企業應收帳款基礎ABCP之資產群組信用增強分析---隨機模型法之應用

Abstract

隨著以企業應收帳款為基礎之資產基礎商業本票的蓬勃發展，其短期信用風險的評估日益重要。目前的短期信用風險文獻主為在進行企業財務危機預測者與企業之短期信用風險探討，對於以資產群組層面信用增強分析的探討，目前也主要發展於CDO、CLO等長期性證券化資產群組的研究，針對以企業應收帳款為基礎之ABCP的資產群組信用增強分析，相關之研究文獻極少。本研究以現行評等公司的做法為基礎，針對企業應收帳款為基礎之ABCP的資產群組，考量到出售人應收帳款違約及稀釋的情形，建立隨機模型來對應計提信用增強之部位進行估計。相對於現行評等實務依據一年期間歷史資料所進行靜態的信用增強之部位分析做法，本研究乃是依據應收帳款違約比率、稀釋比率以及營收變動率之「平均反轉」的隨機波動特性，建立出違約比率隨機模型、稀釋比率隨機模型以及營收變動率隨機模型，以預測及分析其資產群組未來多期所需之信用增強水準。本研究提出之方法不但可作為規劃未來所需信用支撐之資訊，另一方面也可以作為ABCP出售人（或ABCP證券）短期信用風險評估的參考。

Due to the fast development of trade receivable ABCP, assessing the short-term credit risk has become an important issue. The current short-term credit risk models focus either on corporate failure prediction or corporate short-term credit analysis. Few of them are on the credit analysis of short-term corporate credit portfolios such as trade receivable ABCP. The current study based upon the rating criteria issued by Standard & Poor’s is to calculate credit enhancement level of a single-seller trade receivable ABCP portfolio through stochastic modeling of portfolio credit variables such as trade receivable default ratio and dilution ratio. Based upon the significant characteristics of mean-reversion of default ratio, dilution ratio and changing rate of sales, the study develops three stochastic models to predict future required credit enhancement level. Moreover, the proposed analytical methodology in this study can also provides information for assessing the credit risk of a trade receivable ABCP (or the seller of the ABCP).