放款及應收款預期信用損失率之探討-以台灣銀行業為例

Abstract

Harris et al. (2018)之研究發展了一個衡量未來一年預期信用損失的方法，其中結合了若干信用風險指標，並排除銀行經理人自由裁量空間之影響，本研究即欲探討該模型於我國之適用狀況。本研究將該預測模型適用於2000年至2018年之台灣銀行業時，預測模型所計算出之預期信用損失之預測能力略低於前期淨壞帳沖銷數，但相較於前期備抵壞帳與前期壞帳費用，其預測能力較好。另外，2011年財務會計準則公報第34號第三次修訂之適用並未對預期信用損失之預測能力造成太大影響。最後，將該預測模型應用於已開始適用國際財務報導準則第9號「金融工具」之2018年時，其解釋力大幅提升，且預測模型之預測能力均較前期淨壞帳沖銷數、前期備抵壞帳、前期壞帳費用為佳。

This study is intended to explore the expected credit losses of the banking industry's loans and receivables, and Harris et al. (2018) have developed a methodology for measuring expected credit losses in the coming year. It combines several credit risk indicators and is committed to eliminating the impact of bank managers' discretionary spaces. In this study, when the forecast model is applied to loans and receivables of the banking industry in Taiwan, the predictive ability of ExpectedRCL calculated by the forecast model is slightly worse than net charge-offs’s, and is better than loan loss allowance’s and loan loss provision’s. In addition, the application of the third amendment to the Financial Accounting Standards Bulletin No. 34 in Taiwan did not have much impact on the predictive ability of the forecast model. Besides, when the forecast model was applied to year 2018, when the banking industry in Taiwan began to apply the International Financial Reporting Standard No. 9 “Financial Instruments”, its explanatory power was greatly improved, and the predictive ability of the forecast model was better than that of net charge-offs, loan loss allowance and loan loss provision.