臺灣博碩士論文加值系統

隨著近年來發生的金融海嘯和危機，如2008年因次貸危機而引發的金融海嘯，或2010年爆發的歐債危機，皆凸顯了銀行風險管理之重要性與問題。國際各大企業越發重視風險控管，政府亦研擬及修正許多法規，如：資本適足率的最低準備和提列。而我國也於1998年5月由財政部發佈「銀行自有資本與風險性資產之範圍計算方法及未達標準之限制盈餘分配辦法」（2019年修正為「銀行資本適足性及資本等級管理辦法」），正式將市場風險納入資本適足性的衡量與計算，且我國銀行根據內部法的規範，可自建風險值模型計算自家之資本適足。
本研究以台灣18家主要上市櫃銀行作為研究樣本，其中含公股銀行4家、金控10家和一般之銀行4家。而研究區間為2010-2021年，共計12年，以四大面向中，選擇八個比率作為研究變數，探討變數對於銀行風險值之影響和結果，找出影響效果最為顯著之變數並逐一探討。
最終，得出在三種VaR模型下的銀行風險值，皆受逾放比率變動、資本適足率變動、存放比率變動、資產報酬率變動、每股盈餘變動和放款市占率變動之影響，並提供其對應解決方法和建議。接著依照不同性質之銀行，分為六大類，依照其分類進行變數對其銀行風險值之影響，針對六大性質之銀行結果逐一討論與分析。

Due to the financial tsunami and financial crisis that occurred in recent years, such as the subprime mortgage crisis in 2008 and the European debt crisis in 2010, the importance and problems of banks’ risk management have been highlighted. International companies are paying more attention to risk control, and the government has also developed and revised many regulations, such as minimum preparation and listing of capital adequacy ratios. The Ministry of Finance from Taiwan also issued the Article "Regulations Governing the Capital Adequacy and Capital Category of Banks" in May 1998 (Amended in 2019), which formally included market risk in the measurement and calculation of capital adequacy. In addition, banks were allowed to build their own value-at-risk models to calculate their own capital adequacy according to the internal regulations.
18 major listed banks in Taiwan were chosen as the samples of this research, including 4 public banks, 10 financial holding companies and 4 general banks. The period of the research was set between 2010 - 2021, 12 years in total. 8 ratios are selected as the variables from four aspects to explore the impact and results of variables on banks’ risk value, and find variables with the most significant impact analyzing each.
Last but not least, it is concluded that the value-at-risk of banks under 3 VaR models were affected by changes in NPL ratio, capital adequacy ratio, deposit ratio, return on assets, earnings per share, and loan’s market share, providing solutions and suggestions. Moreover, different banks were sorted into six categories, and the impact of variables on the risk value of banks was analyzed by their categories, and the results of six major banks were discussed and analyzed one by one.

摘要 i
Abstract iii
誌謝 v
目錄 vi
表目錄 vii
圖目錄 viii
第一章 緒論 1
1.1 研究背景與動機 1
1.2 研究目的 2
1.3 研究流程與章節架構 3
第二章 文獻探討 5
第三章 研究方法 12
1.1 研究架構 12
1.2 研究範圍與資料來源 13
1.3 變數定義與分類 15
1.4 研究模型與分析方法 20
第四章 實證結果與分析 26
1.1 敘述性統計 26
1.2 風險值之逐次迴歸結果 33
1.3 不同性質銀行之迴歸結果 42
1.4 回溯測試結果 48
第五章 結論與建議 50
1.1 研究結論 50
1.2 研究限制和建議 55
參考文獻 57
外文文獻 57
中文文獻 58

外文文獻
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Carlsson, A. and Holm, J. (2020). Is there a Long-run Relationship between Stock Prices and Economic Activity and are Stock Returns a Leading Indicator for Economic Growth? Evidence from the Scandinavian countries: Sweden, Norway and Denmark. Master thesis in Finance, School of Business, Örebro University, Örebro, Sweden. Retrieved from https://oru.diva-portal.org/smash/get/diva2:1524580/FULLTEXT01.pdf.
Hendricks, D. (1996). Evaluation of Value-at-Risk Models using Historical Data. Economic Policy Review, 2(1), 39-69.
Hsiao, C. M. (2022). Volatility, Liquidity, ESG Investment and Conditional Value at Risk: Evidence from Taiwanese Financial Holding Companies. SSRN working paper. Retrieved from http://ssrn.com/abstract=4215014.
Jackson, P., Maude, D. J., and Perraudin, W. (1998). Bank Capital and Value at Risk. Bank of England. Retrieved from http://smartquant.com/references/VaR/var60.pdf.
Kupiec, P. H. (1995). Techniques for Verifying the Accuracy of Risk Measurement Models. The Journal of Derivatives, 3(2), 73-84.
Kupiec, P. H. (1999). Risk Capital and VaR. The Journal of Derivatives, 7 (2) 41-52.
Marshall, C. and Siegel, M. H. (1996). Value-at-Risk: Implementing a Risk Measurement Standard. The Wharton Financial Institutions Center, University of Pennsylvania, USA. Retrieved from https://core.ac.uk/download/pdf/6649975.pdf.
Tran, O. K. T. and Nguyen, A. H. V. (2022). The Relation between Government Budget Balance and Macroeconomic Stability: A Case Study in Vietnam. Montenegrin Journal of Economics, 18(2), 115-126.
中文文獻
朱香蕙、張榮顯、林玉森（2014），評估具厚尾分配風險之避險效果。經濟研究，50(2)，141-173
徐紹娟（2021），銀行逾放比率之影響因素。台灣，國立中山大學財務金融所，碩士學位論文，1-6頁。
楊忠敏（2012），我國可再生能源技術專利、碳排放與經濟成長的關係研究-基於VAR模型的實證分析。《科技管理研究》，第9期，中國，河北師範大學商學院，22-26頁。
葉澤瑜（2014），極值理論下銀行風險因素之探討。台灣，國立中正大學財務金融所，碩士學位論文，第16頁。