銀行經營風險與報酬之效率分析－跨國比較研究

A comparative study on efficiency of banks between operation of risk and return in different countries

葉武璋(Wu-Chang Yeh)

指導教授 ： 郭憲章

國立暨南國際大學/管理學院/財務金融學系/碩士(2009年)

https://doi.org/10.6837/NCNU.2009.00236

摘要

本研究主要是評估銀行經營效率之跨國比較，利用資料包絡分析法(Data Envelopment Analysis)將銀行經營上所面對之風險作為投入變數，包括信用風險、流動性風險與市場風險。產出變數則為報酬面之利息收入與非利息收入，並結合Meta-Frontier進行不同群體間之經營績效及技術差異分析與比較，予以探討銀行所面臨的風險與收入二者之間的關係，進而提出提升風險管理品質之參考建議。本研究選取法國、日本、美國與台灣共612家銀行為樣本，2000-2006年資料進行實證分析。實證結果發現：各國經營效率偏低，隱含各國銀行風險管理普遍不佳，平均而言產出面大多處於遞增規模階段，應思考如何改善風險管理政策以提升收入進而改善效率。台灣銀行金融技術較為落後，但經營效率卻略為領先，主要風險為信用風險，可能是經營態度不同所致，控制有限風險生產較合理之報酬，以換取較高之經營效率，但在國際化之微利時代下卻無法創造太大的經營利益，並非永續經營之道，建議應逐步開放管制擴大收入以提升經營效率。美國與法國仍為各國銀行主要學習參考對象，顯示金融技術領先下，雖然風險增加，但若風險管理決策佳，使報酬收入增加，銀行依然可以創造高度經營效率，值得我國銀行引以為鑒。

關鍵字

效率 ； 技術缺口 ； 風險管理 ； 資料包絡分析法 ； Meta-Frontier

並列摘要

Banks operate business with risk-taking, but Cebenoyan and Strahan(2004) point out moderate risk can have a higher return. Therefore, Banks need to adopt optimal portfolio between risk and return. The purpose of this study is to employ DEA (Data Envelopment Analysis) to measure operating efficiency for banks in different countries. We use input variables including credit risk, liquidity risk, and market risk. And interest income and non-interest income are output variables. In addition, we use meta-frontier to analyze operating efficiency and technology gap between different groups.
This paper collects 612 banks in France, Japan, US, and Taiwan. The data period is from 2000 to 2006. The result show that: The operating efficiency of every country is low. Implied banks of all countries have poor risk management. Most of banks operate on the extent of increasing return to scale and they should consider how to expand the sources of income in order to enhance efficiency. Banks of Taiwan have more technology gap than other countries have better financial development, but banks of Taiwan have better efficiency of operation maybe relate to different operating strategy. They choose to bear less risk with higher efficiency and more technology gap, but they can’t create more benefit form safer operation. It is not long-term strategy of risk management. Banks of the United States and France as the main learning object. Implied even they operate more flexible with more risk, but if they have better risk management to increase income, they also can create high efficiency of operation. We think it worth to consider and learn for banks of Taiwan.

並列關鍵字

Efficiency ； Technology Gap ； Risk Management ； Data Envelopment Analysis ； Meta-Frontier

參考文獻

1. 郭憲章、許振維、李揚、徐萬爐，2001，「台灣地區商業銀行效率之研究－應用資料包絡分析法」，亞太社會科技學報，第1卷第1期，頁129-148。

2. 郭憲章、李揚，2005，「銀行風險管理及其最適化報酬」，行政院國家科學委員會研究計畫(編號：NSC93-2416-H147-007)。

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