銀行風險資本與經營績效之研究

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Title:	銀行風險資本與經營績效之研究
Other Titles:	A study of bank operational efficiency and risk capital
Authors:	江勁達;Chiang, Chin-ta
Contributors:	淡江大學財務金融學系碩士在職專班林景春;林允永
Keywords:	巴賽爾協定;市場風險性資產;信用風險性資產;BCC 模式;SBM 模式;Basel Accord;Marketing risk capital products;Credit risk capital products;BCC model;SBM model
Date:	2008
Issue Date:	2010-01-11 00:41:44 (UTC+8)
Abstract:	1997年全球金融風暴以來，巴賽爾委員會有鑑於現今金融機構所承受的風險之複雜度已超越舊版巴賽爾協定內容所規範之風險，故巴賽爾委員會於1999年發佈「新資本適足比率架構」徵求意見書，2001年發佈新版巴賽爾協定草案，並於2004年中公佈定案，2006年開始實施新資本協定內容；本文結論如下：一、本文將Basel II 標準法所求算之市場風險性資產及信用風險性資產，納為投入變數資料後發現：(1)各銀行間所擁有的信用風險性資產彼此差異非常大，至今已出現大者恆大，小者恆小的現象。(2)就整體而言，市場風險性資產近三年平均逐年增加，可知各銀行不再以放款做為獲利唯一業務，改推出各類金融衍生性商品等與市場風險性資產有關之業務。(3)信用風險性資產近三年平均則逐年減少，可能是近年來各銀行紛紛致力打消呆帳所致。二、經過BCC 模式與SBM 模式比較後發現：(1)經過效率值差異性檢定，驗證出兩模型之間效率值有顯著差異。且SBM 模式因限制多而更為嚴謹，其所評估效率値較BCC 模式為低，而效率値之間變異程度也較BCC模式下來得大，如此即能較為明確的以效率値來判斷銀行間的優劣程度。(2)績效排名方面，兩模式銀行排名為1 者仍偏多，且經過排名相關性檢定可知，兩模型間排名呈現顯著正向關係。但SBM 模式仍能在2004 年及2005 年，分別找出1 家及2 家偽效率之銀行，故其排名方式較為嚴格。由於資料取得之限制，本文以巴塞爾資本協定中的標準法衡量本國銀行承擔風險之概況，但事實上，新版及舊版的巴塞爾資本協定最大差異即在於：新版巴塞爾資本協定較舊版巴塞爾資本協定提供更多樣且彈性的風險衡量方式，以達到維持金融穩定卻又降低影響金融機構之目的。因此，本文採標準法計算本國銀行風險大小之方式，僅能說是舊版巴塞爾資本協定模式，換句話說，雖然本文實證結果認為資本適足限制愈嚴格，本國銀行之平均效率值愈低，但此調整後資本適足率乃依據標準法所計算而得，嚴格說來並不符合新版Basel II 之精神。是故，若改採較精確的Basel II 進階法估算各項風險值，重新估算考量風險下之效率表現，檢視並比較新、舊巴塞爾資本協定對銀行效率之影響，則更能說明Basel II 之影響及角色，也或許Basel II 確實有助於銀行之效率提升。 The 1997 global financial crisis has complicated the acceptance of risk in financial institutes with The Basel Accord; hence, the Basel Committee searched for public comment in 1999 followed by the revised draft of Basel Capital Accord announced in 2001. Published in 2004, the implement of the Accord took place in 2006. This article concludes as follow: 1.By putting market risk capitals products and credit risk capitals products as the variables in Basel II standard, the findings include: credit risk capitals products prompt major difference among banks; the increase of market risk capitals products reflects that banks no longer profited solely from granting loans but promoting related products; and the decrease of debited risk capital products may be resulted by the effort in fewer irrecoverable loans. 2.The comparison between BCC model and SBM model finds: the effect value variance confirms the major difference in two models; more rigid limitations in SBM model reveals lower effect value and higher degree in the variance between effect values than BCC model; and precise evaluation between upper and lower banks. In the ranking of performance, majority of banks are listed in the first category in the models, and the ranking presents the positive relationship. The rigidness of SBM finds one and two false efficiency banks in 2004 and 2005. Due to the limitation of researching subjects, the research followed The Basel Accord; The Revised Basel Capital Accord does provide more diverse and flexible risk evaluations in the purpose of maintaining the financial stability and decreasing the negative effects on financial institutes. Hence, the attempt of future research followed by The Revised Basel Capital Accord may be needed in the related field.
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