從績效評估探討銀行產業之風險效率衡量－DEA模型之應用

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Title:	從績效評估探討銀行產業之風險效率衡量－DEA模型之應用
Other Titles:	Application of Data Envelopment Analysis in the Assessment of Risk Efficiency for Banking Industry
Authors:	陳冠中 Chen, Kuan-Chung
Contributors:	潘忠煜 Pan, Chung-Yu 東海大學工業工程與經營資訊學系
Keywords:	麥氏生產力指數;資料包絡分析法;風險效率;財務比率;商業銀行 Malmquist Productivity Index (MPI);Data Envelopment Analysis (DEA);Financial Ratio;Commercial Banks;Risk Efficiency
Date:	2011
Issue Date:	2011-10-12T15:08:52Z (UTC)
Abstract:	台灣商業銀行的經營績效與台灣主要的經濟發展息息相關，而銀行產業所面臨的經營風險也深深地影響著其效率與生產力表現。儘管在過去有相當多的研究議題是關於銀行之整體效率，然而有關風險效率之研究的發展卻是緩慢而零散。在本研究中，對於銀行產業的績效評估，嘗試導入「風險效率」的概念，強調不同部位與構面的風險應分開評估，並個別採行適當之策略，才能發揮綜效。本研究利用財務比率法結合資料包絡分析（Data Envelopment Analysis；簡稱DEA）模型，以台灣34家商業銀行於2005年至2008年間之財務資料進行分析。分別計算出各樣本銀行的信用、流動性與資本三個構面與其綜合之風險效率，再以麥氏生產力指數（Malmquist Productivity Index；簡稱MPI）分析樣本銀行各風險效率模式之生產力變化。研究發現，銀行宜考量經濟環境的變化，依據不同構面之風險效率表現與生產力變動方向進行風險管理策略的調整，才能達成綜效，以積極改善經營績效。綜合所有分析結果，本研究獲得重要結論如下：1.為達到風險管?之目的，建議銀?管?者應評估並控管?同型態之風險；2.為藉由效?評估找出改善績效的最適方法，銀?應依其特性加以分?；3.為改善銀?之整體效?，管?者應評估或改善銀?之?同型態的風險效?。 The operating efficiency of Taiwanese commercial banks is a key factor on Taiwan’s economic development. And business risk has serious impact on efficiency and productivity in banking industry. While considerable attentions have been paid in the past for research issues related to overall efficiency of bank. Issues of risk efficiency have emerged not only slowly but in a more loose way. In this study, we introduce the concept of “Risk Efficiency” that emphasizes different types of risks should be assessed separately on the performance evaluation for the banking industry. And the regulator should adopt appropriate strategies for the different types of risks in order to achieve operating synergy. The study combines financial ratio method with data envelopment analysis (DEA) model to calculate the risk efficiency on credit risk, liquidity risk and capital risk by using panel data from 34 domestic commercial banks in the period of 2005-2008. Additionally, we employ the Malmquist productivity index (MPI) to analyze the productivity change over the study period. In order to achieve operating synergy and improve business performance, we suggest that the regulator of a bank should consider the changes in the economic environment, the risk efficiency and productivity change for the different types of risks to adjust the strategic direction on the risk management and to improve the performance efficiency.From the comprehensive analysis of the results obtained, we draw the important conclusions:1.In order to achieve the purpose of risk management, it is suggested that the regulator of a bank should assess and control different types of risks.2.In order to identify an appropriate approach for improving performance by evaluating efficiency, the banks should be classified according to their characteristics.3.In order to improve the overall efficiency of banks, managers should assess or improve different types of risk efficiency in banks.
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