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https://nccur.lib.nccu.edu.tw/handle/140.119/141565
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| Title: | CAMELS指標探討對銀行信用風險之研究
無 |
| Authors: | 陳鈺晶
Chen, Yu-Ching |
| Contributors: | 呂桔誠
林士貴
陳鈺晶
Chen, Yu-Ching |
| Keywords: | 銀行經營管理
銀行信用風險
主成分分析
CAMELS指標
金融危機
Banking Management
Banking Risk
Principal Component Analysis
CAMELS Rating
Financial Crisis |
| Date: | 2022 |
| Issue Date: | 2022-09-02 14:49:50 (UTC+8) |
| Abstract: | 國內近年興起金融科技革新與金融機構整併潮，同時銀行放款在疫情使然的經濟環境和消費習慣變遷下持續成長，改變銀行經營模式和資產結構，增加金融業前景的不確定性。故本研究從CAMELS指標出發，以針對CAMELS指標和銀行經營與信用風險的相關國外文獻作為基礎彙整出常用的CAMELS指標變數，將本研究樣本劃分為金融危機與一般情況並對其進行主成分分析，萃取其解釋能力，再以迴歸模型比較CAMELS指標對信用風險在不同經濟環境的解釋程度，以便從公開資料了解銀行財務健全狀況和CAMELS指標解釋能力的差異。經實證結果發現，CAMELS指標中的資本適足率、資產品質、管理能力和管理能力的主成分在金融危機期間具有較高貢獻度，一般情況時CAMELS指標貢獻度較平均，且不同期間下對信用風險變數的解釋能力均具有統計的顯著性，並且在常用信用風險衡量變數中，以槓桿比率的被解釋程度最高。
Owing to the prosperous financial technology as well as the rising of merging and acquisition between financial institutions in recent years, the asset structure and managing strategy of banks has been changed gradually, while the economic circumstance, in addition to the consumption habit were strike by the occurrence of the epidemic. This study attempts to develop a set of CAMELS proxy by reviewing relating literature, while proceeding principle component analysis to extract the explanatory to the principle component for the use in multiple regression, in order to detect the potential risk in the rousing domestic loan, as well as comparing the difference between Financial Crisis and general condition. The empirical result indicates that, for the CAMELS proxy variables, the four categories as known as capital adequacy (C), asset quality (A) and managerial quality (M) shows higher contribution when it comes to the explanatory ability on the banking risk proxy variables during the Financial Crisis, while the CAMELS proxy variables shows the equivalent contribution in general condition. The outcome presents statistical significance, especially on the interpretation of the leverage ratio. |
| Reference: | 中文參考文獻
1. 中央銀行（2021）。金融穩定報告，15。
2. 沈中華 （2002），金控公司的銀行與獨立銀行CAMEL比較：1997~ 1998， 台灣金融財務季刊，3(2)，73-94。
3. 中央存款保險公司（2021）。存款保險差別費率制度評估，存保季刊，34(2)，95-133。
4. 縣市別金融統計（2022年6月14日）。金融監督管理委員會銀行局。
https://www.banking.gov.tw/ch/home.jsp?id=157&parentpath=0,4&mcustomize=bstatistics_view.jsp&serno=201105120013
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| Description: | 碩士
國立政治大學
金融學系
108352026 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0108352026 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202201179 |
| Appears in Collections: | [金融學系] 學位論文
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