台灣地區農會信用部風險管理與效率評估之研究

A Study of Risk management and efficiency evaluation for credit department of farms'　associations in Taiwan

本研究主要是探討國內農會信用部經營效率之評估，透過一連串資料包絡分析法分解影響農會信用部經營風險（呆帳損失）之主要指標為內部及外部因子（環境效果及風險效果）以獲得調整風險後之效率（真正效率值）衡量，以確實顯示農會信用部經營之成效。研究結果顯示，CRS（技術效率）每況愈下，呈現逐年遞減趨勢，由此可看出在金融自由化下，放款競爭壓力下且增加放款風險及收入的減少，這可由SE（規模效果所引起，而EE（環境效果則為非常穩定且接近1，顯示出環境因子對於績效之影響，相對於風險效果並不顯著，所以農會信用部經營績效的不彰，其主要歸咎原因將相對來自於組織內部因素所引起。RE（風險效果）在80-85年非常穩定，而自86年後呈現下降趨勢這代表農會信用部呆帳損失日益擴大，造成經營成本遞增，而EE、RE與SE三者之關係透過Pearson相關係數顯示出SE與RE具有高度相關，所以當一組織規模日趨擴大時，所帶來影響之內部風險也相對於外部環境高。

This is empirical study to examine the effect of risk and efficiency for credit departments of farmers associations in Taiwan. Because of have many financial institutions interaction competition in Taiwan. This greater competition, though driving firms to improve their efficiency, may also encourage them to orient their businesses towards activities, sectors, and or clients of higher risk. However, in spite of the importance of jointly evaluating efficiency and risk, the traditional measurements of efficiency do not take risk into account. Furthermore, the few studies that attempt to include risk do not separate the part of risk that is due to poor management (internal) from that which originates in the economic environment (external). This article apply sequential DEA procedure to break down the main indicator of banking risk provision for loan losses into internal and external components, in order subsequently to obtain measurements of efficiency adjusted for risk. By means of this procedure, not only is it possible to obtain measurements of efficiency appropriately adjusted for risk, but also to determine what proportion is due to bad risk management and what proportion is due to exogenous factors that are not attributable to the firms. Our major empirical findings are as follow: Basically, increase loan competition caused efficiency (CRS) to fall as a consequence of an increase in financial cost and decrease in revenues. This fact can be explained almost completely by a decrease in scale effect. The environment effect is also very stable and close to one. The risk effect is also stable in 1991-1996. But in 1997-2000 risk variables appear to have had more impact on efficiency due to adverse risk management circumstances.