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| Title: | 如何運用DEFCON建立銀行放款品質之預警系統
The application of DEFCON as an alert system to non-performing-loan management in the banking industry |
| Authors: | 李貞慧
Lee, Demi |
| Contributors: | 吳文傑
Wu, Jack
李貞慧
Lee, Demi |
| Keywords: | DEFCON
總體經濟
銀行
預警系統
DEFCON
Macroeconomics
Banking
Alert System |
| Date: | 2010 |
| Issue Date: | 2011-09-29 18:20:25 (UTC+8) |
| Abstract: | The study attempts to apply the DEFCON Concept as an early alert system to Non-Performing-Loan (NPL) Management in Taiwan’s Banking Industry.
The recent financial crises in South East Asia have stimulated a significant body of empirical research on the subject of potential leading indicators for banking crises. Specifically, a number of statistical models have been developed to provide early warning signals of impending risks and also the relationship between the NPL and those leading indicators.
The purpose of this study is to 1) Explain the definition of DEFCON and the application of DEFCON in the banking industry, 2) The literature review is on the correlation between Non-Performing Loans and Macroeconomic variables, giving particular importance to regression models. 3) The methodology of DEFCON Planning includes the data used, variables selection via the coefficient analysis, a simple regression model and usage of the selected variables to set the DEFCON triggers 4) Ultimately, to help aid in what Bank’s can undertake under different levels of DEFCON to prevent potential loss.
Our empirical results show that 1) Economic Growth Rate 2) the Leading Index 3) Bounced Check Rate, 4) Shinyi Housing Index 5) Unemployment Rate 6) Consumer Price Index 7) Consumer Debt 8) M1B currency supply and 9) Unemployment Rate, are the leading indicators that predict Taiwan’s NPL ratio; however, it is prudent to note that the NPL ratio may be manipulated by banks, and may result to inaccurateness in some indictor’s prediction of the model. It is imperative that constant monitoring be the practice to ensure the effectiveness of the model.
The Banks in Taiwan should monitor the overall DEFCON status periodically and use it as early alert system and take proactive actions based on the level of economic deterioration (DEFCON level) to well manage their asset and reduce NPL.
1. INTRODUCTION 1
2. LITERATURE REVIEW 3
3. THE DEFCON PLANNING MODEL 6
3.1. MODEL DESIGN 7
3.1.1. DATA PREPARATION 7
3.1.2. CORRELATION ANALYSIS 7
3.1.3. SINGLE REGRESSION TEST 8
3.1.4. THE DEFCON TRIGGERS SETTING 8
3.1.5. FINAL DEFCON MODEL 8
3.1.6. PROPOSED ACTION STEPS 8
3.2. CORRELATION ANALYSIS 8
3.3. SINGLE REGRESSION MODEL 10
3.4. THE ZONING OF DEFCON TRIGGERS 17
3.5. THE OVERALL DEFCON TRIGGERS AND STATUS 22
3.6. PROPOSED ACTION STEPS 24
3. THE DEFCON PLANNING MODEL 26
REFERENCE 27
APPENDIX 28
A. Correlation Analysis 28
B. Data source 29
C. Regression Model 30 |
| Reference: | 1. 吳怡芬（2006），總體經濟變數對本國銀行逾放比率關係之研究，世新大學管理學院財務金融研究所碩士論文
2. 吳懿娟（2003），我國金融危機預警系統之研究，中央銀行季刊，第二十五卷第三期，頁5-42。
3. 吳偉民（2006），台灣銀行業不良資產管理模式與總體經濟變數關連性分析，世新大學經濟研究所碩士論文。
4. 林左裕、賴郁媛（2005），我國銀行業逾放比與總體經濟因素間關係之研究，商管科技季刊，第六卷第一期，頁165-179。
5. 曾銘宗（2000），逾期放款比率與經濟成長及失業率間關係之研究，存款保險資訊季刊，第十四卷第一期，頁140-149。
6. 林美花 (2008) ，本國銀行廣義逾放比與總體經濟指標之關聯性研究，屏東科技大學財務金融研究所碩士論文
7. 張建隆(1998)，「退票比率與總體經濟變數間關係之實證研究」，私立朝陽大學財務金融研究所未出版之碩士論文。
8. 陳熙文(2008) ，「影響台灣退票率因素之實證研究」，國立臺灣大學社會科學院經濟學系碩士論文
9. 吳懿娟(2003) ，「我國金融危機預警系統之研究，中央銀行季刊，第二十五卷第三期
10. 蕭偉龍(2008) ，「總體經濟對本國銀行與外國銀行逾放比之探討」，國立高雄第一科技大學金融營運所碩士論文
11. Sukrishnalall Pasha, Tarron Khemraj (2010), The determinants of non-performing loans: an econometric case study of Guyana
12. Stefan, G., Peng, W and Chang, S., (2005), “Macroeconomic conditions and banking performance in Hong Kong SAR: a panel data study”, Investigating the relationship between the financial and real economy, pp.481-497.
13. Bell James and Darren Pain (2000), "Leading Indicator Model of Banking Crises", Financial Stability Review, Bank of England, December, pp.113-129. |
| Description: | 碩士
國立政治大學
國際經營管理英語碩士學位學程(IMBA)
98933017
99 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0098933017 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營管理英語碩士學程IMBA] 學位論文
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