證券商分公司經營績效-以元大證券為例

Performance Valuation on the Branch Offices of Securities Brokerage: Evidence from YUANTA Securities

王俊傑(Chun-Chieh Wang)

指導教授 ： 何耕宇

國立中央大學/管理學院/財務金融學系碩士在職專班/碩士(2008年)

摘要

金融機構的獲利主要來源是依靠風險的承擔，證券商分公司的經營不應只是以業務經營為導向，其風險承擔與經營變化皆會影響到整體的經營成敗。因此績效評估指標必須加入風險因素的考量，才能正確反映績效的優劣，而風險調整資本報酬率(RAROC)制度在計算報酬率時將風險因素也考量進來，能忠實呈現企業所承受之風險與資本報酬間之關係，於是本研究對於證券商行分公司績效評估，以RAROC來進行證券商分公司績效評估，然後再比較RAROC與傳統以業務達成績效為考量的分公司評鑑制度不同，茲將本研究之結論彙整如下：
一、 傳統證券商對分公司經營績效評估重點在業務目標的達成，在風險調整後的資本報酬(RAROC)衡量之差異主因在於經紀手續費的折讓率與盈利率在衡量分公司經營績效的分公司評鑑制度中並未有效考慮。
二、 影響分公司RAROC的四個自變數，其中有經紀業務市場佔有率，經紀手續費折讓率，盈利率和信用交易收入權數，其中經紀手續費折讓率與RAROC有顯著的負相關，其他三變數皆與RAROC有顯著的正相關。
三、 每億業績盈餘值，計算簡單且與RAROC相關性高，建議可以代替RAROC成為衡量證券商分公司經營績效的指標。

關鍵字

風險調整之資本報酬率 ； 證券商績效評估 ； 證券經紀業務

並列摘要

The profitability of financial institutions is derived from the distribution of risk. Therefore, the setup of a brokerage’s branch office should not be guided solely by business and revenue concerns but also by risk distribution and changes to management, which can affect the overall success or failure of the institution. The performance benchmark must account for risk to properly reflect performance. The calculation of RAROC (Risk-Adjusted Return on Capital) accounts for risk and can show the relationship between risk and capital return. In this paper, we use RAROC to evaluate the performance of securities brokerage’s branch offices and compare the difference between the performance valuation under RAROC and the traditional system of performance valuation. The results can be summarized as follows:
1. Traditional branch office performance valuation is focused on the attainment of business/revenue goals; its difference from RAROC-valued performance is mainly that traditional performance valuations do not effectively consider the discount rate and yield of the branch office’s fee income.
2. The four independent variables which affect branch office RAROC are as follows: 1) brokerage market share; 2) discount rate on brokerage fee income; 3) branch office yield; and 4) the weighting of margin transactions. The discount rate on brokerage fee income has significant negative correlation with the RAROC, while the other three variables have significant positive correlations with the RAROC.
3. Another performance measurement, the ratio of branch office EBT (earnings before tax) and brokerage revenue, is easy to calculate and has a high correlation with RAROC; it may be a substitute for RAROC as a branch office performance estimate.

並列關鍵字

RAROC (Risk-adjusted Return on Capital) ； Securities Brokerage. ； Brokerage Performance Valuation

參考文獻

陳錦村，『風險管理概要—個案與實務二版』，民國96年。

中文部份

徐名瑤，『銀行轉投資行為、治理機制對經營績效之影響』，國立中央大學財務金融研究所碩士論文，民國87年。

張炎欽，『證券商自有資本適足率與經營風險預警制度比較』，私立銘傳大學金融研究所碩士論文，民國92年。

黃家誠，『證券商並購之效率分析—資料包絡分析法之運用』，私立東吳大學經濟研究所碩士論文，民國90年。