基于风险调整的运营效率研究——以台湾银行业为例

Risk Tolerance Adjusted Performance Evolution in Taiwan Baking Industry

针对金融机构风险容忍度的关键指标:资本、获利、财务弹性、银行特许价值,以及《巴塞尔资本协议》III关注的表外资产与金融衍生品隐含嵌入杠杆,作为风险调整的投入和产出,构建台湾金控集团下属银行的效率评估体系。结果表明:第一,银行效率排名有强者恒强趋势,在拟定具有稳定性与一贯性的风险容忍度后,除了形成银行特有的风险文化与经营特色外,还能够维持稳定绩效,对于市场品牌价值将有显著的提升;第二,风险调整后的效率与监管指标相关程度较高,表示考虑风险后的运营更容易满足监管者管控要求;第三,低流动性风险(低贷存比)风险管理优势带来较高的风险调整后效率,然而贷款普遍存在流动性差的特征,银行应加强优质合格存款与资产的流动性管理,避免过度依靠贷款(高贷存比)而降低自身经营效率;最后,台湾利率市场化造成利差逐渐缩小,较快的放款增速却无法提高风险调整后的效率,资产管理与财务管理等中间业务收入将是台湾银行结构转型的重点业务。

This paper incorporates risk tolerance factors including the risk based capital requirements proposed in Basel Ⅱ and leveraged risk capital requirements in Basel Ⅲ by BCBS to evaluate the risk tolerance adjusted bank performance. We consider that our risk tolerance adjusted bank performance rankings are better evaluations for both income generation and risk tolerance management performance contrast to previous rankings considering only accounting factors. We find that bank performance rankings can vary with risk tolerance related factor adjustments. The risk tolerance adjusted rankings are consistent overtime and highly correlated with government regulation requirements, and will better evaluate performance of financial institutions on efficiency and risk tolerance management.