||The wellness of credit risk has great influence on the Value of Mortage-Backed Securities (MBS), but there isn’t any valuator to supervise and to estimate these securities-issued institutions in Taiwan. For earning the trust of the masses, these institutions must have great abilities to control credit risk in an acceptable degree, and then the people will be willing to invest in these MBS.|
This research makes use of data totaling 20,576 cases (17,425 normal cases and 3,151 default cases) from a certain domestic bank, Bank P, and constructs the Logistic Regression Model to steer the substantial evidence research. With the right prediction of 96.7% in normal, 85.4% in default, and 95% in whole, we find that we can use the borrower’s age, occupation, the object of collateral, the use of collateral, the loan purpose, the year of loan, the line of credit, the category of interest, the interest rate, the source of case and the branch office as key factors for credit risk appraisal of reference provided to banks.
In this study, we will determine whether interest rate is the key factor for default, followed by occupation. The other two factors, the category of interest and the source of case, which are not popularly talked about in related studies, are confirmed as the remarkable influence factors for credit risk. The other important discovery is that the influence of the loan condition and the specialities of the collateral have greater impact on credit risk than the personality of the borrower.
This research provides some reference for financial institutions on credit evaluation, and makes up a good model for credit control. For previously issued MBS, this research also provides some academic basis for future adaptation.