表外業務對台灣商業銀行之風險及獲利性的影響

A Study of Off-balance Sheet Activities on the Bank Risk and Profitability: Taiwan Experience

本文探討我國商業銀行表外業務對於銀行風險及獲利性之影響，以台灣37家商業銀行為研究對象，研究期間涵蓋2010年12月至2015年3月之各季，實證研究發現銀行從事利率及與匯率有關之衍生性金融交易導致銀行之總風險及獲利性增加，放款承諾則使銀行面臨較低之信用風險及破產風險，至於保證業務則對銀行風險及獲利性無明顯影響。研究也發現當銀行資產規模越大，其面臨之總風險、信用風險及破產風險皆較低，而獲利性則較高。銀行之利率敏感性缺口越大，則獲利波動風險越大。較高的槓桿比率，則使銀行信用風險及破產風險增加，也使得以資產報酬率表示的總風險及獲利性降低，但導致以股東權益報酬率表示的總風險及獲利性增加。 This paper examines the effect of banks'off-balance sheet activities on their risk and profitability in Taiwan.We takes quarterly data of 37 commercial banks, covering the period of December 2010 to March 2015 as research sample.Our empirical studies show that the use of interest rate and exchange rate-related financial derivativesincreasesthebanks' total risk and profitability. Loan commitmentexposes banks to lower credit risk and bankruptcyriskwhile guaranteed businesshave no significant impact on bank risk and profitability. The study also found that bankswith larger asset size have lower total risk, credit risk, bankruptcy risk and higherprofitability. The interest rate sensitivity gap of banks is positive related to total risk measured by profit fluctuation. The higher leverage ratio increases the bank's credit risk and bankruptcy risk. The higher leverage ratio also reduces the total risk and profitability measured by the return on the assets, but leads to an increase in the total risk and profitability measured by thereturn on equity.