財務經營績效與信用風險因子相關性分析

The Correlation Analysis Between Financial Operating Performance and Risk Factors

林筱鳳(Hsiao-Feng Lin)

《商業現代化學刊》 8卷3期 (2017/08) Pp. 307-325

https://doi.org/10.6132/JCM.2017.8.4.16

摘要

本研究以CAMEL法及迴歸分析，探討商業銀行財務經營績效與信用風險因子之相關性。本研究以台灣地區之商業銀行為研究對象，扣除變數有遺漏值之部分銀行，共計20間樣本銀行，資料期間為西元2008年至2011年，以「年」為資料基礎，資料來源為台灣經濟新報。實證結果顯示，信用風險因子中，利害關係人授信比率與銀行獲利能力呈顯著負相關，逾放比率與資產品質呈顯著正相關，與經營管理能力、獲利能力與流動性呈顯著負相關，負債比率與資本適足性、資產品質、獲利能力呈顯著負相關。

關鍵字

財務經營績效 ； 利害關係人授信比率 ； 逾放比率 ； 負債比率

並列摘要

This study empirically examines the correlation between financial operating performance and risk factors using Taiwan commercial bank data for the period 2008 to 2011. The CAMEL is used to measure the financial operating performance for commercial bank. Followed are multiple regression analysis. The results indicate that the ratio of credit extensions to interested parties and earnings are significantly and negatively correlated. Overdue loan ratio is significantly positively correlated to asset quality and significantly negatively correlated to management, earnings and liquidity. Finally, debt to assets ratio is significantly negatively correlated to capital adequacy ratio, asset quality and earnings

並列關鍵字

financial operating performance ； ratio of credit extensions to interested parties ； overdue loan ratio ； debt to assets ratio