| 摘要: | 銀行業的負債比率遠高於其他產業，如110年底本國銀行平均淨值佔總資產僅有7.13%。因此，確保銀行自有資本的健全相當重要。現今世界各國以資本適足率為主要的監理工具，監理機關依據金融機構不同種類資金運用的風險，訂定風險權數，並要求後者提列相對應的自有資本。
本研究旨在探討「信用風險加權風險性資產」(RWA) 與銀行經營項目間之關係。由於金管會分別於106年底及109年底調整風險權數，間接影響銀行風險性資產計提；本研究亦探討主管機關調整風險權數造成之影響。研究對象以個案銀行國內分行扣除特殊地點單位後，自2014年至2021年之縱橫資料分析 (Panel Data) 為樣本，並利用最小平方法（Ordinary Least Squares, OLS）進行複迴歸分析。以下是經由複迴歸模型分析統整之主要貢獻：
(1) 個人金融放款、企業金融放款對RWA呈現顯著正向影響。
(2) 台幣活期存款、外幣活期存款對RWA呈現顯著負向影響。
(3) 前期逾放比率對RWA呈現顯著負向影響；亦即前期逾放比越高，可能會影響當期承擔RWA增加之意願。
(4) 盈餘對RWA呈現顯著正向影響。
(5) 風險權數對RWA呈現顯著正向影響。
(6)主管機關調整風險權數確實會影響銀行計提RWA，並間接影響授信業務之推展。
綜合本研究發現，目前國內系統性重要銀行之資本適足率已普遍高於金管會要求2025年達到14.5% 的目標。基於實證結果，本研究提出對個案銀行的管理策略建議如下。首先，在符合法規要求下適度增加RWA，在有限的自有資本下，達到使用資本的最高效益。其次，應儘量推展風險權數較低之授信業務並善用風險抵減工具例如活期存款，目的在使用相同RWA之下，最大化授信金額。最後，強化授信品質，減少前期逾放比率，以提高當期承擔之RWA，進而增加盈餘。
;Leverage ratio of the banking industry is much higher than that of other industries. At the end of 2021, the average ratio of net worth to total assets of domestic banks is only 7.13%. Therefore, it is important that banks possess sufficient equity of their own to protect themselves from unforeseen circumstances. Nowadays, supervision parties around the world employ “capital adequacy ratio” for monitoring the equity sufficiency of the banking industry. Based on the specification of “risk weights” for different assets, the supervisory authority therefore requires financial institutions to acquire sufficient self-owned capital so as to fulfill the designated capital adequacy ratio.
The first research question for study is how risk-weighted assets (RWA) are related to various business operations of banks. Secondly, I also discuss how a regulatory change affects that relation. Specifically, this study aims to find the impact from, for example, the two cases where the Financial Supervisory Commission (FSC) in Taiwan adjusted the assigned risk weights in 2017 and 2020, respectively, as the regulatory changes alter the calculation of bank′s RWA.
This research uses the Ordinary Least Squares (OLS) to conduct multiple regression analysis on the panel data drawn from the domestic branches of the Bank T from 2014 to 2021, after excluding branches with special purposes. I obtain 6 main results: (i) Both personal and corporate loans have significant positive impact on RWA. (ii) Both NT dollar and foreign currency demand deposits exhibit significant negative impact on RWA. (iii) The Non-Performing Loans (NPL) ratio of previous year has a significant negative impact on RWA, implying higher (lower) NPL ratio in previous year reduce (enhance) the willingness for bank branches to undertake RWA. (iv) Profits have positive impact on RWA. (v) Risk weights have significant positive impacts on RWA. (vi) When FSC adjusts risk weights, it directly affects the bank′s establishment of RWA, while indirectly affects the bank’s size of credit business.
This study also finds that current capital adequacy ratios of “Domestic Systemically Important Banks” (D-SIBs) are in general higher than 14.5%, which is required in 2025 by the FSC. Combining this fact and the empirical results drawn from this study, I provide the following strategic suggestions. First, Bank T may moderately increase RWA since is still complying with regulatory requirements on capital adequacy, as this can achieve higher capital efficiency. Secondly, for achieving the same amount of RWA, Bank T may increase its credit business with clients whose loans are classified with lower risk weights, while still require these clients to provide colleterial such as demand deposits so as to balance out the possible higher risk coming with more credit business. Finally, Bank T may strengthen the credit requirement and thus reduce the NPL ratio, and thus increase the establishment of RWA as well as potential profits for the bank. |
