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研究生:簡碩賢
研究生(外文):SHUO-HSIEN CHIEN
論文名稱:銀行涉足證券業務是否增加風險:臺灣銀行業研究
論文名稱(外文):A Study on the Change of Bank Risk due to Involvement in Security Business Line:Empirical Evidence from the Banking Industry in Taiwan
指導教授:吳榮振吳榮振引用關係
學位類別:碩士
校院名稱:國立雲林科技大學
系所名稱:財務金融系碩士班
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:2009
畢業學年度:97
語文別:中文
論文頁數:64
中文關鍵詞:拔靴複製法金控公司Delta-Normal風險值風險分散交易收入
外文關鍵詞:diversificationValue at riskDelta-Normalfinancial holding companytrading incomeBootstrapping method
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本文主要研究目的乃在探討臺灣加入金控體系之銀行與未加入金控體系之銀行涉入證券業務後的風險差異及風險分散效果。樣本採用1997年9月至2008年9月間臺灣22家銀行損益表的季資料。利用Delta-Normal模型、拔靴複製法模擬樣本,進一步估計出銀行淨交易收入的風險值和淨利息收入與淨手續費收入兩者合併後收入的風險值。

實證結果顯示,在95% 信賴水準下,Delta-Normal模型所計估計的淨利息收入與淨手續費收入合併後收入的風險值,金控架構下的傳統商業銀行為非金控架構下銀行的5.4倍;淨交易收入的風險值方面,金控下的傳統商業銀行為非金控下銀行的3.6倍。表示金控架構下的傳統商業銀行,並沒有因為涉足證券業務而導致風險增加,銀行主要的風險仍是以淨利息收入與淨手續費收入的業務為主。在風險分散效果方面,在95% 信賴水準下,Delta-Normal模型所算出的風險分散效果,金控架構下的銀行為10.4%,非金控架構下的銀行為14.65%。指出金控體系下的傳統商業銀行風險分散效果比非金控體系下銀行的風險分散效果低。顯示了金控體系下的傳統商業銀行,在加入了證券業務的組合資產後,並沒有幫助其分散風險,整體的組合資產風險值的分散效果較低。
The main purpose of this study is to explore the securities business of banks inside and outside the financial holding company involved in the risk of post-differences and the effect of risk diversification. Data is collected from quarterly income statement from September 1997 to September 2008 among 22 banks in Taiwan. The Delta-Normal model and the Bootstrapping method are used to compute the value at risk (VaR) of net trading income of risk and the amount of net interest income and net fee income risk.

The empirical results show that under 95% confidence level required , the VaR of amount of net interest income and net fee income risk by means of Delta-Normal model, banks inside the financial holding company is 5.4 times larger than banks outside the financial holding company; at the risk of net trading income, banks inside the financial holding company is 3.6 times larger than the banks outside the financial holding company. Expressed banks inside the financial holding company involved in the securities business did not increase the risk. The main risk of the bank is still net interest income and net fee income business. From the perspective of diversification, under 95% confidence level by means of Delta-Normal model, banks inside the financial holding company is 10.4%, banks outside the financial holding company is 14.65%,the effect under banks inside the financial holding company is lower than banks outside the financial holding company. The banks participating the securities business does not help itself spread the risks.
中文摘要......................................................................i
英文摘要.....................................................................ii
誌謝........................................................................iii
目錄.........................................................................iv
表目錄........................................................................v
圖目錄.......................................................................vi
第壹章 緒論...................................................................1
第一節 研究背景與動機.........................................................1
第二節 研究目的...............................................................6
第貳章 文獻探討...............................................................8
第一節 國內外相關文獻.........................................................8
第二節 銀行業利息收入與從事證券交易業務收入的認定............................16
第參章 研究方法..............................................................17
第一節 Delta-Normal VaR模型..................................................17
第二節 蒙地卡羅模擬VaR:拔靴複製法...........................................28
第三節 模型回溯檢定..........................................................31
第肆章 實證結果..............................................................34
第一節資料來源與敘述統計.....................................................34
第二節風險值估計結果.........................................................39
第三節 VaR模型回溯檢定.......................................................45
第四節強力檢定(Robust test)..................................................47
第伍章 結論與建議............................................................52
第一節結論...................................................................52
第二節研究限制與建議.........................................................53
參考文獻.....................................................................55
一、中文部分
1.周大慶、沈大白、張大成、敬永康、柯瓊鳳,2007,「風險管理新標竿:風險值理論與應」,智勝文化出版社。

2.蔡尚峰,2005,「非利息收入對於台灣銀行業經營績效之影響」,南台科技大學財務金融研究所碩士論文。

3.林士傑,2001,「台灣地區銀行業從事非傳統銀行業務之實證研究」,大葉大學事業經營研究所碩士論文。

4.宗立炘,1998,「台灣地區銀行兼營非銀行金融業務風險效果之實證分析」,國立中正大學財務金融研究所碩士論文。



二、英文部分
1.Boyd, J., Graham, S., (1986). Risk, regulation, and bank holding company expansion into Nonbanking. Federal Reserve Bank of Mineapolis, Quarterly Review(spring).

2.DeYoung, R., Roland, K., (2001). Product mix and earnings volatility at commercial banks: Evidence from a degree of total leverage model.Journal of Financial Intermediation 10, 54–84.

3.Demsetz, R., Strahan, P., (1997). Diversification, size, and risk at bank holding companies. Journal of Money, Credit and Banking 29 (3), 300–313.

4.Gallo, J., Apilado, V., Kolari, J., (1996). Commercial bank mutual fund activities: Implications for bank risk and profitability. Journal of Banking and Finance 20, 1775–1791.

5.Ho, T.S.Y. and A. Saunders, (1981). The determinants of bank interest margins: Theory and empirical evidence. Journal of Financial and Quantitative Analysis 16, 581-600.

6.Hunter, C.W and S.G. Timme,(1986). Technical Change, Organational Forms, and the Structure of Banking Production. Journal of Money ,Credit and Banking , 153-160.

7.James O’Brien,Jeremy Berkowitz, (2005). Estimating Bank Trading Risk: A Factor Model Approach. NBER Working Paper 11608.

8.Kwast, M., (1989). The impact of underwriting and dealing on bank returns and risks. Journal of Banking and Finance 13, 101–125.

9.Laetitia Lepetit, Emmanuelle Nys, Philippe Rous, Amine Tarazi, (2008). Bank income structure and risk: An empirical analysis of European banks, Journal of Banking & Finance 32 (2008) 1452–1467.

10.Stiroh, K., (2004). Diversification in banking: Is non-interest income the answer? Journal of Money, Credit and Banking 36 (5), 853–882.

11.Stiroh, K., Rumble, A., (2006). The dark side of diversification: The case of US financial holding companies. Journal of Banking and Finance 30(8), 2131–2161.

12.Rogers, K. E., Sinkey, J. F., Jr., (1999), An analysis of nontraditional activities at US commercial banks. Review of Financial Economics 8, 25-39.
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