臺灣博碩士論文加值系統

本論文主要在探討那些財務報表資訊能用來偵測銀行的潛在問題? 過去的研究，主要是以財報所反應出的財務比率作為衡量銀行本質好壞的指標。然而，近代的銀行大多從事大量的資產負債表外的活動，這類的活動有可能會造成銀行顯著虧損，但這類風險卻沒有適當地被財務報表揭露。另外，雖然讀者可以由資產負債表大概地了解銀行的投資標的，但卻難以得知投資標的詳細情形，例如它們的風險程度。本文主要是以ＣＡＭＥＬ架構作為分析基礎，加入一些資產負債表外的項目以及風險性較高的投資標的作分析，試圖找出更完善的架構做為問題銀行的偵測指標。我們發現銀行本身的流動性、資本適足率銀行參與證券化活動程度的高低都與銀行發生問題的可能性息息相關。除此之外，結果顯示總體的環境也是影響銀行經營穩定性的主要因素；集中度低的銀行體系與高的ＧＤＰ成長率都會增加銀行發生問題的機率。

The aim of this study is to figure a more complete framework to detect troubled financial institutions. Past researches measure the fundamentals of banks mainly by using the financial ratios which are constructed from financial statements. However, nowadays banks involve in many off-balance sheet activities that may cause a huge amount of losses, and this type of risk is not reflected from balance sheet. Moreover, the users of financial reports observe the main asset types that banks hold, but some specific information about the underlying assets, such as the risky level, might be unavailable for the public. On the basis of CAMEL structure, we add some off-balance sheet items and the extent of investing in risky assets. We expect the new structure to enhance the prediction power on the possibility of financial institutions to be in trouble. The main results show that liquidity and capital adequacy of banks and what the extent of banks’ involvement in securitized business are important warning indicators of bank failures. Besides, macroeconomic environment, such as less concentrated banking sector and high GDP growth, is also main cause of destabilizing banks’ soundness.

Chapter 1. Introduction 1
Chapter 2. Issue and Related Literature 4
2.1 Negative Impacts of Banking Crises 4
2.2 Factors Cause Bank Failures and Information of Financial Statement 5
Chapter 3. Data Description 7
3.1 Sample Financial Institutions 7
3.2 Information from Financial Statements 9
Chapter 4. Methodology 12
4.1 CAMEL Indicators 12
4.2 Hidden Risk Indicators 14
4.3 Other Indicators and Macroeconomic Variables 15
4.4 Tests on different subgroups of banks 16
Chapter 5. Empirical Results 20
5.1 CAMEL-indicators and Macroeconomics Effects on Bank Fragility 20
5.2 Hidden Risks Effects on Bank Fragility 22
5.3 Further Tests 24
Chapter 6. Conclusions 26
References 28
Table 1. The Sample Distribution by Country, Specialisation, Listed and Event year. 30

Table 2. Name and Definition of Independent Variables. 32

Table 3(a). Summary Statistics for Financial Institutions. 33

Table 3(b). Summary Statistics of Hand Collection Information for Financial Institutions 35

Table 4. CAMEL-type Indicators and Macroeconomic Effects on Bank Fragility 36

Table 5. Hidden Risk Effects on Bank Fragility 37

Table 6. CAMEL-type Indicators and Macroeconomic Effects on Bank Fragility – Tests on Different Subgroups of Banks 38

Table 7. Hidden Risk Effects on Bank Fragility - Tests on Different Subgroups of Banks 40

Table 8. Further Tests 42

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