題名: 銀行不良債權之評價 作者: 劉永欽;洪榮華 貢獻者: 財務金融學系
關鍵詞: ?? 債權 , 衍生投資價值評價法 , 調整折現 ?, 危險 ?, 回收 ? ;Non-Performing Loans,Derived Investment Value,Risk-Adjusted Discount Rate,Hazard Rate,Recovery Rate
日期: 2008-09
上傳時間: 2010-06-08T05:53:27Z 出版者: Asia University
摘要: 本文經由分析銀???債權的特性，應用 Duffie & Singleton (1999)的風險債券評價 模式以評價銀???債權，無?一次或分期收回之債權皆適用。此模式使用違約危險?
(hazard rate)與回收?(recovery rate)?調整折現?，有別於調整現???的「衍生投 資價值評價法」(derived investment value)。評價者在對危險?與回收?建?合?的 決定模式後，以本文模型可以得到可靠的??債權價值，故可為評價??債權之另一優?
選擇。另由?值分析結果可得知??債權價值與危險?、損失?的關係，可作為估算危險?
與損失?的基準，俾?模式之應用，有助於銀?與?融檢查機關對??債權的評估、購併 者與資產管?公司對??債權公平價格的決定。
Based on analysis of nature of bank's non-performing loans (NPL), this paper applies Duffie-Singleton (1999) model for pricing defaultable claims/bonds to evaluate NPL, whether the NPL is of one-time recovery or recovery by installment. This model uses hazard rate and recovery rate to adjust discounted rate and therefore is different from the derived investment value (DIV) approach that adjusts cash flows. After
estimating the hazard rate and recovery rate using reasonable methods, the introduced model can obtain a reliable value of NPL, thus it can be a good alternative of pricing NPL. By numerical analysis, we can know the relationship between the values of NPL and the hazard rates and loss rates, and refer to the relationship as criterion to yield reasonable NPL hazard rate and loss rate. The modified model can be applied by banks, financial auditors, acquiring firms, and asset management corporations.
