本研究以台灣銀行業為例,探討風險對操作衍生性金融商品使用之影響,本研究針對風險分成了三大類,系統風險(貝他係數)、非系統風險(利潤波動度和營收波動度)、經營風險(資本適足率、利率敏感性缺口、授信集中度)。研究結果發現系統風險與交易目的衍生性金融商品使用程度呈顯著負相關,系統風險也與非交易目的衍生性金融商品使用程度呈顯著負相關(除了非交易目的匯率有關契約);而非系統風險之營收波動度與交易目的、非交易目的衍生性金融商品有關契約關係不顯著;而經營風險與交易目的、非交易目的衍生性金融商品使用程度呈顯著正相關(除了資本適足率與非交易目的衍生性金融商品關係不顯著)。
Our study investigates the impact of risk on derivatives operation in Taiwan banking industry. The risks are categorized into three types ,systematic risk (beta)、non-systematic risk (profit volatility、revenue volatility) and operation risk (capital adequacy ratio、interest-rate sensitivity gap、credit concentration ratio). The results showed that systemic risk have negatively significant relationship with derivative contracts of trading purposes. And systemic risk also have negatively significant relationship with derivative contracts of non-trading purposes, except foreign exchange related derivative contracts of non-trading proposes. But non-systematic risk (revenue volatility) bears no significant relations with derivative contracts of both trading and non-trading purposes. The operational risk (capital adequacy ratio 、interest-rate sensitive gap、credit concentration ratio) have positively significant relationship with derivative contracts of both trading and non-trading purposes, except capital adequacy ratio bears no significant relations with derivative contracts of non-trading purposes.