全球性金融危機過後,中國越來越多的商業銀行開始重視全面風險管理。本文分析中國商業銀行是否合理維持資本適足率及運用外匯衍生品及利率衍生品進行利率與匯率風險管理以提升財務績效,同時探討無清償能力風險指數、存貸款比例、貸款損失準備、不良貸款率對財務績效的影響。研究結果表明,銀行型態對中國上市商業銀行股東權益報酬率(ROE)與非利息收入占比(PNII)存在調節效果,資本適足率對ROE與ROA均有顯著負向影響,但是模型中的銀行型態對資本適足率之調節效果亦不顯著。本文也發現中國上市商業銀行之ROE與ROA普遍低於中國政府「指導意見」實施之前,國有銀行在透過風險管理提升財務績效的決策上優於非國有銀行,但整體而言還有進步的空間。
After the global financial crisis, more and more commercial banks in China began to pay attention to comprehensive risk management. This paper analyzes whether the listed Chinese commercial banks maintained reasonable capital adequacy rate and employed risk management on foreign exchange and interest derivatives to improve the performance. We also explore the impact of insolvency risk index, loan-to-deposit ratio, loan loss provision, non-performing loan ratio on financial performance of listed banks in China. The results show that there is a moderate effect of bank type on Return on Equity (ROE) and Proportion of Non-Interest Income (PNII) of listed banks in China and capital adequacy rate has negative influence on ROE and Return on Assets (ROA). However, in our models, moderate effect of bank type on capital adequacy rate is not significant. We also find that ROE and ROA of listed banks before "government guiding opinions" taking effect are lower than after. The state-owned banks' decision-making of risk management to improve performance is better than non-state-owned banks' decision-making.