風險性資本與銀行效率之分析

Abstract

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)，作為衡量銀行風險的客觀指標，並利用本指標估算考量風險下之金融機構效率。本文研究樣本為29家本國商業銀行，研究期間為民國91年至民國93年。本研究第一階段採用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、市場風險、作業風險、及調整後資本適足率，以作為第二階段效率分析之風險投入變數；第二階段則利用資料包絡法、修正的資料包絡法、及差額變數基礎之超效率評估模型，解決效率值排名問題，並估算經風險調整前、後之本國銀行效率，而後討論本國銀行之規模效率及影響效率表現之因子。本文實證結果顯示：(1)市場風險應計提資本有逐年上升的趨勢；而信用風險佔總風險性資產比率逐年下降。(2)經風險調整後之本國銀行效率值高於調整前之本國銀行效率值。(3)低風險銀行之平均效率值高於高風險銀行之平均效率值。(4)本國商業銀行已無法依靠傳統的放款業務支撐其生存，應多致力於傳統銀行業務外之其他營業收入擴展，且積極的進行風險管理。

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 2002 to 2004. In the first stage, we employ the standard method of Basel Ⅱ to calculate the risk as input variables for efficiency analysis. In the second stage, we employ the BCC (Banker-Charnes-Cooper), Super-Efficiency, and Super-SBM to estimate the scores relating bank efficiency which are incorporating account the risk. Our empirical results are summarized as follows: (1) The market risk is proven to be more important in recent years. The credit risk is the highest ratio of total risky capital, but the ratio decreases in recent years. Most of the adjusted capital adequacy are large than 8% in Taiwan. (2) The average efficiency scores of banks incorporating the risk are significantly higher than those of banks not incorporating the internal risk. (3) The average efficiency score of low-risk banks is large than the high-risk banks. (4) Taiwan's commercial banking industry need to be paid high attention in non- operating income and risk management in order to improve the bank's profit.