If Banks Use Internal Ratings-Based Approach, How to Influence Its Soundness

• Main Authors: LIN,WEI-YAN, 林維晏
• Other Authors: WU,MENG-WEN
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/r2m87x

碩士 === 國立臺北大學 === 企業管理學系 === 105 === The study sample is from the Bankscope. The bank is 14 countries in Europe and the United States. There are only 1,702 banks in the banking category, such as commercial banks, savings banks and cooperative banks, with a total of 8,510 observations. The study period is from 2006 to 2010. In this study, the camel credit rating system (CAMEL Rating System) is used as a measure of bank soundness. The empirical results show that the use of more complex internal models in capital adequacy has a positive effect on changes in total capital, core capital and shareholders' equity. However, for the capital adequacy ratio, the core capital adequacy ratio, the shareholders' equity ratio has a negative impact. Overall, banks adopt more complex internal rating models, which have more negative effects on capital adequacy. In the case of asset quality, banks use more complex internal models and do not have a particularly significant effect on the facets. In the management of the dimension, the bank adopts a more complex internal model, the change in the rate of fees is a positive impact, showing that if the bank adopts a more complex internal model, will increase the cost of the bank, result in decreasing management capacity. In the case of earnings, the bank adopts a more complex internal model, which has a negative impact on the return on assets and the return on equity. It shows that the bank adopts the more complex internal rating model, which will reduce the bank's profitability. In the case of liquidity, banks use more complex internal models, which will make bank liquidity more adequate during the sample. In general, the use of more complex internal models of banks may be more exposed to the shortcomings of the bank. Because the banks have more space to manipulate, the global economic downturn, making the future situation of the bank more unfavorable, and then all the performance in the earnings, and ultimately make the bank soundness decline.