台灣地區銀行業財務績效、薪酬與風險整合分析:DEA與模糊化處理

本文選取台灣經濟新報資料庫（TEJ）2010年台灣上市櫃銀行為研究對象，探討銀行產業財務績效、股價風險值、董監經理人均薪酬，並且透過九宮格與整合方塊探討。財務績效評估模式選用資料包絡分析法（Data envelopment analysis，DEA）計算多項投入與多項產出，求算決策單元之相對效率。本文根據美國統一金融機構評等制度評鑑績效方法CAMEL做為國內銀行財務績效指標，分析各家銀行財務績效；在資料處理方面，將資料使用模糊化（Fuzzy）的方式界定於0~1之間，以便於資料計算；接著藉由風險值能夠瞭解各家銀行之股價波動情形，採用變異數-共變異數、歷史模擬法與蒙地卡羅模擬法等三種方法，分析各家銀行股價風險值；接著，本文彙整各家銀行領取董監經理人薪酬的概況，探討薪酬的組成架構；並且使用兩兩構面建立財務績效與董監經理人均薪酬九宮格、進行績效表現與風險評估投資九宮格和董監經理人均薪酬對風險評估九宮格，最後設計整合方塊，並找到整體表現較佳與較差的公司。整合方塊結果顯示表現優異者，該企業之財務績效表現相當突出，且投資人投資該股票所承擔風險程度相當小，且董監經理人相對於同業之間領取較少薪酬，就總合分析來看該企業相當值得投資。

關鍵字

風險值；財務績效；董監經理人薪酬；整合方塊

並列摘要

According to Taiwan Economic Journal（TEJ） Database,This research aims at investigating overall performances of 24 listed bank companies in TWSE. It explores financial performance, board compensation, and value-at-risk, respectively. And, we analyze relationship between them. First, data envelopment analysis （DEA） is adopted to evaluate the financial efficiency of each bank company with three inputs and five outputs. To avoid data missing or negative, we dealwith fuzzy processing.Second,this research uses three ways including variance-covariance metrics, historical simulation and Monte Carlo simulation to estimate value-at-risks of stock prices. Third, the paper explores the composition of the board compensation by the financial statements. Finally, we build the integration cube. The three-dimensional space is by financial performance, board compensation, and value-at-risk. Then, it show that the company with better financial performance, less risk, and less board compensation is worth investing.