從巴塞爾協定探討銀行資產風險與資本適足性之關連－中國大陸商業銀行之實證研究

The Initial Evidence on the Association among Bank Asset Risk, Capital and Basel Accord in China

侯啟娉(Chi-Ping Hou) ； 黃德芬(Der-Fen Huang)

《當代會計》 7卷2期 (2006/11) Pp. 171-194

https://doi.org/10.6675/JCA.2006.7.2.02

摘要

本研究探討中國大陸商業銀行資産風險與資本適足性的關聯。實證結果發現：(1)1997年實施巴塞爾協定之後，平均資本比率呈現逐年下降趨勢，銀行產業隨著經濟成長其資本增加幅度低於資產增加幅度；(2)其他條件不變下，銀行資產風險（放款五級分類後三級總和）與齊一資本比率及資本適足率之間皆呈現顯著正相關，亦即破産理論或管制理論較能解釋樣本期間中國大陸商業銀行資產風險與資本之間的關聯；(3)放款五級分類法比逾期放款更能反應資産信用風險與資本的關聯；(4)以上市銀行權益總風險進行敏感度分析得到類似的結果；(5)風險導向的資本適足率比傳統齊一資本比率更能反應銀行風險，為衡量銀行清償能力之較佳指標。

關鍵字

巴賽爾協定 ； 資産風險 ； 資本適足率

並列摘要

This paper examines the association between bank asset risk and capital adequacy in China. The empirical findings are as follows. First, the trend of both capital ratios is decreasing since 1997. Second, the bankruptcy theory or regulation theory can explain the association between asset risk and capital after controlling size, liquidity risk, growth, ownership structure, and macroeconomic factors. Third, five-level loan classification is stronger than non-performing loans on the relation between asset risk and capital. Fourth, the empirical results are robust using equity risk as a proxy. Finally, the risk-based capital adequacy ratio is a better indicator than the traditional capital ratio on explaining bank risk.

並列關鍵字

basel accord ； asset risk ； capital adequacy ratio

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