全球金融機構從事表外資產負債表業務的活動增加,銀行可透過非利息收入獲利進而增 加銀行的財務績效或對銀行有避險的效果,或者對銀行產生風險進而引起金融危機? 本研究在分析全球商業銀行的表外資產業務活動與銀行風險的研究,將表外資產負債表 業務活動進行分類,逐一探討各項目對銀行風險的關係,並進一步分析金融危機前與危機時期, 表外資產業務活動的變動與銀行風險的研究。最後,因本研究同時收集美洲、歐洲及亞洲的前 十大銀行的財報中,所以分析不同地區,表外資產業務活動與銀行風險的研究。 根據本文實證結果,衍生性金融商品的承作均有助降低銀行的破產風險、總風險和償還 風險。也可以發現在表外項目中,商業銀行對於使用衍生性金融商品的承作量也較高。而在其 他表外項目均可能增加銀行的風險。 接著金融危機前與金融危機時期,表外資產負債表業務活動的變動對銀行風險影響的實 證結果。在金融危機時期,商業銀行有顯著性的降低表外資產負債表業務活動,可能有助於降 低銀行發生風險。然而,承諾事項在金融危機時期增加銀行的總風險。在衍生性金融商品銀行 的風險,不管在金融危機前或危機時期,仍保持規避風險的功能,但規避風險的功能變得不顯 著,這可能與銀行降低其總額有關。 最後,在不同地區,表外資產負債表業務活動對銀行風險的影響的實證結果,在衍生性 金融商品的部分,在不同地區的商業銀行承作衍生性金融商品,且其確實有良好的避險效果, 這與的第二節和第三節的結果是一致的。
Global financial institutions increasing their off balance sheet activities will make the bank’s performance better by earning the noninterest incomes or help banks to make risk management well or increase bank risks and causes the financial crisis? Therefore, our study is to analysis global commercial banks’ off balance sheet activities and relation with bank risks. The contributions are classifying the off balance sheet activities, and the samples are cross American, Europe, and Asia in the same time. First, I collect the data from banks financial reports and classify off balance sheet activities into four categories includes OBS, contingent liabilities, commitment, and derivatives. Then, discuss each categories the relationship with bank risks. Second, analysis different period, before financial crisis and during financial crisis, how off balance sheet activities changes will effect banks risk. Last, the data I collect cross three states, so we analysis the different regions, and how off balance sheet activities will effect bank risk. According our study, derivatives will help banks to reduce failure risk, total risk, and insolvency risk. Also, we can find that commercial banks use more derivatives than other off balance sheet activities. And other off balance sheet activities will increase bank risks. Next, the results of how off balance sheet activities will affect bank risks in different periods. During the financial crisis, commercial banks significantly decrease off balance sheet activities to decease bank risks. Commitments will increase total risk. Derivatives can help banks to hedge before and during financial crisis. We also find out that some of the hedging becomes insignificantly, because banks decrease the quantities of derivatives. Last, the results of how off balance sheet activities will affect bank risks in different regions. Derivatives can help banks to hedge in different states. This result is consistent with previous results.