1. NCCU Academic Hub
  2. Publications
  3. College of Commerce
  4. Theses
  5. Item

Publications-Theses

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

題名 CAMELS指標探討對銀行信用風險之研究
無
作者 陳鈺晶
Chen, Yu-Ching
貢獻者 呂桔誠<br>林士貴
陳鈺晶
Chen, Yu-Ching
關鍵詞 銀行經營管理
銀行信用風險
主成分分析
CAMELS指標
金融危機
Banking Management
Banking Risk
Principal Component Analysis
CAMELS Rating
Financial Crisis
日期 2022
上傳時間 2-Sep-2022 14:49:50 (UTC+8)
摘要 國內近年興起金融科技革新與金融機構整併潮，同時銀行放款在疫情使然的經濟環境和消費習慣變遷下持續成長，改變銀行經營模式和資產結構，增加金融業前景的不確定性。故本研究從CAMELS指標出發，以針對CAMELS指標和銀行經營與信用風險的相關國外文獻作為基礎彙整出常用的CAMELS指標變數，將本研究樣本劃分為金融危機與一般情況並對其進行主成分分析，萃取其解釋能力，再以迴歸模型比較CAMELS指標對信用風險在不同經濟環境的解釋程度，以便從公開資料了解銀行財務健全狀況和CAMELS指標解釋能力的差異。經實證結果發現，CAMELS指標中的資本適足率、資產品質、管理能力和管理能力的主成分在金融危機期間具有較高貢獻度，一般情況時CAMELS指標貢獻度較平均，且不同期間下對信用風險變數的解釋能力均具有統計的顯著性，並且在常用信用風險衡量變數中，以槓桿比率的被解釋程度最高。
Owing to the prosperous financial technology as well as the rising of merging and acquisition between financial institutions in recent years, the asset structure and managing strategy of banks has been changed gradually, while the economic circumstance, in addition to the consumption habit were strike by the occurrence of the epidemic. This study attempts to develop a set of CAMELS proxy by reviewing relating literature, while proceeding principle component analysis to extract the explanatory to the principle component for the use in multiple regression, in order to detect the potential risk in the rousing domestic loan, as well as comparing the difference between Financial Crisis and general condition. The empirical result indicates that, for the CAMELS proxy variables, the four categories as known as capital adequacy (C), asset quality (A) and managerial quality (M) shows higher contribution when it comes to the explanatory ability on the banking risk proxy variables during the Financial Crisis, while the CAMELS proxy variables shows the equivalent contribution in general condition. The outcome presents statistical significance, especially on the interpretation of the leverage ratio.
參考文獻 中文參考文獻
1. 中央銀行（2021）。金融穩定報告，15。
2. 沈中華 （2002），金控公司的銀行與獨立銀行CAMEL比較：1997~ 1998， 台灣金融財務季刊，3(2)，73-94。
3. 中央存款保險公司（2021）。存款保險差別費率制度評估，存保季刊，34(2)，95-133。
4. 縣市別金融統計（2022年6月14日）。金融監督管理委員會銀行局。
https://www.banking.gov.tw/ch/home.jsp?id=157&parentpath=0,4&mcustomize=bstatistics_view.jsp&serno=201105120013
英文參考文獻
1. Abad-González, J., et al. (2018), Banking solvency determinants in the EU: a model based on stress tests. Applied Economics Letters, 25(18), 1296-1300.
2. Abedifar, P., et al. (2013), Risk in Islamic banking. Review of Finance, 17(6), 2035-2096.
3. Acharya, V. V., et al. (2018), Lending implications of US bank stress tests, Costs or benefits? , Journal of Financial Intermediation, 34, 58-90.
4. Affes, Z. and R. Hentati-Kaffel (2019), Predicting US banks bankruptcy: logit versus Canonical Discriminant analysis, Computational Economics, 54(1), 199-244.
5. Ahmadian, A. and G. Mahsa (2015), Modeling of Banks Bankruptcy in Iran (Multivariate Statistical Analysis), Journal of Money and Economy, 10(2), 1-24.
6. Alqahtani, F., et al. (2017), Reprint of economic turmoil and İslamic banking: evidence from the gulf cooperation council, Pacific-Basin Finance Journal, 42, 113-125.
7. Ashcraft, A. B. (2008), Are bank holding companies a source of strength to their banking subsidiaries?, Journal of Money, Credit and Banking, 40(2‐3), 273-294.
8. Baek, S., et al. (2015), Capital structure and monitoring bank failure, Journal of Accounting and Finance, 15(4), 95.
9. Beck, T., et al. (2013), Islamic vs. conventional banking: Business model, efficiency and stability, Journal of Banking & Finance, 37(2), 433-447.
10. Berger, A. N., et al. (2020), Did TARP reduce or increase systemic risk? The effects of government aid on financial system stability, Journal of Financial Intermediation, 43, 100810.
11. Betz, F., et al. (2014), Predicting distress in European banks, Journal of Banking & Finance, 45, 225-241.
12. Bitar, M., et al. (2017), Political systems and the financial soundness of Islamic banks, Journal of Financial Stability, 31, 18-44.
13. Bourkhis, K. and M. S. Nabi (2013), Islamic and conventional banks` soundness during the 2007–2008 financial crisis, Review of Financial Economics, 22(2), 68-77.
14. Canbas, S., et al. (2005), Prediction of commercial bank failure via multivariate statistical analysis of financial structures: The Turkish case, European Journal of Operational Research, 166(2), 528-546.
15. Duchin, R. and D. Sosyura (2014), Safer ratios, riskier portfolios: Banks׳ response to government aid, Journal of Financial Economics, 113(1), 1-28.
16. Evanoff, D. D. and L. D. Wall (2001), Sub-debt yield spreads as bank risk measures, Journal of Financial Services Research, 20(2), 121-145.
17. Federal Deposit Insurance Corporation (FDIC) (2022, April 12). Risk Management Manual of Examination Policies, Federal Deposit Insurance Corporation.
https://www.fdic.gov/regulations/safety/manual/
18. Gunther, J. W. and R. R. Moore (2003), Loss underreporting and the auditing role of bank exams, Journal of Financial Intermediation, 12(2), 153-177.
19. Irene, P. F., et al. (2014), Financial performance after the Spanish banking reforms: A comparative study of 19 commercial banks. Risk Governance & Control: Financial Markets & Institutions, 4(2), 15.
20. Klomp, J. and J. De Haan (2012), Banking risk and regulation: Does one size fit all? , Journal of Banking & Finance, 36(12), 3197-3212.
21. Klomp, J. and J. De Haan (2014), Bank regulation, the quality of institutions, and banking risk in emerging and developing countries: an empirical analysis, Emerging Markets Finance and Trade, 50(6), 19-40.
22. Maghyereh, A. I. and B. Awartani (2014), Bank distress prediction: Empirical evidence from the Gulf Cooperation Council countries, Research in International Business and Finance, 30, 126-147.
23. Mare, D. S. (2015), Contribution of macroeconomic factors to the prediction of small bank failures, Journal of International Financial Markets, Institutions and Money, 39, 25-39.
24. Mohammad Bitar, M. K. H., Thomas Walker (2017), Political systems and the financial soundness of Islamic banks, Journal of Financial Stability, 31, 18-44.
25. Oliveira, A., et al. (2015), Bank Failure and the Financial Crisis: an Econometric Analysis of US Banks, University of Porto.
26. Olson, D. and T. Zoubi (2017), Convergence in bank performance for commercial and Islamic banks during and after the Global Financial Crisis, The Quarterly Review of Economics and Finance, 65, 71-87.
27. Podpiera, J. and M. I. Ötker (2010), The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions, International Monetary Fund.
28. Pompella, M. and A. Dicanio (2017), Ratings based Inference and credit risk: detecting likely-to-fail banks with the PC-Mahalanobis method, Economic Modelling, 67, 34-44.
29. Rashid, A. and S. Jabeen (2016), Analyzing performance determinants: Conventional versus Islamic Banks in Pakistan, Borsa Istanbul Review, 16(2), 92-107.
30. Wang, M. and X. Sun (2019). Identity of large owner, regulation and bank risk in developing countries, Journal of International Financial Markets, Institutions and Money, 59, 106-133.
31. Wanke, P., et al. (2016), Financial distress and the Malaysian dual baking system: A dynamic slacks approach, Journal of Banking & Finance, 66, 1-18.
描述 碩士
國立政治大學
金融學系
108352026
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108352026
資料類型 thesis
dc.contributor.advisor 呂桔誠<br>林士貴zh_TW
dc.contributor.author (Authors) 陳鈺晶zh_TW
dc.contributor.author (Authors) Chen, Yu-Chingen_US
dc.creator (作者) 陳鈺晶zh_TW
dc.creator (作者) Chen, Yu-Chingen_US
dc.date (日期) 2022en_US
dc.date.accessioned 2-Sep-2022 14:49:50 (UTC+8)-
dc.date.available 2-Sep-2022 14:49:50 (UTC+8)-
dc.date.issued (上傳時間) 2-Sep-2022 14:49:50 (UTC+8)-
dc.identifier (Other Identifiers) G0108352026en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/141565-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融學系zh_TW
dc.description (描述) 108352026zh_TW
dc.description.abstract (摘要) 國內近年興起金融科技革新與金融機構整併潮，同時銀行放款在疫情使然的經濟環境和消費習慣變遷下持續成長，改變銀行經營模式和資產結構，增加金融業前景的不確定性。故本研究從CAMELS指標出發，以針對CAMELS指標和銀行經營與信用風險的相關國外文獻作為基礎彙整出常用的CAMELS指標變數，將本研究樣本劃分為金融危機與一般情況並對其進行主成分分析，萃取其解釋能力，再以迴歸模型比較CAMELS指標對信用風險在不同經濟環境的解釋程度，以便從公開資料了解銀行財務健全狀況和CAMELS指標解釋能力的差異。經實證結果發現，CAMELS指標中的資本適足率、資產品質、管理能力和管理能力的主成分在金融危機期間具有較高貢獻度，一般情況時CAMELS指標貢獻度較平均，且不同期間下對信用風險變數的解釋能力均具有統計的顯著性，並且在常用信用風險衡量變數中，以槓桿比率的被解釋程度最高。zh_TW
dc.description.abstract (摘要) Owing to the prosperous financial technology as well as the rising of merging and acquisition between financial institutions in recent years, the asset structure and managing strategy of banks has been changed gradually, while the economic circumstance, in addition to the consumption habit were strike by the occurrence of the epidemic. This study attempts to develop a set of CAMELS proxy by reviewing relating literature, while proceeding principle component analysis to extract the explanatory to the principle component for the use in multiple regression, in order to detect the potential risk in the rousing domestic loan, as well as comparing the difference between Financial Crisis and general condition. The empirical result indicates that, for the CAMELS proxy variables, the four categories as known as capital adequacy (C), asset quality (A) and managerial quality (M) shows higher contribution when it comes to the explanatory ability on the banking risk proxy variables during the Financial Crisis, while the CAMELS proxy variables shows the equivalent contribution in general condition. The outcome presents statistical significance, especially on the interpretation of the leverage ratio.en_US
dc.description.tableofcontents 第一章　緒論 1
第一節　研究背景 1
第二節　研究動機 3
第三節　研究目的 5
第二章 文獻回顧 7
第一節 CAMELS指標與銀行經營 7
第二節 CAMELS指標與信用風險 8
第三節 CAMELS指標與金融危機 9
第三章 研究方法 11
第一節 台灣銀行業CAMELS主成分分析 11
第二節 台灣銀行業CAMELS指標選取 13
第三節 信用風險及迴歸分析 19
第四章 實證結果 21
第一節 資料來源、時間與資料處理 21
第二節 CAMELS指標之選取與統計分析 23
第三節　我國銀行業CAMELS主成分分析 25
第四節　我國銀行業信用風險之實證結果 27
第五章　結論與建議 33
第一節 結論 33
第二節 研究建議與未來方向 34
參考文獻 36		zh_TW
dc.format.extent 2064602 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108352026en_US
dc.subject (關鍵詞) 銀行經營管理zh_TW
dc.subject (關鍵詞) 銀行信用風險zh_TW
dc.subject (關鍵詞) 主成分分析zh_TW
dc.subject (關鍵詞) CAMELS指標zh_TW
dc.subject (關鍵詞) 金融危機zh_TW
dc.subject (關鍵詞) Banking Managementen_US
dc.subject (關鍵詞) Banking Risken_US
dc.subject (關鍵詞) Principal Component Analysisen_US
dc.subject (關鍵詞) CAMELS Ratingen_US
dc.subject (關鍵詞) Financial Crisisen_US
dc.title (題名) CAMELS指標探討對銀行信用風險之研究zh_TW
dc.title (題名) 無en_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 中文參考文獻
1. 中央銀行（2021）。金融穩定報告，15。
2. 沈中華 （2002），金控公司的銀行與獨立銀行CAMEL比較：1997~ 1998， 台灣金融財務季刊，3(2)，73-94。
3. 中央存款保險公司（2021）。存款保險差別費率制度評估，存保季刊，34(2)，95-133。
4. 縣市別金融統計（2022年6月14日）。金融監督管理委員會銀行局。
https://www.banking.gov.tw/ch/home.jsp?id=157&parentpath=0,4&mcustomize=bstatistics_view.jsp&serno=201105120013
英文參考文獻
1. Abad-González, J., et al. (2018), Banking solvency determinants in the EU: a model based on stress tests. Applied Economics Letters, 25(18), 1296-1300.
2. Abedifar, P., et al. (2013), Risk in Islamic banking. Review of Finance, 17(6), 2035-2096.
3. Acharya, V. V., et al. (2018), Lending implications of US bank stress tests, Costs or benefits? , Journal of Financial Intermediation, 34, 58-90.
4. Affes, Z. and R. Hentati-Kaffel (2019), Predicting US banks bankruptcy: logit versus Canonical Discriminant analysis, Computational Economics, 54(1), 199-244.
5. Ahmadian, A. and G. Mahsa (2015), Modeling of Banks Bankruptcy in Iran (Multivariate Statistical Analysis), Journal of Money and Economy, 10(2), 1-24.
6. Alqahtani, F., et al. (2017), Reprint of economic turmoil and İslamic banking: evidence from the gulf cooperation council, Pacific-Basin Finance Journal, 42, 113-125.
7. Ashcraft, A. B. (2008), Are bank holding companies a source of strength to their banking subsidiaries?, Journal of Money, Credit and Banking, 40(2‐3), 273-294.
8. Baek, S., et al. (2015), Capital structure and monitoring bank failure, Journal of Accounting and Finance, 15(4), 95.
9. Beck, T., et al. (2013), Islamic vs. conventional banking: Business model, efficiency and stability, Journal of Banking & Finance, 37(2), 433-447.
10. Berger, A. N., et al. (2020), Did TARP reduce or increase systemic risk? The effects of government aid on financial system stability, Journal of Financial Intermediation, 43, 100810.
11. Betz, F., et al. (2014), Predicting distress in European banks, Journal of Banking & Finance, 45, 225-241.
12. Bitar, M., et al. (2017), Political systems and the financial soundness of Islamic banks, Journal of Financial Stability, 31, 18-44.
13. Bourkhis, K. and M. S. Nabi (2013), Islamic and conventional banks` soundness during the 2007–2008 financial crisis, Review of Financial Economics, 22(2), 68-77.
14. Canbas, S., et al. (2005), Prediction of commercial bank failure via multivariate statistical analysis of financial structures: The Turkish case, European Journal of Operational Research, 166(2), 528-546.
15. Duchin, R. and D. Sosyura (2014), Safer ratios, riskier portfolios: Banks׳ response to government aid, Journal of Financial Economics, 113(1), 1-28.
16. Evanoff, D. D. and L. D. Wall (2001), Sub-debt yield spreads as bank risk measures, Journal of Financial Services Research, 20(2), 121-145.
17. Federal Deposit Insurance Corporation (FDIC) (2022, April 12). Risk Management Manual of Examination Policies, Federal Deposit Insurance Corporation.
https://www.fdic.gov/regulations/safety/manual/
18. Gunther, J. W. and R. R. Moore (2003), Loss underreporting and the auditing role of bank exams, Journal of Financial Intermediation, 12(2), 153-177.
19. Irene, P. F., et al. (2014), Financial performance after the Spanish banking reforms: A comparative study of 19 commercial banks. Risk Governance & Control: Financial Markets & Institutions, 4(2), 15.
20. Klomp, J. and J. De Haan (2012), Banking risk and regulation: Does one size fit all? , Journal of Banking & Finance, 36(12), 3197-3212.
21. Klomp, J. and J. De Haan (2014), Bank regulation, the quality of institutions, and banking risk in emerging and developing countries: an empirical analysis, Emerging Markets Finance and Trade, 50(6), 19-40.
22. Maghyereh, A. I. and B. Awartani (2014), Bank distress prediction: Empirical evidence from the Gulf Cooperation Council countries, Research in International Business and Finance, 30, 126-147.
23. Mare, D. S. (2015), Contribution of macroeconomic factors to the prediction of small bank failures, Journal of International Financial Markets, Institutions and Money, 39, 25-39.
24. Mohammad Bitar, M. K. H., Thomas Walker (2017), Political systems and the financial soundness of Islamic banks, Journal of Financial Stability, 31, 18-44.
25. Oliveira, A., et al. (2015), Bank Failure and the Financial Crisis: an Econometric Analysis of US Banks, University of Porto.
26. Olson, D. and T. Zoubi (2017), Convergence in bank performance for commercial and Islamic banks during and after the Global Financial Crisis, The Quarterly Review of Economics and Finance, 65, 71-87.
27. Podpiera, J. and M. I. Ötker (2010), The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions, International Monetary Fund.
28. Pompella, M. and A. Dicanio (2017), Ratings based Inference and credit risk: detecting likely-to-fail banks with the PC-Mahalanobis method, Economic Modelling, 67, 34-44.
29. Rashid, A. and S. Jabeen (2016), Analyzing performance determinants: Conventional versus Islamic Banks in Pakistan, Borsa Istanbul Review, 16(2), 92-107.
30. Wang, M. and X. Sun (2019). Identity of large owner, regulation and bank risk in developing countries, Journal of International Financial Markets, Institutions and Money, 59, 106-133.
31. Wanke, P., et al. (2016), Financial distress and the Malaysian dual baking system: A dynamic slacks approach, Journal of Banking & Finance, 66, 1-18.		zh_TW
dc.identifier.doi (DOI) 10.6814/NCCU202201179en_US