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论文编号：	330
作者编号：	022491
上传时间：	2008/1/2 18:07:08
中文题目：	基于BaselⅡ的台湾商业银行绩效
英文题目：	The Study on Performance Evalu
指导老师：	刘志远
中文关键字：	Basel Ⅱ　DEA模式　经营绩效　<
英文关键字：	Basel Ⅱ; DEA mode; business p
中文摘要：	就台湾金融市场而言，于90年代陆续解除银行利率及业务管制，金融慢慢走向自由化，伴随著外汇管制的解除，也踏入国际化的脚步里，新型的金融行为不断产生，新竞争者亦纷纷加入金融市场内。1992年开始开放新银行成立，顿时金融业进入百家争鸣时代，金融分支机构不断增加，但也因业务同质性过高，造成银行恶性竞争的主因，各银行为了求生存及追求高获利，大量投资高风险的金融商品，因而忽略风险控管。故可知风险管理是当前银行经营者须重视的首要课题。再则，银行面对此番激烈竞争状况得要竖立经营特色，积极抢攻台湾地区金融市场。因此必须调整及检视本身之策略，以求符合环境之脉动，社会之潮流，始能在竞争严苛的金融市场中脱颖而出。故要如何客观的评估银行经营绩效，亦是未来发展方向中的另一重要课题。 综合外相关银行经营绩效评估的文献，可以发现DEA模式在评估效率上的可靠性与有效性。且由于DEA不需估计母体中任何参数，不必假设投入与产出间的函数关系且不会产生参数法在运用时会产生的偏误，在运用上可说是相当方便。因此，本研究乃采用DEA模式评估台湾银行经营效率，分析金控实施对银行业产生的影响，进一步讨论比较金控之银行与非金控之银行间的经营绩效差别，且找出造成差异之因素进而改善，期能有所收获发现。此外，在以Basel Ⅱ方法为基础所求风险值文献当中，并未使其作为衡量金融机构绩效工具；台湾只有少数学者如王本钧(2004)，是考虑Basel Ⅱ之风险为变数，以资料包络分析法去衡量金融机构绩效，但并未更深入比较资料包络分析法各模式之异同，以求出更为客观之绩效排名。 本文首先要解决一般文献中，将风险视为外生变量且仅有少数学者考虑风险後的银行绩效。所以首先用Basel II 规范的标准法估算台湾银行信用风险、市场风险、及作业风险之应计提资本，并计算符合Basel II 规定之调整后风险性资产，探讨风险下绩效评估的问题。第二部份乃评估考虑内部风险投入前、后之商业银行效率表现。对于效率评估方式，以资料包络法及差额变数基础效率模型二者为基础，然而在原始的资料包络法及差额变数基础效率模型中，决策单位的最佳效率值为1，并且可能有不只一个具效率之决策单位存在，而这些效率值同为1 的决策单位，无法作出效率排名，故本文改采Andersen and Petersen（1993）提出之修正的效率估计模型，估计商业金融机构之超效率值。但是，由于修正的效率估计模型可能发生无法估计的问题，因此再利用Tone（2002）的差额变数基础之超效率模型，估计商业银行之超效率值，解决修正的效率估计模型可能产生的无法估计问题。 本研究便是根据以上观点，将Basel Ⅱ基础下所求风险值化为金融机构投入变数，并使用资料包络分析法之各模式(BCC模式、AR模式、SBM模式、Super SBM模式)，对金融机构绩效做评估排名及比较，此一方式结合了目前热烈讨论的风险管理与效率评估二大领域，为文献中少见。 而本文结论如下：(1)以三项风险值为投入之风险调整效率值最高，而未经风险调整之效率值最低，而经风险平减后之商业银行效率表现是相近的。(2)不论是否经风险调整，金控底下之商业银行之效率表现优于其它银行之效率表现。(3)对于各模型所估计之效率值是否相同检定，检定结果显示：以三项风险(市场风险、信用风险与作业风险)为风险投入变数，风险调整前、后之效率值变化为显著。(4)对于各模型在不同状况下所估计之效率值排名是否有差异检定，以三项风险(市场风险、信用风险与作业风险)为风险投入变数，风险调整前、后之效率值排名变化并不显著。(5)将商业银行依风险变量平均值为标准区分为高风险银行及低风险银行，而后比较风险调整前、后效率值排名变化，则风险愈高者，经风险调整后，效率排名以下降者居多；而风险愈低者，经风险调整后，效率排名以上升者居多，可见加了风险调整后越能区分银行的效率间的优劣。(6)在各项不同风险来源中，市场风险与信用风险对商业银行效率值有显著影响，而作业风险对商业银行效率值则没有显著影响。
英文摘要：	For the financial market in Taiwan, the bank rate and the business control were successively relieved from the 1990s and the finance gradually developed into liberalization. The market was internationalized with the terminal of foreign exchange control. New-type financial behavior comes into being continually and new competitors enter into financial market in succession as well. The finance industry immediately entered into a period of “letting a hundred schools of thought contend” from the beginning of opening new banks in 1992, so the number of financial branches was on the increase. However, the excessively high business isomorphism led to the cutthroat competition among the banks. Each bank largely invested in financial commodities of high risk to strive for survival and pursue great profits so that ignore the risk control and management. Therefore, it is known that the risk management is the most important subject on which bank managers should focus currently. Besides, banks facing the condition of the intense competition should establish operational characteristics and strive to occupy the domestic financial markets actively. Consequently, proper strategy must be so adjusted to changes in environment and social trends that managers can always stand out in the financial market under the fierce competition. The discussion about how to objectively evaluate the business performance of the bank is another important subject as well for the future development direction. The reliability and the efficiency of the DEA mode on the evaluation efficiency can be approved in accordance with the overseas and local literatures about the evaluation of the bank business performance. And DEA does not need to estimate any parameter in the mother’s body, to suppose the functional relation between investment and output, and will not create the deviation resulted from the application of the parametric method, so it is quite convenient for application. In consequence, this research adopts DEA mode to evaluate the business efficiency of banks in Taiwan, analyzes the influence of financial control measures on bank industry, further discusses the differences in the business performance between the banks under financial control and the ones without financial control and finds out the factors causing the differences to make improvement and achievements. In addition, in the literatures in which value at risk is obtained based on Basel Ⅱ method, DEA mode is not served as a tool to measure the financial institution profits and performances; there are few scholars, such as Wang Benjun(2004), who have considered the risk of Basel Ⅱ as a variable and measured the financial institution performance by Data Envelopment Analysis, but never further compared the similarities and differences among the modes of Data Envelopment Analysis to figure out the performance rank more objectively. The text firstly handles the influence considering risk as exogenous variable in general literatures and discusses the performance of the bank risk to certain extent. So the text primarily uses the standard law specified in Basel II to estimate the credit risk, market risk and capital accountable of operational risk, make calculation regarding risk assets after the adjustment in accordance with the regulation in Basel II and discusses about subject regarding performance evaluation under risk. The second part evaluates, considers and discusses the efficiency performance of commercial bank before and after internal risk investment. The method of evaluating the efficiency is on the basis of Data Envelopment Analysis and Slack Variable Basic Efficiency Model. But the optimum efficiency value of Decision Making Units is one and there may be more than one high-efficiency Decision Making Units in the original Data Envelopment Analysis and Slack Variable Basic Efficiency Model. These Decision Making Units whose efficiency values are one cannot have the efficiency ranked. So the text turns to adopt the efficiency estimation model corrected by Andersen and Petersen（1993） to estimate the Super Efficiency Value of commercial and financial institutions. However, for the possibility of the inestimable problems brought by corrected efficiency estimation model the text reuses Super Efficiency Model of Slack Variable Basic Efficiency of Tone（2002）to estimate the Super Efficiency Value of commercial banks and solve the above problems. According to above viewpoint this research transforms the value at risk figured out on the basis of Basel Ⅱ into the input variable of financial institutions and uses the modes (BCC mode, AR mode, SBM mode and Super SM mode) of Data Envelopment Analysis to evaluate, rank and compare the financial institutions’ performance. This method combines the risk management and efficiency evaluation discussed with enthusiasm domestically at present, being rare in literatures. The points discussed in the text as follows: (1) the efficiency value which is subjected to risk adjustment of investment at three values at risk is high; the Efficiency value without risk adjustment is low; the performance of commercial banks’ efficiency which be subjected to risk reduction is similar. (2) The efficiency performance under financial control of commercial banks is better than that of other banks, whether efficiency performance is subjected to risk adjustment or not. (3) The verification that compare the efficiency value of each model for equivalence shows that: the changes in efficiency value before/after the risk adjustment is distinct, considering the three risk (market risk, credit risk and operational risk) as the risk investment variable. (4) The verification that compare the estimated rank of the efficiency value of each model in different conditions for equivalence shows that: the change in ranking of the efficiency value before/after the risk adjustment is indistinct, considering the three risk (market risk, credit risk and operational risk) as the risk investment variable. (5) Commercial banks are classified as primay risks bank and low-risk bank in accordance to the average value of the risk variable, and then compare the change in ranking of the efficiency value before/after the risk adjustment. After the risk adjustment, the higher the risk becomes, the more the number of banks’ efficiency rank falling down, vice versa. It can be seen that bad and fine efficiency among banks can be judged easily after conducting the risk adjustment. (6) Among different varieties of risk sources, market risk and credit risk have a notable influence on the efficiency value of commercial banks while operational risk does not.
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