運用RAROC衡量台灣金融控股公司之經營績效

NHUIR > College of Management > Department of Finance, The M.A. Program of Financial Management > Disserations and Theses > Item 987654321/22851

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Title:	運用RAROC衡量台灣金融控股公司之經營績效
Other Titles:	USING RAROC TO ASSESS THE PERFORMANCE OF TAIWAN'S FINANCIAL HOLDING COMPANIES
Authors:	李國安 Li, Kuo-an
Contributors:	財務管理研究所許鈺珮 Yu-pei Hsu
Keywords:	風險調整資本報酬率;風險值;內部模型法;新巴塞爾資本協定 RAROC;VaR;Internal Model;The New Basle Capital Accord
Date:	2007
Issue Date:	2015-08-06 16:44:52 (UTC+8)
Abstract:	台灣的金融機構在推動金融自由化與國際化的同時，首要面對的挑戰便是其風險管理的能力必須跟上世界的腳步，並符合新巴塞爾資本協定的要求。目前台灣共有14家金融控股公司，自2001年開始陸續成立至今，其風險承受能力及經營績效表現，一直是關注的焦點。本研究以新巴塞爾資本協定中的內部模型法來衡量目前各金融控股公司之市場風險，利用風險值 (Value at Risk, VaR) 及風險調整資本報酬率 (Risk-Adjusted Return on Capital, RAROC) 來探討目前各金融控股公司在成立前後的風險涉險程度與經營績效表現。研究結果顯示，市場風險在金控成立後相對變小的金控公司包括中信金控、第一金控、國票金控、兆豐金控、復華金控、富邦金控，顯示出以上六間金控公司已發揮購併後風險分散之效果。而在金控成立後績效相對較佳者為台新金控、國票金控、國泰金控、復華金控、新光金控、日盛金控、華南金控、玉山金控、中信金控、建華金控、第一金控、開發金控等十二家金控，根據此結果可得知目前此十二家金控是屬於整合速度較快，績效表現相對較為優秀者。但其中玉山金控、中信金控、建華金控、第一金控、開發金控之RAROC仍然為負值，表示其經營績效雖較金控成立前有所改善，但其公司報酬率仍未超越市場報酬。而其餘兩家金控，兆豐金控與富邦金控，在金控成立後其整合與整體績效表現反而相對較差。　　This study makes assessments on the performance and market risk of Taiwan’s financial holding companies (FHCs) by using Risk-Adjusted Return of Capital (RAROC) and Value at Risk (VaR). According to The New Basle Capital Accord, the market risk of Internal Model should be adjusted, and the Bank for International Settlement suggests to use the Kupiec backtesting to select the best full valuation method for estimating adjusted VaR. Therefore, we evaluate the performance of Taiwan’s FHCs by RAROC calculated by the expected return divided by VaR. The results show that some FHCs achieve better market risk control than before, including Chinatrust Holdings, First Holdings, Waterland Holdings, Mega Holdings, Fuhwa Holdings, and Fubon Holdings. Furthermore, most FHCs perform better than before, such as Taishin Holdings, Waterland Holdings, Cathay Holdings, Fuhwa Holdings, Shin Kong Holdings, Jih Sun Holdings, Huanan Holdings, E. Sun Holdings, Chinatrust Holdings, SinoPac Holdings, First Holdings, and China Development Holdings.
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Disserations and Theses

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