銀行最適資本與適足性之研究

Studies of Optimal Capital and Capital Adequacy on Banks

10.30118/JIM.200811.0003

蘇恩德(Ender Su)；蕭惠方(Hui-Fang Hsiao)；黃宇平(Yu-Ping Huang)

金控公司 ； 最適資本結構 ； 風險值限制 ； 巴塞爾資本協定 ； 資本適足率 ； Financial Holding Company ； Optimal Capital Structure ； VaR Limit ； Basel Capital Accord ； Capital Adequacy Ratio

創新與管理

6卷1期（2008 / 11 / 01）

57 - 87

繁體中文

本文以台灣十四家金融控股公司的子銀行作為研究對象，觀察台灣金融業2002年12月至2004年12月之資料，以風險性資產的報酬與經營成本為基礎，經由解最佳化問題的公式推導後，求得以最大利潤效用為目標與最適風險值限制下的最適資本額、資本結構與最適風險值限制下資本率(optimal VaR limit capital ratio-OVLCR)，並模擬存款利率改變時，銀行的風險值與清算條件。與巴塞爾協訂的資本適足率(CAR)比較，發現最適風險值限制之資本率較高的銀行，例如：玉山銀行為19.7041%、國泰世華銀行為18.0489%，表示這些銀行應該採取保守策略，適當減少高風險資產的投資比率或是增加資本，以免銀行發生經營危機，特別是交通銀行的OVLCR值為25.9987%，屬於最適風險值限制之資本率特別高的銀行，更應該要特別注意；而另外像第一銀行OVLCR的值為2.3877%、日盛銀行為3.6814%、台灣新光銀行為1.1005%，屬於最適風險值限制之資本率較低的銀行，應該要採取較積極的策略，適當增加高報酬與較高風險資產的投資比率或是減少資本。

This paper uses 14 financial holding banks (FHBs) in Taiwan as research data collected for the period from December 2002 to December 2004. Based on financial accounts of the risky asset returns and the administrative costs, the optimal capital amounts, structures and optimal VaR limit capital ratio (OVLCR) were obtained through solution process of the optimization problem and formula derivations by maximizing operating profit under VaR solvency restriction. Also, the VaR and solvency condition were simulated as the deposit rate was changed. Compared with capital adequacy ratio (CAR) of the Basel accord, the OBLCR are much higher for E. Sun Bank (19.7041%) and Cathay United Bank (18.0489%) due to their higher optimal capital amounts. This means that they should adopt a conservative strategy by decreasing the proportion of the high risky asset investment or increasing financial capital to avoid business risk. Especially for Chiao Tung Bank (25.9987%), its OBLCR is the highest one to be paid attention. On the other hand, for First Bank (2.3877%), Jih Sun Bank (3.6814%), and Shin Kong Bank (1.1005%), their OBLCR is much lower due to their lower optimal capital amounts. It means that they should adopt an active strategy by increasing the proportion of the high risky asset investment or decreasing financial capital.