銀行業在台灣作業風險管理效率之評估:隨機邊界法(SFA)之運用

An Assessment on the Efficiency of Operational Risk Management for Banking Industry Operating in Taiwan: An Application of Stochastic Frontier Approach

毛一風(Mauricio Cortes)

指導教授 ： 劉祥熹

國立臺北大學/商學院/國際企業研究所/碩士(2012年)

摘要

本文旨在探討銀行業在台灣作業風險管理效率及其影響因素。為達該項目的，本文採隨機邊界方法(stochastic frontier approach)，並以2008-2010 年在台灣營運之36 家銀行之相關資料進行實證分析與評估。實證結果發現作業風險之管理效率3 年來有增加趨勢。基本上，影響銀行作業風險管理效率之主要因素包括風險吸收率、公司治理與法令遵循、資訊透明度等，該項實證結果之資訊有益於銀行業作業風險管理績效提升之參考。

關鍵字

作業性風險, 台灣銀行, 隨機邊界分析

並列摘要

This thesis display the importance of operational risk management for the efficiency of Taiwan banks, demonstrating that by applying risk managerial strategies, banks can improves their performance, soundness and resiliency, measured by its risk adjusted return on capital. To do that a stochastic frontier analysis is applied on Taiwan banks’ data from 2008 to 2010. Our findings show that absorption capability, supervisory review and market discipline improve banks operational efficiency, while sparse governance-risk-management-compliance and opacity boost technical inefficiency. We conclude that the operational risk management system accumulates company’s knowledge and expertise in their business in order to provide the widest and most accurate information for managers and boards so they can take educated decisions accordingly with their
risk appetite, management style, special aims and the framework drawn by stakeholders concerns, therefore Taiwan banks should consolidate the industry, raise the aggregate assets, strengthen its own capital, expand its knowledge and operational risk management skills, upgrade its operational
risk assessment approach to advance model approach, integrate foreign investors, develop service-driven supervisory culture, evolve into transparency, keep high levels of capital buffers, work to maintain good credit ratings and uphold market confidence. Governmental should protect the public order and safety focusing on reducing asymmetric information, balancing external costs and compensations, producing and administrating public goods and services, and avoiding excessive interventionism.

並列關鍵字

Operational Risk, Taiwan Banking, Stochastic Frontier Analysis

參考文獻

Chen, H. J.(2003), “The Relationship Between Corporate Governance and Risk-Taking Behavior in Taiwan Banking Industry,” Journal of Risk Management 5(3), pp.363-391

Chen, H.J. (2008), “An Empirical Study of the Expansion Strategy in Taiwan Banking Industry,” The Accomplishment Report, NSC of Taiwan.

Chen, H. J. (2010), “Attitudes toward risk in the Taiwan Banking Industry: Prospect Theory Explanations,” Journal of Financial Studies. Vol. 18, N0 4. pp.

Huang, M. (2004), “Banking Reforms, Productivity and Risk Management in Taiwan’s Banking

Port Royal Monastery. (1662), Logic, or the Art of Thinking, Edinburgh: Sutherland and Knox.