「信用」與「風險」向來係為金融機構用以評估企業償債能力之主要面向，鑑於近期全球經濟環境快速變化，以及「新巴賽爾資本協定」(New Basel Capital Accord)以明文規定，金融機構可使用自行創立之內部評等法來衡量自身之資產內容，進而給予不同權重之資本計提，因此，如何建立一套合理之信用評分機制來檢視放款品質並適當降低資本計提，為現今金融機構相當重視之課題。

本研究主要係應用資料包絡分析法(Data Envelopment Analysis)，並以目前金融機構授信時所著重之財務比率數字，建構一評估企業信用之評分系統，並將本系統套用至國內上市、櫃之光電、半導體及網通三大族群企業，共286間企業，並將信用評分之結果與台灣經濟新報所提供之企業風險指標(Taiwan Corporate Credit Risk Index)對照，比對本研究之準確性及實際違約企業之命中率，依本研究之結果顯示，僅需輸入企業之主要財務比率數字，即可獲得相關之信用評分，且依信用評分之結果顯示，本次研究對於企業違約之辦別確屬有效，可提供銀行業一簡便且實用之信用評分系統，進而建立相關之信用評等。

"Credit" and "Risk" has always been the two main dimensions for financial institutions to assess the repayment abilities of enterprises. According to the recent rapid changes in global economic environment and the "New Basel Capital Accord", financial institutions could use their own internal rating method to evaluate the grade of their loan assets, thereby giving different weights of the related capital cost. Therefore, how to establish a reasonable credit scoring system to evaluate individual enterprise would be an important issue for today's financial institutions.

This study proposes a DEA-based approach to credit scoring. For the empirical evidence, this methodology was applied to current financial data of 286 listed firms in Taiwan. Using financial ratios, the methodology could calculate a firm’s overall performance into a single financial credibility score. The results were also validated by Taiwan Corporate Credit Risk Index(TCRI) and by testing the model’s discriminatory power using actual default cases of 11 firms.

中文文獻
1. 吳萬益(2005)，企業研究方法，華泰文化事業。

2. 張大成(2003)，違約機率與信用評分模型，台灣金融財務季刊，第四輯
第一期，頁19-37。

3. 陳妙真(2004)，現金流量分析簡介，華南銀行業務報導NO.22，頁21-27。

4. 台灣經濟新報，TCRI方法論：TEJ企業信用風險指標(Taiwan Corporate
Credit Risk Index)，台灣經濟新報網站。


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