The impact of financial derivative actions on the risk and performance of bank

• Main Authors: Yuan-Chung Tzeng, 曾元聰
• Other Authors: Yu-Shiu Lin
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/10488291618293253334

碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 94 === This research is to investigate the impact of financial derivative actions on the risk and performance of bank in Taiwan. The evidence of a comparison of banks in Taiwan is using a three–factor multi-index model , and the total risk of bank. The result of evidence represents that the financial derivative actions could reduce the risk. The study also investigates the performance of using derivative financial goods. So, this research uses the sharp ratio to measure the influence. This data of research is using panel data. Because some data are omitted, causing the data to follow the unbalanced panel data model methods. This research especially joins exchange rate Beta risk and interest rate Beta risk; the results are really as unanimous as the assumption that using derivative financial goods could reduce the currency risk and interest risk. For the total risk at the initial stage, using derivative financial goods of exchange rate could not decrease the total risk, after the derivative financial goods of exchange rate are over certain amount of scale, it would tend to reduce total risk. But the result of operating derivative financial goods of exchange rate is the same. The result of sharp ratio show the performance of financial derivative actions at the initial stage is great, but it will be negative after the derivative financial goods of exchange rate are operated to certain amount of scale.