臺灣博碩士論文加值系統

本研究樣本來自Bankscope銀行資料庫，銀行所屬地為歐美等14國，銀行類別僅有商業銀行、儲蓄銀行與合作銀行等3個類別，共1,702家銀行，合計8,510筆觀測值。研究期間為2006年至2010年。本研究以駱駝信用評級指標體系(CAMEL Rating System)作為衡量銀行健全度之方法。實證結果顯示：在資本適足性的構面，銀行採用更複雜的內部模型，在總資本、核心資本與股東權益比的變動有正向的影響。但是，對於資本適足率、核心資本適足率、股東權益比有負向的影響。整體而言，銀行採用更複雜的內部評等模型，對資本適足性有較多負面的影響。在資產品質的構面，銀行採用更複雜的內部模型，並不會對此構面造成特別顯著之影響。在管理的構面，銀行採用更複雜的內部模型，在費用率的變動是正向的影響，顯示在此期間，銀行如果採用更複雜的內部模型，將使銀行的費用增加，造成管理能力下降。在盈餘的構面，銀行採用更複雜的內部模型，在資產報酬率與股東權益報酬率皆是負面的影響，顯示銀行採用更複雜的內部評等模型，將使銀行的獲利能力下降。在流動性的構面，銀行採用更複雜的內部模型，在樣本期間，將使銀行流動性更加充足。總體而言，銀行採用更複雜的內部模型，可能會更加暴露出銀行的缺點。抑或是由於銀行有更多空間操弄，但是因為全球經濟的重挫，使得銀行未來的狀況更為不利，然後，全部表現在財報上，最終使得銀行健全度下降。

The study sample is from the Bankscope. The bank is 14 countries in Europe and the United States. There are only 1,702 banks in the banking category, such as commercial banks, savings banks and cooperative banks, with a total of 8,510 observations. The study period is from 2006 to 2010. In this study, the camel credit rating system (CAMEL Rating System) is used as a measure of bank soundness. The empirical results show that the use of more complex internal models in capital adequacy has a positive effect on changes in total capital, core capital and shareholders' equity. However, for the capital adequacy ratio, the core capital adequacy ratio, the shareholders' equity ratio has a negative impact. Overall, banks adopt more complex internal rating models, which have more negative effects on capital adequacy. In the case of asset quality, banks use more complex internal models and do not have a particularly significant effect on the facets. In the management of the dimension, the bank adopts a more complex internal model, the change in the rate of fees is a positive impact, showing that if the bank adopts a more complex internal model, will increase the cost of the bank, result in decreasing management capacity. In the case of earnings, the bank adopts a more complex internal model, which has a negative impact on the return on assets and the return on equity. It shows that the bank adopts the more complex internal rating model, which will reduce the bank's profitability. In the case of liquidity, banks use more complex internal models, which will make bank liquidity more adequate during the sample. In general, the use of more complex internal models of banks may be more exposed to the shortcomings of the bank. Because the banks have more space to manipulate, the global economic downturn, making the future situation of the bank more unfavorable, and then all the performance in the earnings, and ultimately make the bank soundness decline.

中文摘要 Ⅰ
英文摘要 Ⅱ
目錄 Ⅲ
表　次 IV
第一章 研究動機 1
第一節 緒論 1
第二節 研究目的 2
第二章 文獻探討 5
第一節 採用IRB需要更嚴苛條件 5
第二節 IRB與RWA關係 8
第三節 IRB與銀行健全度的關係 11
第三章 研究方法 13
第一節 模型與變數介紹 13
第二節 樣本說明與資料來源 19
第四章 研究結果 20
第一節 各變數之基本統計量 20
第二節 迴歸實證分析：IRB對銀行健全度的影響 27
第三節 實證結果彙整 33
第四節 穩健性測試 38
第五章 結論與建議 59
參考文獻 61

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三、網路參考資料