考量營業風險與公司治理因素之台灣銀行業經營效率評估-- DEA方法之應用

A Study on the Operational Efficiency of Taiwan Banking Industry with Risk and Corporate Governance Considerations：An Application of DEA Approach

蔡明志(Ming Chih ,Tsai)

指導教授 ： 劉祥熹 博士

共同指導教授 ： 吳瑞山 博士

國立臺北大學/商學院/企業管理學系/碩士(2008年)

摘要

銀行經營常具作業、信用與市場等營業風險而影響經營效率，世界各國對銀行風險控管及績效的改善，常加入公司治理作為考量，因而將營業風險與公司治理等一併考量，可深化並反映總體風險對經營績效的實際效果；其次，在風險對銀行經營效率的研究中，鮮少將公司治理加入考量評估作為其對經營績效的影響，因而加入公司治理後的風險考量之研究，將是值得進一步探討的課題。
有關風險與公司治理對研究銀行的經營績效影響之評估，考慮風險因素評估效率是一種針對銀行業特性主要的方式，其主要是利用逾放比率或風險性資產當作變數，探討對銀行經營效率的影響，然而銀行的風險不僅存在業務特性上，亦即銀行本身可視為一部風險的管理機器；更進一步而言，對於銀行而言，公司治理的因素，更因銀行具有公共利益色彩，而顯得更加重要，但是以往在考量風險因素上，僅著重評估銀行的風險因素，並在逾期放款及風險性資產上做考慮，而未考慮公司治理的因素，本文試圖增加公司治理因素，並以利害關係人角色與資訊透明度作考量，其代理變數上採用董監事持股比率與雙重槓桿比率(DLR)，此即考量在公司治理上，股權結構與財務透明度乃是較為容易量化的指標，其風險性也較為容易觀察。
基於銀行業之經營屬多投入、多產出之產業，本研究引用資料包絡分析法，使用民國92-95年間，35家本國銀行之年資料，衡量台灣銀行業之經營效率，並納入風險管理因子與再納入公司治理因子進行評估其對銀行業經營效率之影響。就本國銀行而言，逾期放款代表經營業務所附加的風險表現，而資本適足率的限制則在於使銀行的償債能力提升，對於風險的管控除考量市場風險與信用風險外，如何藉由積極的監理要求，使由公司治理產生的問題能愈少愈好，這些措施都會降低銀行風險。然而藉由比較（1）未納入風險與治理因子狀況（2）將風險因子放在投入項（3）將風險因子放在產出項，之後（4）再將風險與治理因子同時放在投入項（5）將風險與治理因子同時放在產出項，得知風險管理與公司治理因子應做為銀行業經營時的投入項，能使銀行業經營效率提升，足見銀行經營業者在提升銀行經營效率時，將其風險管理與公司治理因子作為投入項的事前控制要較事後風險考量，更有改善經營效率之空間，該項實證結果，可提供銀行業者改善風險管理策略與政府訂定相關政策之參考。

關鍵字

風險 ； 公司治理 ； 銀行效率 ； 資料包絡分析法.

並列摘要

The bank often has business risks such as operational, credit and market which affect its efficiency. Many countries usually take corporate governance into consideration to control the bank risk and performance improvement. Thus, to consider both the business risks and corporate governance can deepen and reflect the overall risk on the actual result of the performance. Further more, in the study of risks on banking efficiency, it is rare to adopt corporate governance to see the effect of performance, therefore, the study of taking it into consideration will be a lesson worth further discussing. 11Regarding the assessment of risk and corporate governance, risk factors adoption is a main method to assess the efficiency, it mainly utilize the overdue loan ratio of or take the risky assets as the variable to discusses its influence on the banking performance. However, the bank risks does not only exist in its characteristic of business, i.e. the bank itself may be regarded as a machine of risk management; in further aspect, the factors of corporate governance for the bank are more important since the banks are of public interest. But the studies on the factors of risks only emphasized on the bank risks and took only overdue loan and risky assets but corporate governance into consideration. This study tries to add the corporate governance as factors, and consider the role of shareholder and information transparency. We take the percentage of insider ownership and DLR as the replaced variables, so that the structure of stock equity and financial transparency are indexes that easier to be quantized, it is easier to observe its risks as well.
Owing to that bank is an industry of multi-inputs and multi-outputs, in this paper, we adopt DEA method to estimate bank efficiency based on the information obtained from 35 banks in Taiwan for the period of 2003 to 2006. We also employ both factors of risk and corporate governance to evaluate the influences on banking performances. For local banks, overdue loans represent the risks of business, and the limitation on BIS ratio is to raise the liquidity. How to reduce the issues on the corporate governance by requiring the supervision aggressively are the approaches to reduce and control the bank risks aside from the consideration of market and credit risks. However, by comparing the factors of that (1) excluding risks and corporate governance, (2)employing the risk factors as input, (3)employing the risk factors as outputs ,(4)employing both risk and corporate governance as inputs,(5)employing both risk and corporate governance as outputs, we find that employing both risk and corporate governance as inputs could raise the efficiency. Meanwhile, the advanced control of taking both risk and corporate governance as inputs leaves more rooms to improve the efficiency for bank management level. This empirical result could also provide banking industry to improve its strategies of risk management and some advices to related policy makers.

並列關鍵字

Risk ； Corporate governance ； Banking efficiency ； DEA.

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