The Impacts of Net Stable Funding Ratio on Banks’ CAMEL Rating：A Case Study of Taiwan

• Main Authors: Yu-shan LIU, 柳育珊
• Other Authors: Chang-chiang Chin
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/7xa79f

碩士 === 國立中山大學 === 財務管理學系研究所 === 106 === The Basel Committee on Banking Supervision(BCBS) proposed Basel Ⅲ in 2010, adding a new standard of Net Stable Funding ratio(NSFR) to reduce funding risk over a longer time horizon. The central bank and the financial supervisory commission of Taiwan will also implement the measure by 1 January 2018. Based on the CAMEL Rating System, this study not only explores the potential impact of the NSFR on the capital adequacy, asset quality, management and earnings of commercial banks in Taiwan but also takes other factors that may affect the operation of banks into consideration to do a more comprehensive analysis by simultaneous equations model consisting of four empirical equations. The results show that the higher NSFR, the lower capital adequacy, asset quality, managerial efficiency and earnings. Although the NSFR can reduce long-term liquidity risk, it will raise the risk of other levels of banks at the same time. Besides, higher impaired loans to gross loans ratio will have negative impacts on bank’s capital adequacy, asset quality and earnings while both of larger size and higher leading index will have positive impacts on managerial efficiency and earnings. Finally, for the possible negative impacts of the NSFR, I recommend Taiwan’s financial authorities the following steps: (i) monitor the minimum capital requirements strictly, (ii) improve approval standards of loans, (iii) adjust the minimum requirement of the NSFR, and (iv) adjust the weight which are assigned to factors of the NSFR based on the characteristic of the relative stability of the individual bank’s funding sources.