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題名：風險性資產與銀行效率之分析
作者：陳玉涓 引用關係
作者(外文)：Yu-chuan Chen
校院名稱：東吳大學
系所名稱：經濟學系
指導教授：邱永和
學位類別：博士
出版日期：2006
主題關鍵詞：銀行風險；資本適足率；巴塞爾資本協定；資料包絡法；差額變數基礎效率模型；三階段效率分析；Slack-Based Measurement；Data Envelopment Analysis；Risk；Capital Adequacy；Basel；Three-Stages DEA Analysis
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近年來，對於金融機構效率之評估，學者認為應考量各別金融機構所承擔的風險程度，以反映其真實的經營效率。本文將金融機構所面臨的風險，區分為管理者可控制的內部風險及不可控制的外部風險。對於內部風險，本文以 Basel II的風險性應計提資本（risk-based capital requirement）及最低資本適足要求（minimal capital adequacy requirement），作為衡量銀行內部風險的客觀指標，估算考量內部風險下之金融機構效率；而對於無法掌控的銀行基本特徵及總體經濟環境等外部風險因素，本文以三階段的資料包絡法排除其影響力，使所有決策單位在同一起跑點上進行效率評估。此外，Basel II的資本適足管制雖能避免金融機構發生倒閉之危機，但卻也影響金融機構之產出結構及品質，改變了金融機構之效率表現，因此，瞭解Basel II對金融機構效率表現之影響程度也是本文目的之ㄧ。
本文研究樣本為29家本國銀行，研究期間為民國91年至民國93年，實證步驟分為三階段：第一階段採用Basel II之標準法，並利用各銀行公佈之資本適足率，估算本國銀行之信用風險應計提資本、市場風險應計提資本、作業風險應計提資本、及調整後資本適足率，以作為第二階段效率分析之內部風險投入變數。第二階段則分別以Basel II規範之各項風險應計提資本及調整後資本適足率為風險投入因子，利用資料包絡法、差額變數基礎之效率評估模型、修正的資料包絡法、及差額變數基礎之超效率評估模型，估算經內部風險調整之本國銀行效率。第三階段則以三階段資料包絡法，排除外在環境變數之影響，評估本國銀行調整內、外部風險後之效率表現；最後，本文利用存在無法任意調整投入之效率評估模型，討論資本適足限制對本國銀行效率表現之影響。
本文實證結果顯示：（1）市場風險之應計提資本有逐年上升的現象，足見市場風險對各銀行影響愈來愈大；而信用風險佔總風險性資產最大宗，但比率有逐年下降之趨勢；多數本國銀行調整後資本適足率符合大於8％之規定。（2）經內部風險調整後，本國各家銀行之效率值增加，亦即經風險平減後之本國銀行效率表現是相近的；但風險調整前、後之效率值排名變化並不顯著。（3）不論是否經風險調整，混合型銀行之效率表現優於民營銀行之效率表現。（4）在各項不同風險來源中，市場風險對本國銀行效率值有顯著影響，而信用風險及作業風險對本國銀行效率值則沒有顯著影響。（5）三階段風險調整之本國銀行超效率值小於一階段之內部風險調整超效率值，亦即經內、外部風險調整後之本國銀行效率表現較差；換句話說，本文所採之銀行特徵變數及總體經濟因素有利於本國銀行效率表現，因此去除外在影響後，本國銀行真實的管理效率降低。（6）當資本適足限制愈嚴格，本國銀行之平均效率值愈低；當資本適足限制愈寬鬆，本國銀行之平均效率值愈高，但差異性並不顯著。（7）以無法任意調整投入的效率分析模型估算本國銀行效率值發現，本國銀行平均效率值顯著的高於原始資料包絡法所估計之效率值。
The purpose of our analysis is two-fold. First, we differentiate bank’s risk between the internal risk and the external risk. The internal risk is based on risk-based capital requirement and minimal capital adequacy requirement. The external risk is the factor uncontrollable but influence on bank efficiency. We take the bank’s characteristics and macroeconomic variables as external risk factors in this paper.The second important objective of our analysis is investigate the effect of Basel II on bank’s performance.
In this paper, we adopt DEA method and SBM method to estimate bank efficiency based on the information obtained from 29 banks in Taiwan for the period from 2001 to 2004. In the first stage, we employ the standard method of Basel II to calculate the amount of internal risk as input variables. In second stage, we employ the BCC (Banker-Charnes-Cooper), SBM (Slacks-Based Measure), Super-Efficiency, and Super-SBM to estimate the scores relating bank efficiency which are incorporating account the internal risk. In third stage, we employ the three-stages DEA method to estimate the bank efficiency that is excluding internal risk and external risk. Finally, the un-discretionary variable model is employed to show the effect of Basel II on the scores relating bank efficiency.
Our empirical results are summarized as follows: (1) The market risk is proven to be more important in recent years. The credit risk has the highest ratio of total risky capital, but the ratio has decreasing in recent years. Most the adjusted capital adequacy of Taiwan’s banks are large than 8%. (2) The average efficiency scores of banks incorporating account the internal risk are significantly higher than those of banks not incorporating account the internal risk, but the ranks are not significantly difference. (3) The average efficiency scores of mixed banks are always higher than the private banks. (4) The market risk has significantly influence on the efficiency scores of banks, but the credit risk and operation risk are not influence on the efficiency scores of banks. (5) The performance of banks incorporating internal risk are superior than incorporating both internal and external risk. (6) It is not significantly that the efficiency scores of banks with more strictly capital adequacy requirement are lower capital adequacy requirement. (7) The bank’s efficiency scores of un-discretionary variable model is lower than the original BCC model.
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