3.4 非量化因子之初步整合............28
3.5 量化因子........................30
3.6 量化、非量化因子之模糊計算......31
3.7 信用水準判定....................33
第四章 數值分析.....................35
4.1 模擬個案研究....................35
4.1.1 三組模擬數據計算..............35
4.1.2 三組模擬數據結果分析..........42
4.2 公司企業模擬案例................43
4.2.1 營運狀況良好公司信用評等模擬..43
4.2.2 營運狀況較差公司信用評等模擬..48
4.3 與傳統信評模式比較..............52
4.3.1 傳統信用評估結果..............52
4.3.2 模糊模式評估與傳統模式之差異..52
第五章 研究成果與未來研究方向.......54
5.1 研究結論........................54
5.2 未來研究方向建議................55
參考文獻............................56
附錄一..............................61
附錄二..............................63
參考文獻 中文文獻
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