臺灣博碩士論文加值系統

摘要
本論文以台灣十四家金融控股公司的子銀行作為研究對象，觀察台灣金融業
2002 年12 月至2004 年12 月之資料，以風險性資產的報酬與經營成本為基礎，經
由解最佳化問題的公式推導後，便可求得以最大利潤為目標與最適風險值限制下
的最適資本額、資本結構與最適風險值限制下資本率(optimal VaR limit capital ratio-
OVLCR)，並可模擬存款利率改變時，銀行的風險值與清算條件。與巴塞爾協訂的
資本適足率(CAR)比較，發現最適風險值限制之資本率較高的銀行，例如：玉山銀
行為19.7041%、國泰世華銀行為18.0489%，表示這些銀行應該採取保守策略，適
當減少高風險資產的投資比率或是增加資本，以免銀行發生經營危機，特別是交
通銀行的OVLCR 值為25.9987%，屬於最適風險值限制之資本率特別高的銀行，
更應該要特別注意；而另外像第一銀行OVLCR 的值為2.3877%、日盛銀行為
3.6814%、台灣新光銀行為1.1005%，屬於最適風險值限制之資本率較低的銀行，
應該要採取較積極的策略，適當增加高報酬與較高風險資產的投資比率或是減少
資本。

ABSTRACT
This thesis uses 14 financial holding banks (FHBs) in Taiwan as research data
collected for the period from December 2002 to December 2004. Based on financial
accounts of the risky asset returns and the administrative costs, the optimal capital
amounts, structures and optimal VaR limit capital ratio (OVLCR) were obtained
through solution process of the optimization problem and formula derivations by
maximizing operating profit under VaR solvency restriction. Also, the VaR and
solvency condition were simulated as the deposit rate was changed. Compared with
capital adequacy ratio (CAR) of the Basel accord, the OBLCR are much higher for E.
Sun Bank (19.7041%) and Cathay United Bank (18.0489%) due to their higher
optimal capital amounts. This means that they should adopt a conservative strategy by
decreasing the proportion of the high risky asset investment or increasing financial
capital to avoid business risk. Especially for Chiao Tung Bank (25.9987%), its
OBLCR is the highest one to be paid attention. On the other hand, for First Bank
(2.3877%), Jih Sun Bank (3.6814%), and Shin Kong Bank (1.1005%), their OBLCR
is much lower due to their lower optimal capital amounts. It means that they should
adopt an active strategy by increasing the proportion of the high risky asset
investment or decreasing financial capital.

目錄
中文摘要........................................................................................................................ i
英文摘要....................................................................................................................... ii
誌謝.............................................................................................................................. iii
目錄.............................................................................................................................. iv
表目錄.......................................................................................................................... vi
圖目錄......................................................................................................................... vii
壹、緒論........................................................................................................................1
一、 研究動機......................................................................................................1
二、 研究目的......................................................................................................3
三、 本文流程......................................................................................................4
貳、文獻回顧................................................................................................................6
一、 有關資本管制的文獻探討..........................................................................6
二、 有關資本要求的文獻探討........................................................................12
(一) 資本要求對銀行之影響......................................................................12
(二) 資本要求與銀行資本之相關研究......................................................14
三、 有關銀行經營績效文獻探討....................................................................16
參、研究方法..............................................................................................................19
一、 研究對象及研究期間說明........................................................................19
二、 研究方法....................................................................................................20
(一) 利用集群分析將銀行分類..................................................................20
(二) 銀行利潤方程式與最適權益...........................................................22
(三) 風險值..................................................................................................24
(四) 利潤函數推導......................................................................................25
(五) 最適權益推導......................................................................................26
(六) 最適風險值限制之資本率..................................................................26
(七) 風險中立情況......................................................................................31
肆、實證分析..............................................................................................................32
一、 資料來源介紹與研究資料整理................................................................32
(一) 資料來源介紹......................................................................................32
(二) 研究資料整理......................................................................................32
二、 集群分析....................................................................................................34
三、 風險值........................................................................................................37
四、 最適權益與最大利潤................................................................................39
(一) 求算最適權益與最大利潤..................................................................39
(二) 最適權益與最大利潤分析圖..............................................................40
五、 最適風險值限制之資本率........................................................................42
(一) 資料分析與整理..................................................................................42
(二) 最適風險值限制之資本率的估算......................................................43
六、 風險中立情況............................................................................................45
伍、結論與建議..........................................................................................................46
一、 結論............................................................................................................46
二、 建議............................................................................................................47
參考文獻......................................................................................................................48
附錄一 公式推導........................................................................................................51
附錄二 最適權益公式推導........................................................................................52
附錄三 新舊巴塞爾資本協定比較............................................................................53
表目錄
表2-1 關於資本管制的理論基礎................................................................................9
表2-2 資本要求相關文獻..........................................................................................14
表3-1 台灣金融控股公司之子銀行..........................................................................19
表3-2 集群分析指標..................................................................................................22
表3-3 巴塞爾資本協定訂立過程..............................................................................27
表3-4 本國法規變革..................................................................................................28
表3-5 資本適足架構下之資產風險權數..................................................................30
表4-1 銀行A μ 、rd、r?之彙整表.............................................................................32
表4-2 銀行集群分類表..............................................................................................34
表4-3 集群分類表......................................................................................................35
表4-4 破產機率5%之下最大損失金額....................................................................37
表4-5 最適權益和最大利潤......................................................................................39
表4-6 銀行自有資本淨額、風險性資產總額和資本適足率資料之彙整表..........42
表4-7 最適風險值限制之資本率..............................................................................43
表4-8 風險中立下最適權益......................................................................................45
圖目錄
圖1-1 本文研究架構流程圖........................................................................................5
圖4-1 集群分類圖......................................................................................................35
圖4-2 玉山銀最適權益與利潤分析圖......................................................................40
圖4-3 第一銀最適權益與利潤分析圖......................................................................41
圖4-4 交通銀最適權益與利潤分析圖......................................................................41

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