台灣金融機構公司治理特性與違約風險之探討

The Relationship between Corporate Governance and Default Risk in Taiwan’s Financial Institution

本研究目的在於探討國內金融機構公司治理特性對違約風險的影響。對於公司治理特性將著重於經營績效與股權結構的分析，相關產業涵蓋銀行業、壽險業、證券業和產險業，違約風險的衡量採用KMV模型進行推估，樣本資料採用具橫斷面及時間序列資料特性的縱橫資料（panel data）進行混合迴歸（pooled regression）估計。另外考量國內銀行業近年弊案不斷，故針對銀行業進行子樣本實證分析，於模型中分別引入內外部監督變數予以探討。在全樣本實證結果方面，獲利指標、流動性和大股東持股比率皆與違約風險呈現負向顯著關係。而銀行業方面，獲利指標對銀行違約風險呈現不顯著結果，流動性與資本適足率則呈現負向的顯著關係。在股權結構方面，經理人持股和機構法人持股對違約風險呈現負向影響，監察人持股則為正向關係。 This paper aims to examine relationship between the variables of corporategovernance and default risk. To the corporate governance characteristic, we lay stress theeffects of both the performance and ownership structure. Industries include banking,insurance, securities, and life insurance. Firm’s default risk is estimated by KMV model.The Regression models have been to analysis using a sample data of cross-section and timeseries. Specially, we add monitoring mechanism variables to analysis bank’s default riskbecause they happen more fraud behavior or default event in recent years. Our results showthat profitability, liquidity, and largest stockholder express negative significantlyrelationship with firm’s default risk. In banking, liquidity is negative significantlyrelationship with default risk, but performance indicate hasn’t significant. In firm’sownership structures, manager’s ownership and institutions ownership are negativeoutcomes, but supervisor ownership are positive relationship.