金控與非金控公司之金融機構經營風險之研究

The Risk Management Study for Holding and Non-Holding Financial Institutes in Taiwan

陳素媚(Amy Chen)

指導教授 ： 陳若暉

中原大學/商學院/企業管理學系/碩士(2006年)

https://doi.org/10.6840/cycu200600239

摘要

金融體系是一國經濟成長重要支柱之一，隨著快速的金融變遷，如何衡量金融機構的經營風險，提供逾越警戒範圍之異常狀況預警，促使金融機構本身加以防範即時糾正、改善，達到經營穩健的目的，進而避免金融事件發生，為當今財務金融重要課題之一。
本研究以金控公司與非金控公司下金融機構的經營風險為研究主題。以CAMELS指標衡量金融機構的信用評等進而分析其經營風險，選取1999年至2004年間，台灣38家金控與非金控公司旗下金融機構的季資料，採用排序普羅比(Ordered Probit)和排序羅吉斯(Ordered Logit)模型進行實證分析，實證結果如下:
一、銀行、票券業的資本適足率均達到財政部金融改革的8%以上，但在經營風險管控上逾放比低於5%仍有改善的空間;證券、産壽險業的負債淨值比平均值較高、表示企業長期償債能力不強，經營績效有待加強。
二、銀行、票券業以資本適足性率、銷貨毛利率、市場風險敏感性、Tobin’s Q的改變對信用評等呈顯著正相關。證券、産壽險業則以流動比率的改變對信用評等呈顯著正相關;營業費用佔營業收入比例和資産報酬率對信用評等則呈顯著負相關。
三、邊際效果則以違約事件對銀行、票券的信用評等A具有預期效果; 逾放比、Tobin’s Q和金控合併對信用評等AA具有預期效果。證券、産壽險則以資産報酬率、Tobin’s Q和違約事件對信用評等A具有預期效果; 但對信用評等AA的效果則不如預期。
希冀以上實證分析，可盡棉薄之力，提供政府金融監理機關參考，將較顯著的影響因素，列入金融機關績效考核之一。並設立一套評核制度，提供異常狀況預警，避免財務危機發生。

關鍵字

信用評等 ； 金融控股公司 ； Tobins’Q值。 ； 逾放比 ； 資本適足率 ； CAMELS評等系統

並列摘要

The financial system is one of the most important role of economic growth for each contry around the world. The essential issue for financial system today is how to measure the risk management and monitor unusual events over expected situations to avoid financial crisis to reach the objective of sustainable operating.
The primary purpose of this study is to examine the risk management for Holding and Non-holding Financial Institutes in Taiwan. We utilized the Ordered Probit and Orderded Logit models for the empirical works. A variety of econometric tests were conducted by CAMELS criteria using quarterly data of 38 Financial Institutues in Taiwan over the period 1999 to 2004.
Our results indicate below:
(1) The Ratios Capital Adequacy of Bank and Bill Finance Corp. were over 8% to meet the 1st phase of Financial Reformation by Ministry of Finance in 1999, but the Ratios of Non-Performing Loans were required to improve to reach the target under 5%. The Debt on Equity was still higher to be reinforced due to a higher prossibility of a default on loans.
(2) Capital Adequacy, Gross Profit on Net Sales, Sensitivity to Market Risk and Tobin’s Q are positively related to Credit Rating changes for Bank and Bill Finance Corp. Liquid Asset to Liabilities are positively related to Credit Rating changes for Institues of Securities and Insurances. In addition, Operating Expense per Revenue and Returns on Assets are negatively related to Credit Rating changes for Institues of Securities and Insurances.
(3) For marginal effect, Probability of Defult affects expected related to Credit Rating of A level for Bank and Bill Finance Corp as expected. Ratio of Non-Performing Loans, Tobin’s Q and Financial Holding Company Merged are expected to influence Credit Rating of AA level for Bank and Bill Finance Corp. Return on Assets, Default Probability and Tobin’s Q are expected related to Credit Rating of A level , but they are not expected to change Credit Rating of AA level for the institutes of Securities and Insurances.
This study provides the expected criteria to field and government for reference of risk management and to set up a healthy system to monitor unusal events to avoid Financial Crisis.

並列關鍵字

Ratio of Non-Performing Loans ； Holding Financial Institutes ； CAMELS ； Credit Rating ； Capital Adequacy Ration ； Tobin’s Q

參考文獻

1、王信惠 (2002)，金控公司與非金控公司之初次公開發行股價報酬與待合併期間之比較分析，中原大學企業管理研究所未發表碩士論文。

14、林紹州(2005)，投資人違約交割信用風險管理之探討，中原大學企業管理研究所未發表碩士論文。

18、吳尚仁 (2002)，我國上市上櫃公司管理盈餘組成項目之研究，中原大學會計學研究所未發表碩士論文。

36、陳靜芬(2005)， 智慧資本對經濟附加價值與績效影響之研究-以LCD產業為例，中原大學企業管理研究所未發表碩士論文。

51、蕭文宜 (2004)，亞洲單一貨幣的中心匯率機制與貨幣危機預警模型之關聯性研究，中原大學企業管理研究所未發表碩士論文。