- 期刊
- OpenAccess
The Predictive Power of Capital Adequacy Ratios on Bank Risk
資本適足比率對銀行風險之預警能力
摘要
風險管理為近期會計研究的主要議題之一。本文旨在探討1998年巴塞爾協定所規定之資本適足率及財務報表分析經常使用之資本比率是否具有預測銀行風險的能力。另外，亦探討以風險為基礎之資本適足率相較於傳統之資本比率是否更具有預警價值。文中考慮銀行業之特性，以選擇權評價模型計算出隱含資產風險，用以衡量銀行總風險。實證結果發現：本期資本比率皆具有預測銀行風險的能力，為評估銀行清償能力之攸關指標，與下期銀行風險呈顯著負相關，亦即本期資本比率愈低的銀行，傾向下期承作較多高風險的業務。另外，資本適足率相較於傳統財報分析使用之資本比率具有更強的預測能力，顯示此項金融管制措施在偵測銀行風險上具有預警效力。
並列摘要
Risk management is a main issue on accounting research recently. This study investigates whether capital adequacy ratios (Basel regulatory capital ratio under 1998 version and traditional capital ratio on the balance sheet) can predict subsequent bank risk, and whether the regulatory risk-based capital ratio is more useful as a warning indicator for bank solvency than the traditional capital ratio in Taiwan. Considering characteristics of banking industry, this study employs an option pricing methodology to obtain implied asset risk as a market-based proxy for a bank's total risk. Empirical results indicate that both capital ratios are negatively associated with subsequent bank risk, and that the regulatory risk-based capital ratio more completely predicts bank risk than the traditional capital ratio does. In other words, the urging warning function of the risk-based capital requirement on bank risk is effective.