資產負債表外業務活動對銀行風險的研究

The effect of off balance sheet activities on bank risks

吳孟紋(Meng-Wen Wu)；林怡茹(Yi-Ju Lin)

off balance sheet activity ； bank risk

兩岸金融季刊

4卷2期（2016 / 06 / 01）

23 - 51

繁體中文

本文探討全球商業銀行對資產負債表外業務活動對銀行風險的影響。也進一步分析不同期間(金融危機前期與當期)銀行表外業務活動對銀行風險的影響，及不同地區(美洲、歐洲及亞洲地區)的銀行表外業務活動對銀行風險的影響。本文的樣本為The Banker (2013)排名的30家美洲、歐洲及亞洲地區的銀行。本文使用表外業務總額、或有負債、承諾事項和衍生性金融商品，來衡量表外項目。而對銀行風險的衡量，是從整體角度的獲利波動風險及破產風險，及個別角度的信用風險進行估計。本文發現商業銀行承作較多的衍生性金融商品，同時衍生性金融商品的承作均有助降低銀行的破產風險及獲利波動風險，其他表外項目均都可能增加銀行的風險。在金融危機當期，商業銀行有顯著的調整資產負債表外業務活動下降，故可能降低銀行金融危機發生的風險。最後，美洲地區的銀行進行衍生性金融商品業務會降低獲利波動風險，但在亞洲地區，承作衍生性金融商品也會降低獲利波動風險及信用風險，但反而會增加破產風險呈現正相關。

This study investigates the effect of off balance sheet activities (OBS) on bank risks, further investigates the effects in different times such as the period before the financial crisis and during the financial crisis, as well as the effects in different regimes such as America, Asia and Europe. Our sample is 30 banks ranked in The Banker (2013). We have four proxies for OBS, including total off balance activity amount, contingent liability, commitment and derivatives. Bank risk is proxied by the risk of profit volatility, default risk and credit risk. We find that banks engage in more derivatives. As well, derivatives could reduce the default risk and the risk of profit volatility, while other OBS would increase bank risk. In additional, banks would reduce the engagement in OBS during the financial crisis, further reduce the default risk. Al last, banks in America would have lower risk of profit volatility when they engage in derivatives. But in Asia, banks engage in derivatives would have lower risk of profit volatility and credit risk, but have higher default risk.

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