| Summary: | 碩士 === 國立臺北大學 === 企業管理學系 === 95 === The purpose of this study is to evaluate the operating performance of Taiwan Banking Industry with risk considerations. In this study, bank’s risk is treated as internal risk that could be managed. We employee capital adequacy ratio and NPL ratio as risk factors and furthermore consider the basic indicator approach of Basel II to calculate the operational risk capital requirement in order to adjust capital adequacy ratio.
In this study, we apply the method of data envelopment analysis in four models, Banker-Charnes-Cooper（BCC）, Slacks-Based Measure（SBM）, Super-BCC and Super-SBM, to estimate the operating performance based on the financial information obtained from 40 banks in Taiwan from 2002 to 2005 by the way to compare three situations :(1) not to consider risk factors, (2)to consider risk factors as input variables and (3)to consider risk factors as output variables and then choose the best performance.
Our empirical result is that considering risk factors as output variables made the best operating performance. The analytical results are summarized as follows:
1.The average efficiency value of 40 banks with risk factor consideration is higher than that of without risk factor consideration, especially considering the risk factor as output variables.
2.By paired-sample t test, this study verifies that
(1)efficiency values under considering risk factors as output variables are strongly greater than those under no risk factors consideration;
(2)efficiency values under considering risk factors as input variables are greater than those under no risk factors consideration;
(3)efficiency values under considering risk factors as output variables are weakly greater than those under considering risk factors as input variables , except in Super-SBM .
3.Based on the results of Spearman’s rank correlation test, it shows that the rank of performance is highly correlated under three situations in BCC, SBM and Super-SBM .
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