- 學位論文
極值理論下銀行風險因素之探討
A Study on Risk Factors of Banks in Extreme Value Analysis
摘要
本文以極值理論計算銀行風險值(Value-at-Risk)，並使用股票損失率進行VaR的計算，旨在辨識個別銀行經營上的差異對於個別銀行風險的影響。本文探討盈餘多角化對於銀行風險值的影響，另一方面，探討在巴賽爾協定與我國政府對於銀行的管制下，資本規範以及銀行資產結構對於銀行風險值的影響。本文分別在H(L) = 99.9%、H(L) = 99%、H(L) = 95% 三個不同信賴區間下計算出風險值，並建立三個迴歸模型進行實證研究。實證結果可以發現銀行資產規模以及自有資本對於銀行風險值皆呈現顯著的負相關，資本適足率也呈現顯著的負相關，逾放比率則有顯著的正相關，然而，盈餘多角化對銀行風險值結果並不顯著。
並列摘要
In this paper, we first generate market-based measures of banks' Value-at-Risk by using extreme value analysis. Value-at-Risk equals to the individual bank risk which is estimated by the probability of a sharp decline in a banks' stock price. This paper analyzes the relationship between individual bank risk and bank-specific characteristics, which include banks' divergent strategies toward specialization and diversification , the financial structure and regulation of banks .We build up three regression models and calculate Value-at-Risk with three different confidence levels [ H(L) = 99.9%、H(L) = 99%、H(L) = 95% ]. According to our empirical results, we find that banks' capital and equity capital have negative impacts on Value-at-Risk, capital adequacy ratio also has a negative impact on Value-at-Risk. In addition, overdue loan ratio have a positive impact on Value-at-Risk. But there is no significant effect of revenue diversity on Value-at-Risk .