Through the Perspective of Supervision to Establish the Warning Systems of Financial Distress in Taiwan's Banking Industry
| Autor: | Wang Pei-Fang, 王姵方 |
|---|---|
| Rok vydání: | 2009 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 97 This study is through the perspective of supervision to establish the warning systems of financial distress in Taiwan’s banking industry. And summarizes the financial factors, macroeconomic factors, corporate governance indicators as variables of financial crisis in literatures, altogether selects 20 variables. Then collect the crisis banks data set can be categorized as 5 years prior crisis data set, 4 years prior crisis data set, 3 years prior crisis data set, 2 years prior crisis data set, and use logistic regression to establish the warning systems of financial distress. The result of experiment shows as following: We research the crisis of bank, take the data from its crisis previous 5 year, previous 4 year, previous 3 year and previous 2 year, returned the model by logistic regression to conduct the research, the accuracy ratio of predicting crisis bank are 86.87%、92.50%、84.44% and 76.00%, the accuracy ratio of predicting non crisis bank are 88.23%、94.06%、91.97% and 95.89%, then the accuracy ratio of predicting crisis and non crisis bank are 87.71%、93.48%、90.53% and 92.64% .The model of 4 years prior crisis data set has the best accuracy ratio of predicting of all, and the accuracy ratio of the previous 2 year model is the second one. From the established model that we can find some significant variables, belongs to the capital adequacy are BIS (X1) and the ratio of debt (X3) 、belongs to the asset quality is the ratio of allowances for NPL (X4) and the coverage ratio of allowances for NPL(X5), belongs to management is the operational expense ratio (X7), belongs to earnings is earning before taxes (X9), belongs to sensitivity to market risks is risk sensitivity gap /net value(X16), and belongs to corporation company is the director and supervisor share ownership Ratios in bank (X19).Overall, the explanation establishes early warning model of financial crisis the banking industry overseeing construction by the CAMELS has the explanation strength. And this may provide financial supervision early effective monitoring and prevention financial crisis. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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