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研究生:趙芳儀
研究生(外文):Fang Yi Jaw
論文名稱:不確定情況下之商業銀行財務規劃模型--考慮自有資本比率限制
論文名稱(外文):The Financial Programming Model under Uncertainty for Commercial Banks with the Capital Requirement Constraint
指導教授:林筠林筠引用關係
指導教授(外文):Yun Lin
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:1993
畢業學年度:81
語文別:中文
論文頁數:112
中文關鍵詞:極小化平均數絕對離差模型兩階段線性規劃帳外交易活動自有資本要求資本適足性
外文關鍵詞:MIN-MAD modeloff-balance-sheet activitiescapital requirement
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目前銀行經營面臨了資金取得困難,利差減少,且經營風險加大的挑戰。
傳統業務的獲利減少,加上資本適足性政策的施行,使銀行對帳外交易活
動的倚賴日深。由於銀行的經營策略必須在流動性、安全性與獲利性三者
間取得平衡,故面對日益複雜之投資組合選擇問題時,銀行將更需要一個
能兼顧風險與報酬的財務規劃模型。本研究結合Brodt(1978)的MIN-MAD模
型與多階段規劃模型,建立商業銀行財務規劃模型。以三個月為一期,進
行兩期之銀行財務規劃模擬分析,並利用敏感性分析,探討自有資本比率
限制及帳外交易對銀行經營之影響。主要結論如下: 1.自有資本比率提
高時,為減少資本提列,並兼顧獲利性,銀行將持有較多的中長期擔保性
放款,使其資產流動性減低。但綜合而言,自有資本要求限制了銀行資產
規模之成長及資產選擇彈性,但也使銀行之資產風險有較好的控制。
2.帳外交易的存在,可使銀行在較小之獲利風險下達成較高之獲利目標,
且其重要性在資本適足性政策實施後,更為明顯。 3.模型直接考慮不確
定性問題,可使銀行在進行資產負債調整時,充分掌握市場可能變化的利
益及達成較佳之風險控制。
Nowadays banking business is facing the challenges of the
difficulties in the aqusition of funds, the squeeze on interest
spread, and the policy of the capital adequacy requirement. Due
to deterioration in the profitability of traditional business
and the enforcement of the capital adequacy policy, commercial
banks will become more dependent on off-balance-sheet
activities. While facing the problems of portfolio selection,
which have become more sophisticated, banks need a financial
programming model considering simultaneously both risk and
return, in order to reach a balance-point among liquidity,
safety and profitability. This study tries to construct a
financial programming model for commercial banks by using Brodt''
s MIN-MAD model and multi-stage programming model. With three
months a period, a two-period financial programming simulation
analysis is performed. Besides, sensitivity analysis is used to
discuss the impact of capital ratio requirements and off-
balance-sheet activities on the operation of the commercial
banks. The results indicate: 1. When the capital ratios are
raised, CBs should issue more mid- or long-term collateralized
claims to circumvent higher capital requirements and maintain
the profitability. Nevertheless , in addtion to limiting the
growth of the scale of bank assets and asset selection, the
capital requirement will provide a better control over CBs''
asset risk. 2. Off-balance-sheet activities enable banks to
obtain higher return under lower risk. Their effects will
become more significant after the policy of capital adequacy is
implemented. 3. A model under uncertainty can help banks to
seize profitable opportunities from any change in markets, and
to perform a better risk control when the management adjusts
the assets and liabilities.
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