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| Autor: | Zong-chi Chen, 陳宗池 |
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| Rok vydání: | 2008 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 96 Walter Wriston, the ex-CEO of Citicorp, once said“All of life is the management of risk, not its elimination.” This saying is the best description for the operation of banks. Risk is an essential ingredient in banks’ production. Banks specialize in risk assessment, risk monitoring, and risk diversification. This study utilizes the modified KMV’s default distance to evaluate the default risk of banks. We analyze the relation of banks’ risk and cost by estimating the cost frontier with default distance. Finally, we discuss how the CAMEL indices affect the banks’ default risk. Our empirical result shows that expanding operating scale will have the diversification effect and the risk-taking effect for banks. The consolidation between banks should not only obey government’s requirement, but also consider the synergy. The risk affect bank’s cost significantly. If banks are devoted to manage risk more, they must put more resources in assessing and monitoring risk. By evaluating the economy of scale, we do not support the viewpoint that bigger banks have more scale efficiency. By analyzing the relation between default risk and CAMEL, we gain the following results. The relation between default risk and the capital adequacy, the efficiency of management, the ability of risk management, the liquidity are negative. However, earning is positively related to default risk. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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