汽車貸款違約風險因素之研究

Abstract

美國在2007-2008年爆發次貸危機，距今相隔超過10年後，美國次級貸款風險又開始進入輿論視野，但主角從房屋換成了汽車。2016 年發行的次級車貸債券規模已達到 260 億美元，超過了全球金融危機前的水準。而台灣自次貸風暴後的2009年起，汽車銷售量年年屢創新高，汽車貸款佔消費貸款業務承作量亦是逐年攀升，與房屋不同的是，汽車價值逐年降低，故本研究主要在探討金融機構對於汽車貸款信用風險管理，並進一步研究風險控管對預期收益的影響。 本研究以國內某金融機構之汽車貸款案件為研究對象，蒐集 37,534 筆資料，試圖結合目前金融業承辦汽車貸款實務，探討汽車貸款授信審核之重要評估因素。 本研究運用羅吉斯迴歸分析，經實證研究發現新車與中古車貸款之貸款期數、貸款成數、貸款利率與汽車貸款違約機率呈現顯著正相關，教育水準、工作年資、收入證明提供及保證人之有無，則呈現顯著負相關。融資車貸款之貸款期數、貸款成數與汽車貸款違約機率呈現顯著正相關，收入證明提供及保證人之有無，則呈現顯著負相關。 另外，貸款利率與融資車貸款違約逾期之關係，則呈現顯著負相關，此與新車及中古車呈現方向不同，評估係因融資車借款人向金融機構申貸，大多應屬於資金融通需求，此類客層與一般購置車輛的借款用途較不相同。

A decade after the U.S. subprime crisis in 2007-08, much ink has been spilled on the risks of U.S. subprime lending again. However, the subjects has been switched from house to automobile. In 2016, the subprime auto loans has reached US260 billions, surpassing the level before the global financial crisis. While in Taiwan, the auto sales, as well as auto loan’s share in consumer finance, has been increased year by year since 2009. A vehicle, as opposed to a house, loses its value over time. Therefore, the purpose of this study was to discuss the risk management in financial institutions and to address its influence on expected income. We collected 37,534 auto loans from a domestic financial institution as research samples and employed Logistic regression model for testing the significance of variables. From the empirical results, the loan characteristics with forecasting power include term, loan-to-value ratios, rate, educational level of borrowing applicants, seniority, income and guarantor. The loan interest rate and the delinquency and default rates on auto financing loans are negatively correlated, distinct from that on new and used car loans. The difference may arise from the borrowing purpose, as most subprime borrowers tend to have financing needs rather than those who borrow to buy a car.