銀行風險管理在不同逾放比下對財務績效之影響探討—金控與非金控銀行之比較

這幾年來銀行的家數似乎過度飽和，各家金融機構為了拚業績而產生惡性競爭，導致授信資產品質下降，逾放比率持續上升，雖然近期金融機構的財務風險有呈現逐年升高，但銀行的資本適足率依舊還是急速惡化，這是非常值得探討的問題。本研究想探討銀行風險管理在不同逾放比之下對銀行財務績效的影響，銀行的風險管理以資本適足率為例，利用各家銀行不同的逾放比做一個門檻變數，分別將銀行分類為金控公司銀行以及非金控公司銀行進行對應比較分析，想了解透過資本適足率去管理銀行風險的好壞是不是會影響到銀行的財務績效，運用縱橫平滑移轉迴歸模型(Panel Smooth Transition Regression Model, PSTR)分析，實證結果發現風險管理與財務績效存在著非線性關係以及顯著的平滑移轉效果，資本適足率對銀行財務績效影響的高或低會因逾放比的門檻而導致產生不一樣的相互影響。

關鍵字

風險管理；財務績效；資本適足率；逾放比；縱橫平滑移轉模型

並列摘要

The number of banks in the past few years seems to be oversaturated. The financial institutions have produced vicious competition in order to fight for performance, resulting in a decline in the quality of credit assets, non-performing loans ratio continues to rise. Although the financial risks of financial institutions have recently increased year by year, but the bank’s capital adequacy rate is still rapidly deteriorating. This question is very worth exploring. This study wants to explore the impact of bank risk management on bank financial performance under different non-performing loans ratio. Bank risk management is represented by capital adequacy ratio. Use a different ratio of each bank to make a threshold. The bank is classified into a FHB and a non-FHB for comparative analysis, want to know whether the risk of managing bank risks through capital adequacy will affect the financial performance of banks. This study uses PSTR analysis. The empirical results show that there is a nonlinear relationship between risk management and financial performance and a significant smooth transition effect. The high or low impact of capital adequacy on bank financial performance will have different interactions due to the threshold of non-performing loans.