政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/67851

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/67851

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政大典藏 > College of Commerce > Department of Accounting > Theses > Item 140.119/67851

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/67851

Title:	採行已發生損失模型與公允價值會計對盈餘、資本適足率與信用損失之影響 The Impacts of Adopting Incurred Loss Model and Fair Value Accounting on Earnings, Capital and Credit Loss
Authors:	張式傑 Chang, Shi Jie
Contributors:	張清福 Chang, Ching Fu 張式傑 Chang, Shi Jie
Keywords:	已發生損失模型公允價值會計壞帳費用盈餘波動性資本適足率信用損失帳款沖銷不良債權 Incurred loss model Fair value accounting Loan loss provisions Earnings volatility Capital adequacy Credit loss Charge-offs Non-performing loans
Date:	2013
Issue Date:	2014-07-29 16:02:03 (UTC+8)
Abstract:	本研究探討台灣於2011年依據IAS 39進行34號公報之第三次修訂實施，採用已發生損失模型後的兩項議題：（1）放款壞帳費用之提列與盈餘波動性以及資本適足率波動性之關聯性，（2）以歷史成本評價之期末金額及以公允價值評價之期末金額，究竟何者對於未來之帳款沖銷與不良債權較具有關聯性。實證結果顯示，自2011年採用已發生損失模型後盈餘波動性無顯著之變化，且壞帳費用對於盈餘波動性無解釋能力；而自2011年後資本適足率波動性亦無顯著變化，但壞帳費用對於資本適足率波動性有顯著的影響，顯示銀行明顯透過壞帳費用之提列進行資本管理而非盈餘管理。在未來信用損失預測之部分，以歷史成本評價之期末放款金額對於未來之帳款沖銷及不良債權有顯著的負相關，而以公允價值評價之期末放款金額對於未來之帳款沖銷及不良債權卻無解釋能力，可能係因未來帳款沖銷與未來不良債權之發生與放款之帳齡有顯著的關聯性，而與未來可收取之現金流量無顯著之相關。 This study aims to investigate how Incurred Loss Model affects the recognition of loan loss provisions and the valuation of loans due to the third revision of SFAS No. 34 which was revised based on IAS 39 in 2011. For the recognition of loan loss provisions, it focuses on the relationship with earnings volatilities and capital adequacy volatilities, and for the valuation of loans, it specializes on whether credit loss predicting is related to historical cost accounting or fair value accounting. The result shows that, since the implementation of Incurred Loss Model in 2011, both the adoption of Incurred Loss Model and the loan loss provisions have no significant impact on earnings volatilities. For capital adequacy volatilities, implementing Incurred Loss Model has no effect on capital adequacy volatilities neither. However, the loan loss provisions since 2011 significantly enhance the volatilities of capital adequacy. It reveals that banks use loan loss provisions to manage capitals instead of earnings. For credit loss predicting, loans evaluated with historical cost accounting have significant negative relations with future charge-offs and non-performing loans while loans evaluated under fair value accounting do not have any explanation power. It may suggests that future charge-offs and non-performing loans are related to the aging of loans, but not the future payoffs of loans.
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Description:	碩士國立政治大學會計研究所 101353024 102
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0101353024
Data Type:	thesis
Appears in Collections:	[Department of Accounting] Theses

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