金融海嘯時，為何CAMEL失去預警能力？－以花旗銀行為例

金融海嘯後，眾多銀行面臨倒閉的危機，然而當我們檢視這些問題銀行的資本適足率時，很多家銀行的資本適足率皆正常，亦遠高於國際標準之8%，然而在這樣充足的資本適足率下，許多銀行倒閉的速度，仍舊讓人措手不及。金融海嘯過後不斷有人建議提高資本適足率以應付下一次的金融危機，其實這樣的說法並不了解問題的核心，此乃因為它們的資本適足率皆超過10%，所以我認為這樣的建議並不能解決問題。本研究的目的希望藉由研究這次花旗銀行的問題，來探討過去評估銀行之主要方法－CAMEL是否健全?並針對這次金融海嘯銀行損失慘重的核心原因，提出金融監理上應修正的方法，更能於事前提供金融監理機關一個評估方法，不致於在金融危機來臨時，如此的措手不及。本研究藉由個案研究之方式，以花旗銀行為出發點，利用銀行績效評估方法－CAMEL檢視花旗銀行，並針對此結果，提出我認為主管機關未來應重視的方向及方法，做為金融監理上的參考。透過本研究我發現傳統的CAMEL模型並無法指出花旗銀行究竟出了些什麼問題，導致其在此次的金融海嘯中損失如此慘重。故我針對這次金融海嘯銀行損失慘重的核心原因，提出金融監理上應修正的三點方法：一、巴賽爾資本協定之資本適足率並無法有效的監控銀行的資本適足性，必須透過資本適足率雙指標監理，即巴賽爾資本協定所訂定的資本適足率及原始的資本適足率－股東權益對總資產比。我認為若主管機關能同時利用此兩指標進行監理，相信能更即時的要求銀行提撥資本，以預防危機發生時資本不足的問題。二、表內資產負債表已無法完全顯示銀行的經營狀況，由花旗銀行的例子，我發現這次金融風暴問題的起因都不在資產負債表內，而是在以往大家都不重視的資產負債表外，金融監理機關應更加看重資產負債表外之內容，評估其可能帶來之損失及風險。三、應將銀行分為簡單型銀行及複雜型銀行，並給予其不同的監理指標。我發現銀行可以分為兩類，簡單型銀行的資產負債表可以透露80%該銀行經營之現況與業務，而複雜型銀行其資產負債表無法反應其潛在之風險。這兩類銀行經營上差異相當懸殊，所以這兩類銀行應採用不同的監理模式。

關鍵字

資本適足率；股東權益對總資產比；表外資產負債表； CAMEL ；簡單型銀行；複雜型銀行

並列摘要

When facing financial tsunami, many banks suffered from crisis of bankruptcy. However, when we view capital adequacy ratio in those banks, most of them were above minimum requirement. Even they had such sufficient capital adequacy ratio, many banks went bankruptcy quickly. Some people suggested that rising capital adequacy ratio to face next financial crisis. In fact, this argument does not understand the core of the problem, because many banks’ capital adequacy ratio was above 10%. Thus, I think this suggestion cannot solve the problem. The purpose of this study is to check soundness of major method of banking–CAMEL by studying case of Citibank. Furthermore, I would propose amendment on financial supervisory based on the core reason of huge loss in banks. I hope I can provide effective methods for financial supervisory authority to prevent next financial crisis. This research took case study approach. I checked performance of Citibank by CAMEL model, basing on the outcome to propose my suggestion and gave financial supervisory authority directions and methods on financial supervision reference in the future. I discovered that CAMEL model cannot point out Citibank’s problem and why it suffered more in this financial tsunami. Thus, I propose three amendments on financial supervision: First, capital adequacy ratio of Basel II cannot supervise capital adequacy effectively. We have to supervise capital adequacy through double indicators, including capital adequacy ratio of Basel II and equity to asset ratio. I believed that if government authority can use two indicators to supervise financial institutions, it can require banks to raise its capital timely and prevent insufficient capital adequacy. Second, balance sheet cannot fully reflect all operating status. From Citibank case, I observed that the problem was not from balance sheet but off- balance sheet. Thus, financial supervisory authority should put more weight on off- balance sheet and evaluate its possible risks and loss. Third, categorizing banks into simplified bank and complicated bank and give them different supervision indicators. I discovered that banks can be divided into two types. Balance sheet of simplified bank can reveal 80% of its operating status and business. However, complicated bank cannot tell its potential risk and loss through its balance sheet. These two types of banking operations are on the disparity, so the two types of banks should adopt different supervision models.

並列關鍵字

Capital adequacy ratio ； equity to asset ratio ； off- balance sheet ； CAMEL ； simplified bank ； complicated bank

參考文獻

李同龢、鄭治明（2002），〈自供需面探討資產證券化中信用評等與信用增強角

何思湘（2002），〈金融資產證券化概說與法制初探（上）〉，《證券暨期貨管

何思湘（2002），〈金融資產證券化概說與法制初探（下）〉，《證券暨期貨管

“Basel Committee seeks comments on updated banking supervision principles”

Berger, P. G. and E. Ofek (1995), “Diversification’s Effect on Firm Value,” Journal of

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金融海嘯時，為何CAMEL失去預警能力？－以花旗銀行為例

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