風險揭露與風險管理對銀行風險值的影響：全球銀行的實證分析

NHUIR > College of Management > Department of Finance, The M.A. Program of Financial Management > Disserations and Theses > Item 987654321/17144

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Title:	風險揭露與風險管理對銀行風險值的影響：全球銀行的實證分析
Other Titles:	Risk Disclosure,Risk Management,and Bank Value-at-Risk: International Study
Authors:	李東錦 Lee, Tung-Chin
Contributors:	財務金融學系財務管理碩士班陳昇鴻 Sheng-Hung Chen
Keywords:	全球研究;風險值;風險管理;風險揭露 International Study;Risk management;Value-at-Risk;Risk Disclosure
Date:	2014
Issue Date:	2014-11-21 15:25:40 (UTC+8)
Abstract:	本文收集全球總資產排名前五百大之上市銀行的年報資料，探討風險揭露、內部風險管理機制、以及公司治理對銀行下方風險(以風險值衡量)的影響，而研究結果可提供金融監管管理當局特別在風險揭露與風險管理上之重要參考意涵。實證結果發現，銀行具有較高品質的風險揭露與風險管理時，將可分別顯著地降低90%、95%以及99%的風險值。儘管較高的機構投資人持股與董事薪酬水準時會降低銀行VaR，但是銀行有較大的董事規模卻會提高銀行風險值。此外高收益多角化銀行在國家有高金融業資本比例水準下會顯著降低銀行的風險值。　　Using hand-collected data on top 500 banks around the world, this theses empirically investigates the joint impacts of risk disclosure and internal risk management on bank Value-at-Risk (VaR) in context of international evidence. Our empirical evidences indicate that banks with higher quality of risk disclosure and better risk management show lower VaR. Regarding the bank corporate governance, banks with higher board compensations and independent board ratio would significantly reduce bank’s downside risk while banks with larger boards would increase bank VaR. Banks with higher degree of income diversification enjoy lower downside risk, especially in higher capital ratio of banking sector.
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Disserations and Theses

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