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研究生:蕭君陵
研究生(外文):Chun-ling Hsiao
論文名稱:考量作業風險之銀行效率評估--Top-Down模式運用
論文名稱(外文):Bank Efficiency Evaluation by Considering the Operational Risk--Using Top-Down Models
指導教授:鄭政秉鄭政秉引用關係沈大白沈大白引用關係
學位類別:碩士
校院名稱:東吳大學
系所名稱:經濟學系
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:中文
論文頁數:85
中文關鍵詞:作業風險Top-DownGARCH效率隨機邊界法台灣銀行業
外文關鍵詞:GARCHoperational riskstochastic frontier analysisefficiencyTaiwanese bank industryTop-Down
相關次數:
  • 被引用被引用:9
  • 點閱點閱:424
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:2
  本文研究議題為考量作業風險下對銀行的效率評估。研究的對象為32家本國銀行,資料期間是2000年至2005年。實証研究分成兩個階段,第一階段使用GARCH計量模式估計Top-Down多因子模型之誤差變異數,以作為效率模型一的作業風險指標,並另以基本指標法計算作業風險應計提資本,代表效率模型二中的作業風險變數。第二階段則採用Battese and Coelli(1995)之隨機邊界成本函數,分析兩種作業風險與銀行效率間的關係。另外在無效率因子分析上,除了考量本文兩種作業風險指標,更加入了銀行特性變數,包括銀行資本適足率、放款佔資產比、分行家數、成立年數與加入金控與否與來分析其對於銀行經營無效率的影響。
  本文實証結果顯示,國內有13家銀行當年度之作業風險為異質型態,作業風險會隨著時間而改變。若銀行曾發生過人員疏忽、控管不當或外部的衝擊者,則有較高作業風險曝險值。而發展妥善作業風險管理者,曝險值較低。關於兩種作業風險量化方式對效率影響之異同,不論從作業風險應計提資本或直接衡量作業風險的角度,銀行都會因面臨作業風險而降低經營效率。基本指標法會使銀行有過高的作業風險資本計提,導致本國銀行平均效率表現較差。而Top-Down計算法之結果顯示成本效率的表現較佳。另外,在兩種不同作業風險指標下,部分銀行的效率排名差異較大。大致可分為兩種情形,第一,若銀行面對較大的作業風險的衝擊,在無足夠作業風險資本計提之下,會使效率表現不佳。說明了以單一指標作為作業風險計提資本衡量方式的缺失。第二,若銀行獲利能力較高,以基本指標計算的作業風險應計提資本額較大,使衡量出的成本效率排名較落後。然而銀行若有良好的作業風險管理整合機制,其作業風險會較小,故成本效率排名實際上較佳。
This article studies the bank efficiency considering the operational risk. The research object is 32 banks in Taiwan for the period from 2000 to 2005. The empirical study divides into two stages. In the first stage, we use the GARCH model to estimate the variance of residual of the Top-Down Multi-Factor model, which is used as an operational risk indicator in the efficiency model I. We also use the Basic-Indicator approach to count operational risk capital in order to being operational risk variable in the efficiency model II. In the second stage, we use Battese and Coelli (1995) stochastic frontier cost function to analyze the relationship between two kinds of operational risk variables and the bank efficiency. Moreover, in the inefficiency factorial analysis, in addition to the consideration of two kinds of operational risk indicators, the bank characteristic variables are further taken into consideration, including the capital adequacy rate, loans/assets, the number of branches, bank age and whether joining holding company or not. These variables are employed to analyze the effect on bank operational inefficiency.
The empirical results show that 13 banks in Taiwan have heterogeneity operational risk, and the operational risk will change as time goes by. If the neglect of personnel, improper control or the exterior impact used to occur to banks, then the banks would have higher operational risk exposure value. The banks which develop operational risk management properly, then the exposure value is lower. With regard to the difference and the similarity between the effects of the two operational risk quantification ways on efficiency, the bank efficiency will be lower when facing the operational risk, whether from the perspective of counting the operational risk capital or the direct measure operational risk. The Basic-Indicator approach makes banks have higher operational risk capital, which causes banks in Taiwan worse efficiency performance in average. However, the result of Top-Down computation method shows that banks have better efficiency performance. Furthermore, under two kinds of different operational risk indicators, the ranks of some bank's efficiency are very different, which can be divided into two situations. First, if banks face bigger operational risk impact, the efficiency performances become worse under insufficient operational risk capital. This result explains the shortage of using unit indicator to measure operational risk capital. Second, if banks have higher profit ability, then operational risk capital counted by Basic-Indictor approach is bigger. That causes the ranking of the cost efficiency to fall behind other banks. However, if banks have a good operational risk management conformity mechanism, its operational risk will be lower; therefore the ranking of the cost efficiency will be better.
第一章 緒論..............................1
第一節 研究動機與目的....................1
第二節 研究對象與方法....................4
第三節 研究架構..........................4
第二章 文獻回顧..........................6
第一節 Basel II 作業風險衡量內涵........6
第二節 作業風險國內外文獻................15
第三節 銀行效率與風險相關文獻............20
第三章 研究方法..........................28
第一節 由上而下模式(Top-Down Models).....28
第二節 時間序列分析......................31
第三節 效率分析..........................36
第四章 實証模型..........................42
第一節 模型建構..........................42
第二節 變數定義與資料說明................46
第五章 實證結果分析......................54
第一節 多因子模型之作業風險估算..........54
第二節 成本效率實証分析..................63
第三節 兩模型成本效率排名比較............71
第六章 結論與建議........................74
第一節 結論..............................74
第二節 未來研究方向與建議................77
參考文獻..................................78
附錄......................................83
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