作業風險對銀行績效的影響-三階段DEA分析法之應用
| Autor: | Kai-Li Huang, 黃凱莉 |
|---|---|
| Rok vydání: | 2007 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 95 In the end of year 2006, Basel Committee on Banking Supervision officially starts process the New Basel Capital Accord (Which we called Basel II). The Basel II is base on the capital adequacy framework of international banks, in order to increase capital circulating and strengthen its supervisory review process. In now a day, most of the researches are concentrates on the credit risk and the market risk, but not many papers or researches discuss the affection of operational risk regarding bank’s efficiency. This study aims to construct a bank efficiency model with the external environment variables, and find the relationships between the bank’s efficiency and operational risk. In order to handle this issue, the study collected 30 banks' dates during 2003A.D to 2005A.D and comparison of their operation efficiency before and after considering their risk conditions. We adopt a three-stage approach to analyze the bank's efficiency. In the first stage, we applies DEA model to estimate the technical efficiency of the firms. In the second stage, we applies SFA model to find effects of external environment variables on firm's efficiency. In the third stage, we repeat to apply DEA model to estimate the technical efficiency of the firms after adjusting environment variables. The empirical results suggests that： After joining the environmental factor, the average technological efficiency decline of the domestic bank, but the variation degree of the whole data is strengthened; show that can increase the ability of distinguishing to the technological efficiency of every banks. The environment of operational risk had positive effects on the total deposits slack variable, the staff population slack variable, and the fixed asset slack variables. The expression treating as operational risk value is higher, then can increase the bank regarding each investment waste, thus creates the bank management to be without the efficiency. And the environment of branch's number also had positive effects in input variables. The bank's establishment fixed numbers of years had negative effects in input variables. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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