基于风险调整的运营效率研究——以台湾银行业为例

发布时间：2018-06-07 08:46

本文选题：风险容忍度 + 银行效率　；参考：《统计与信息论坛》2017年05期

【摘要】：针对金融机构风险容忍度的关键指标:资本、获利、财务弹性、银行特许价值,以及《巴塞尔资本协议》III关注的表外资产与金融衍生品隐含嵌入杠杆,作为风险调整的投入和产出,构建台湾金控集团下属银行的效率评估体系。结果表明:第一,银行效率排名有强者恒强趋势,在拟定具有稳定性与一贯性的风险容忍度后,除了形成银行特有的风险文化与经营特色外,还能够维持稳定绩效,对于市场品牌价值将有显著的提升;第二,风险调整后的效率与监管指标相关程度较高,表示考虑风险后的运营更容易满足监管者管控要求;第三,低流动性风险(低贷存比)风险管理优势带来较高的风险调整后效率,然而贷款普遍存在流动性差的特征,银行应加强优质合格存款与资产的流动性管理,避免过度依靠贷款(高贷存比)而降低自身经营效率;最后,台湾利率市场化造成利差逐渐缩小,较快的放款增速却无法提高风险调整后的效率,资产管理与财务管理等中间业务收入将是台湾银行结构转型的重点业务。
[Abstract]:Key indicators of risk tolerance in financial institutions: capital, profitability, financial elasticity, bank franchise value, and implicit leverage of off-balance-sheet assets and financial derivatives covered by the Basel Capital Accord (III). As an input and output of risk adjustment, the efficiency evaluation system of banks affiliated to Taiwan Capital Control Group is constructed. The results show that: first, the bank efficiency ranking has a strong trend of constant strength. After formulating the risk tolerance with stability and consistency, it can maintain stable performance in addition to forming the unique risk culture and management characteristics of the bank. For the market brand value will have a significant increase; second, the risk adjusted efficiency and regulatory indicators are highly relevant, indicating that the risk after the operation is easier to meet regulatory requirements; third, Low liquidity risk (low loan-to-deposit ratio) risk management advantage brings higher efficiency after risk adjustment. However, there is generally poor liquidity in loans. Banks should strengthen the liquidity management of high-quality qualified deposits and assets. Avoid excessive reliance on loans (high loan-to-deposit ratio) to reduce their own operational efficiency; finally, the marketization of interest rates in Taiwan has led to a gradual narrowing of interest rate differentials, while faster lending growth has not been able to improve the efficiency of risk-adjusted lending. Income from intermediate businesses such as asset management and financial management will be a key business in the restructuring of Taiwan's banks.
【作者单位】：中国光大集团博士后工作站;清华大学五道口金融学院;中央财经大学金融学院;台北医学大学大数据研究中心暨管理学院;
【基金】：中国博士后科学基金面上一等资助《股市流动性风险与价格稳定机制研究》(2016M590120)
【分类号】：F832.33

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