Investigating the Impact of Basel II on Taiwan's Small and Medium Enterprises
Date Issued
2004
Date
2004
Author(s)
Hung, Hsueh-Mei
DOI
zh-TW
Abstract
The new Basel Accord（Basel II）which sets more rigorous regulation in corporate financing, will be put into operation in 2006. This thesis investigates the impact of the new Accord on Taiwan’s small and medium enterprises (SMEs). By applying empirical data to the regulations developed by the Basel Committee on Banking Supervision (BCBS), our research reveals the following findings:
1. Through an investigation in the probability of default of our sample of Taiwan’s companies rated in the 1996-2001 period, the probability of the retailing SMEs was documented to be merely 0.92%. The issue is more pronounced in Taiwan since (1) the criterion of classifying SMEs in Taiwan is lower than that of BCBS, and (2) bank loans to SMEs for over 40 million New Taiwan Dollars would hardly be granted - a financial report certified by the accountant is required, according to the banking regulations, for loans over 30 million New Taiwan Dollars. These findings imply that the probability of default of SMEs in Taiwan is lower than that of large enterprises.
2. Since a bank applies different risk-assessment approaches in financing SMEs, variances in capital requirements among various approaches are significant.
3. Most SMEs in Taiwan under the regulation of classifying SMEs and the law of banks will be categorized as Retailers, by BCBS definition, and may benefit from Basel II regulations. However, it will bring in negative effect in SMEs financing when the banks set a higher capital requirement for loans to SMEs based upon factors such as portfolios of asset and credit-rating structure.
4. The characteristics of SMEs and their high operation cost usually induce greater funding costs than larger enterprises. Nevertheless, by applying the base interest rates and the Basel II system, the banks may bear lower credit risk with SMEs and may thus require lower spreads than before. We also estimate that the spreads corresponding to RAPM (Risk-Adjusted Performance Measurement) financing price is not likely to exceed the concurrent measures. Furthermore, we find that the IRB (Internal-Rating-Based) approach would lead to a lower capital requirement than the standardized approach.
Subjects
違約機率
資本計提
新版巴塞爾協定
零售型中小企業
Retailing SMEs
the New Basel Accrod
Prabability
Type
thesis