國內金融環境持續變遷,現今銀行承受之風險複雜度已超過以往,故銀行局於2006年底正式頒布新版巴塞爾資本適足率計算方法及金融監理制度,以提升國內銀行承受風險之能力,過去研究多集中於資本適足率對銀行經營績效之影響,因資本之本質在承擔風險,藉由探討資本適足率與風險之關聯性,以體現資本與風險之原義。 本研究目的在探討影響國內銀行業資本適足率之經營風險因素,包含資產品質、流動性、營運策略、核心資本等,由於資本適足率是一種以風險爲導向的管制政策,銀行所面臨之所有重大風險,均應列入資本評估管理範圍,上述風險要素指標理論上應與資本適足率呈現特定關係,於此假設下運用縱橫資料模型,以國內34家銀行為研究對象,探討對資本適足率之影響。 實證結果發現,銀行資產品質惡化,將削弱銀行信用風險防範能力;採用積極放款策略,增加財務槓桿,將增加銀行營運風險;流動性高,處理市場恐慌性拋售所造成未預期損失之能力較強之銀行,具有較佳之體質免於財務危機;另核心資本充裕之銀行,其承擔風險及吸收損失之能力愈強,故銀行經營之資產品質、流動性、經營策略、核心資本強度均為銀行預警重要指標,因此銀行應隨時注意上述指標,隨財務面與總體經濟面之變化調整營運策略,據以檢討改進內部所訂定之資本適足性管理政策,以確保資本結構之健全並降低經營風險。
In this paper,we investigate the impacts of bank`s operational risk factor on bank capital adequacy rate from 2007 to 2010.We assume operational risk factors as asset quality、liquidity、operational strategy and core capital.Since bank capital adequacy control policy is risk oriented and calculated from bank`s different operational activities,the risk factors above should be theoretically highly related to bank capital adequacy rate. We find that,decaying asset quality and overextended credit policy could result in falling bank capital adequacy rate.Our findings also highlight the importence of liquidity and core capital,which Basel Committee on Bank Supervision adopt and introduce as supervision tools to increase bank adequacy and decrease default risk of banks.On the whole,our conclusions coincide with Basel Ⅲ policy.