| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 95 === Based on the points of view from central deposit insurance corporation, the main purpose of this thesis is to study the choice of financial ratios for measuring credit risk for the Banking Industry in Taiwan. Using a panel data of
46 banks over 1999-2006, there are twenty-five financial ratios considered as
the choice to measure bank credit risk. A two-step analysis, Logistic model and
multiple discriminant model are used to pick up the financial ratios to distinguish good banks and bad banks.
Empirical evidences find that the financial ratios from profitability and
liquidity among seven standards of the traditional CAMELS system have little
ability to distinguish the good or bad banks. The financial ratios from the other five standards, such as capital adequacy ratio, non-performing loans ratio, ratio of allowance for bad loans to non-performing loans, operating expense ratio, ratio of interest-rate sensitive gap to net worth, loan growth ratio, and logarithm value of assets, can discriminate good or bad banks effectively. The relative importance of these financial ratios on distinguishing the good or bad banks is capital adequacy ratio, non-performing loans ratio, loan growth ratio, operating expense ratio, ratio of allowance for bad loans to non-performing loans, logarithm value of assets and ratio of
interest-rate sensitive gap to net worth in sequence.
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