Risk Management and Operation Performance of Financial Holding Banks─Pre and Post Financial Tsunami

• Main Authors: Yi-chun Tsai, 蔡宜君
• Other Authors: Shih-neng Chen
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/02678774097899550107

碩士 === 世新大學 === 經濟學研究所(含碩專班) === 101 === The main purpose of this paper is to investigate risk management and operation performance of financial holding banks ─ pre and post 2008 Financial Tsunami. The study uses 15 Taiwanese banks as the sample. Quarterly panel data of 26 quarters from 2006 to 2012 are used. Pre and post 2008 financial tsunami respectively, risk control can be categorized into three dimensions, namely, credit risk, market risk, and operation risk. Operation performance includes five aspects as follows. Fixed effect and random effect models of panel data are used for empirical estimation. Empirical results are summarized below. Before Financial Tsunami, Regarding to credit risk- capital adequacy ratio is positively related to bank’s profitability, growth, and liquidity; ratio of overdue loans is negatively associated with profitability, growth, and efficiency; deposits ratio is positively related to profitability, but negatively related to liquidity and efficiency; coverage ratio is inversely associated with growth rate of total assets and growth rate of revenue. With respect to market risk- deposits and loans spreads is positively correlated with growth rate of total assets, liquidity reserve ratio, and total asset turnover ratio, while negatively related to operating expense ratio and fixed rate; ratio of interest rate sensitivity gap to net worth is positively associated with profitability and growth; ratio of interest rate sensitivity assets to liabilities is positively related to liquidity reserve ratio and fixed rate, but inversely related to profitability, growth, and efficiency. Relating to operational risk- number of employees is positively correlated with liquidity reserve ratio, operating expense ratio, and fixed rate, while negatively associated with growth rate of total assets and growth rate of revenue; aggregate salary is positively influencing growth rate of total assets, growth rate of revenue, and total asset turnover ratio. After Financial Tsunami, Regarding to credit risk- capital adequacy ratio is positively correlated with bank's liquidity reserve ratio, but negatively associated with operating expense ratio; ratio of overdue loans is positively affecting liquidity reserve ratio, while inversely affecting profitability, growth, and efficiency; deposits ratio is positively related to operating expense ratio, but negatively associated with growth rate of total assets, liquidity reserve ratio, total asset turnover ratio, and fixed rate; coverage ratio is positively related to operating ability. With respect to market risk- deposits and loans spreads is inversely related to liquidity reserve ratio and operating expense ratio; ratio of interest rate sensitivity gap to net worth is negatively correlated with growth rate of total assets, growth rate of revenue, liquidity reserve ratio, and operating ability; ratio of interest rate sensitivity assets to liabilities is positively affecting total asset turnover ratio and fixed rate. Relating to operational risk- number of employees is positively related to growth rate of revenue and operating ability, while negatively associated with growth rate of total assets; aggregate salary is positively related to operating expense ratio, but inversely associated with growth rate of total assets, growth rate of revenue, and total asset turnover ratio. Financial Tsunami point is roughly inversely related to operation performance; macroeconomic environmental indicators are positively affecting profitability, while negatively influencing growth. Important implications for bank's operation and management are discussed.