Using RAROC to Evaluate Taiwan's Financial Holdings and Banking Performance

後金融海嘯時期，金融機構之風險管理於組織中扮演的角色及參與決策的面向更形重要並多元，面臨高度挑戰；台灣地區傳統的風險管理模式及貢獻更應審慎檢視。 本研究透過文獻分析與模型測試，分析銀行與金控業者之經營績效，有別於過去傳統的經營績效分析工具，論文中採用風險調整資本報酬率(Risk-Adjusted Return on Capital， RAROC) 來探討目前各銀行與金融控股的風險涉險程度與經營績效表現。並分析2003到2009年金融機構之RORAC 績效，此外，本文亦觀察金融海嘯前後，RORAC之的差異表現，擬針對下列提出觀點及分析: 一、探討銀行與金控業者承受金融風暴之能力，分析銀行與金控業者金融風暴前後之風險調整資本報酬率，如此一來即能看出是否金融控股公司在金融風暴後之RAROC 仍然優於一般銀行業者。二、藉由RAROC，來進行台灣一般銀行與金融控股公司績效評估，了解銀行轉型為金控後，風險調整資本報酬率是否較一般銀行好。 實證結果可以發現，不論從RAROC或ROE的觀點來探討，金控業者比銀行有較較好之績效。此外，金融風暴的確充衝擊到銀行業與金控業者的營運績效，銀行業與金控業者風暴後期的RAROC及ROE顯著較風暴前期的RAROC及ROE差。本研究透過RAROC分析金融機構之經營績效，同時考量風險性與獲利性，因此能有效給予金控與銀行評比。During post-financial-crisis era, risk management plays an important role in decision making in the financial institutions. Facing competition, traditional risk management model needs to be surveyed carefully. Through literature analysis and model testing, this research tries to analyze banks and financial holdings' business performance. Different from the previous traditional business analytical tool, this paper use Risk-Adjusted Return on Capital to examine the banks and financial holdings' risk exposure level and business performance. I analyze financial institution's RORAC indicator in the year of 2003-2009. In addition, this paper reviews differences of RORAC performance in pre and post financial tsunami period. The empirical analysis includes: 1. examine the banks and financial holdings' capability of bearing financial crisis by comparing RORAC in pre and post financial tsunami period. Therefore I can check whether financial holdings' RORAC is better than banks RORAC during post-financial-crisis era; 2. using RORAC to evaluate banks and financial holdings' performance. When banks become financial holdings, I try to understand whether financial holdings' RORAC is better than traditional banks' RORAC. Empirical evidence shows that no matter from the point of views of RAROC or ROE, financial holdings get better performance than banks. Besides, financial crisis indeed impact banks and financial holdings' performance. Banks and financial holdings' RAROC and ROE in the post-financial-crisis period is worse than that in the pre-financial-crisis period. This paper analyze financial institutions' performance through RAROC that take risk as profitability into account simultaneously, therefore this tool can effectively provide rating mechanism to banks and financial holdings.第一章、緒論 6 第一節、研究背景與動機 6 第二節、研究目的與貢獻 7 第二章、文獻探討 8 第一節、金融業合併之相關研究探討 8 第二節、金融風暴 10 第三節、風險調整資本報酬率(RAROC)的相關文獻 12 第三章、研究方法與變數說明 16 第一節、資料來源與變數截取 16 第二節、研究方法 16 第四章、實證結果 19 第一節、金控與一般銀行RAROC 19 第二節、金融風暴影響 22 第五章、結論與建議 28 第一節、結論 28 第二節、建議 29 附錄1 30 參考文獻 31 表目錄 表4-1 金控公司獲利衡量 19 表4-2 金控業者標準差 20 表4-3 銀行業者獲利衡量 21 表4-4 銀行業者標準差 21 表4-5 風暴前金控業者獲利衡量 23 表4-6 風暴前銀行業者獲利衡量 23 表4-7 風暴後金控業者獲利衡量 25 表4-8 風暴後銀行業者獲利衡量 2