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研究生:黃凱莉
研究生(外文):Kai-Li Huang
論文名稱:作業風險對銀行績效的影響-三階段DEA分析法之應用
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:78
中文關鍵詞:銀行績效三階段分析資料包絡法隨機邊界模型新巴塞爾資本協定
外文關鍵詞:Domestic bank's efficiencyThree-Stage ApproachData Envelopment AnalysisStochastic Frontier ModelNew Basel Capital Accord
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2006年底正式上路的新巴塞爾資本協定,在規範銀行資本適足率計算上,新增列了作業風險應計提資本的計算方式,以加強銀行業在資金上的運用更加穩健及透明化。目前有關銀行績效評估之文獻,多集中於信用風險和市場風險,較少探討作業風險對於銀行業績效之影響。
本文利用2003年至2005年間存續的三十家本國銀行進行實證研究,以三階段資料包絡分析法,探討作業風險對於台灣銀行業經營績效的影響。第一階段使用資料包絡法(DEA)來衡量三年期間各家銀行的效率值。第二階段則以投入項差額變量為被解釋變數,四項環境變數為解釋變數,利用隨機邊界模型(SFA)進行迴歸分析,並調整其投入量。第三階段再使用資料包絡法(DEA)衡量調整後各家銀行的效率值。試圖證明經過環境因素調整後,能更有效率解釋各家銀行的效率表現。

本文的研究結果發現:
加入環境因素的考量後,本國銀行的平均技術效率下降,但整體資料的變異程度加大,表示經由調整過後可以增加對於各家銀行技術效率的辨識能力。本文的實證結果也發現,作業風險對於銀行的存款總額差額變量、員工人數差額變量及固定資產差額變量皆有正向的關係,表示當作業風險的風險值越高,會增加銀行對於各項投入的浪費,因而產生銀行經營的無效率。而資本適足率越高的銀行,對於存款總額及固定資產投入越有效率。此外,分行家數越多的銀行,亦會造成銀行各項投入的浪費越多;而設立年限越久的銀行則越有效率。
In the end of year 2006, Basel Committee on Banking Supervision officially starts process the New Basel Capital Accord (Which we called Basel II). The Basel II is base on the capital adequacy framework of international banks, in order to increase capital circulating and strengthen its supervisory review process. In now a day, most of the researches are concentrates on the credit risk and the market risk, but not many papers or researches discuss the affection of operational risk regarding bank’s efficiency. This study aims to construct a bank efficiency model with the external environment variables, and find the relationships between the bank’s efficiency and operational risk.
In order to handle this issue, the study collected 30 banks' dates during 2003A.D to 2005A.D and comparison of their operation efficiency before and after considering their risk conditions. We adopt a three-stage approach to analyze the bank's efficiency. In the first stage, we applies DEA model to estimate the technical efficiency of the firms. In the second stage, we applies SFA model to find effects of external environment variables on firm's efficiency. In the third stage, we repeat to apply DEA model to estimate the technical efficiency of the firms after adjusting environment variables. The empirical results suggests that:
After joining the environmental factor, the average technological efficiency decline of the domestic bank, but the variation degree of the whole data is strengthened; show that can increase the ability of distinguishing to the technological efficiency of every banks. The environment of operational risk had positive effects on the total deposits slack variable, the staff population slack variable, and the fixed asset slack variables. The expression treating as operational risk value is higher, then can increase the bank regarding each investment waste, thus creates the bank management to be without the efficiency. And the environment of branch's number also had positive effects in input variables. The bank's establishment fixed numbers of years had negative effects in input variables.
第一章 緒論
第一節 研究動機與背景----------------------------------------------------------1
第二節 研究目的及方法----------------------------------------------------------2
第三節 章節安排及研究流程----------------------------------------------------3
第二章 新巴塞爾資本協定概述與績效文獻回顧
第一節 新巴塞爾資本協定介紹-------------------------------------------------5
第二節 三大支柱架構-------------------------------------------------------------8
第三節 國內外相關文獻探討---------------------------------------------------13
第三章 研究方法
第一節 效率之基本理論---------------------------------------------------------23
第二節 三階段分析法------------------------------------------------------------27
第三節 作業風險的衡量方法---------------------------------------------------43
第四章 模型建構與實證結果分析
第一節 研究對象及資料來源---------------------------------------------------52
第二節 變數說明------------------------------------------------------------------53
第三節 實證分析------------------------------------------------------------------57
第五章 結論與建議
第一節 結論------------------------------------------------------------------------70
第二節 未來研究建議------------------------------------------------------------73

參考文獻------------------------------------------------------------------------------------74
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三、網站部份
行政院金融監督管理委員會http://www.fscey.gov.tw/
公開市場觀測站http://newmops.tse.com.tw/
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