Dissertations / Theses on the topic 'Capital adequacy'
To see the other types of publications on this topic, follow the link: Capital adequacy.
Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles
Consult the top 50 dissertations / theses for your research on the topic 'Capital adequacy.'
Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.
You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.
Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.
1
Gallagher, Mark Ashley. "Bank capital : definition, adequacy and issue announcement effects." Thesis, City University London, 1992. http://openaccess.city.ac.uk/7993/.
Full textAbstract:
This dissertation focuses primarily on potential explanations for bank common stock abnormal returns, and their patterns, coincident with the announcement of bank capital issues. Potential influences considered include increased regulatory pressure, conflicting regulatory and market views of bank capital adequacy and the relative predictability of security type. Where possible, the dissertation is set in both UK and US contexts. The dissertation has four principal research components; (1) a review of historical and contemporary bank capital regulation in the UK and US. Historical analysis indicates that the definition of capital, as determined by its functional properties, is dynamic and qualifies the consistency of its measurement over time. The regulatory control of absolute levels of capital is seen to have influence on bank structural development, costs and risk. The regulatory control of relative bank capital (ie in terms of balance sheet structure) is found to have a long and controversial history in the US and is effective progenitor of the current methodology of bank capital measurement and assessment, such as the Basle Agreement, and contains a number of potentially costly deficiencies. (2) an examination of bank capital issue announcement effects in the UK. Following similar work in the US (eg Keeley 1989) negative abnormal return effects are found associated with the announcements of UK ordinary share issues. Also, evidence hints that an imposed increase in regulatory capital pressure (viz the introduction of a minimum capital ratio regime) causes a reduction in issue announcement effects for ordinary share issues. (3) assessment of the capital adequacy of UK and US banks from a market perspective and in terms of a number definitions of capital; namely equity, regulatory primary capital (US), and the 1992 Basle Agreement capital. Conflict between market and regulatory views of capital adequacy are observed in certain years for primary capital. In terms of the capital structure relevance hypothesis, this suggests particular costs which may influence issue announcement effects. (4) modelling the predictability of UK bank capital issue security type (viz ordinary share and debt) and assessing the hypothesis that it is inversely related to the announcement abnormal returns.
2
Santoso, Wimboh. "Capital adequacy assessment in Indonesia : an empirical study." Thesis, Loughborough University, 1999. https://dspace.lboro.ac.uk/2134/7096.
Full textAbstract:
Many Indonesian banks suffered problems and some even failed in the early 1990s. This provided evidence that risk-based capital adequacy regulation in Indonesia had failed to prevent banks from taking excessive risks. Such observations provide the motivation for this thesis which seeks to identify the nature of bank risks in Indonesia and also analyses the operation of risk-based capital adequacy regulation in Indonesia. To obtain a general view of risk in Indonesian banks, this thesis includes an empirical study to identify the determinants of problem banks in Indonesia using a logit fixedeffect model. The model also can be used as an "early warning" device in banking supervision. This study finds that credit risk and operational risk contributed significantly to banking problems. State banks, non-foreign exchange banks and regional development banks are shown to be also sensitive to interest rate risk. Foreign exchange rate risk is less significant for banks (by group) in Indonesia. If we examine cases individually, however, there were some bank failures which were due to excessive foreign exchange rate risk. This thesis also finds that the adoption of risk-based capital adequacy regulation in Indonesia contains some deficiencies, such as focusing only on credit risk (ignoring market risk). This study suggests that market risk should be included in capital adequacy assessment and a number of alternative models of risk assessment [exponential weighted moving average (EWMA) and generalised autoregressive heteroscedasticity (GARCH)] are analysed. The results of the empirical study show that the inclusion of foreign exchange rate risk in capital adequacy assessment results in a higher capital requirement than that resulting from the application of the BIS's standardised methodology. This study also finds that the decay factor of 0.94 suggested by J. P. Morgan (J. P. Morgan, 1995, 1996) is irrelevant for [DR (Indonesian Rupiah) exchange rate returns. Additionally, assessment of foreign exchange rate risk using GARCH suggests a lower capital charge than that applicable under the BIS's standardised methodology and EWMA. The policy implications of these findings are also considered.
3
Kruja, Zana. "Capital Access in Rural Virginia." Diss., Virginia Tech, 1997. http://hdl.handle.net/10919/30702.
Full textAbstract:
The objective of this study is to determine whether there are inadequacies in the rural financial markets of Virginia. The analysis is based on data from a survey of farm and non-farm small businesses, in five rural counties in Virginia. A Probit model is used to determine whether the financing difficulty encountered by small rural businesses is significantly determined by non-risk characteristics of users of capital and/or non-risk characteristics of local capital markets. Four variables representing different aspects of financing difficulty are used as the dependent variables in each of the four models used in this study. These variables are, loan denial and non-local financing reported by the survey respondents, opinions of survey respondents on the adequacy of local capital markets, and their expectations on future satisfaction with the performance of the local capital market.
Businesses' risk characteristics should be the only determinant of the financing difficulty faced by capital users. However, this analysis indicates that access to capital is determined by non-risk local businesses' and local financial market characteristics as well. Among the most influential non-risk characteristics are: firm size, number of non-local locations, number of competitors in the local market, form of ownership, size of local financial institutions, and local financial institutions' specialization in lending to small businesses. In addition there are large differences in the way financing needs are met in different economic sectors in rural areas. Non-agricultural businesses seem to have less access to financing compared to agricultural businesses.
Further, there is evidence that information in rural financial markets is not complete, and that the sources of information are limited. The evidence on availability of capital is mixed and insufficient to conclude that this is an issue in rural Virginia.
The results of the analysis are used to identify ways to increase the availability of cost efficient capital for new and small businesses in rural areas in Virginia. The recommendations include considerations on how to improve governmental presence in rural capital markets to provide or facilitate better access to capital.Ph. D.
4
Siddiq, Abu Bakar. "Capital Adequacy Behaviour: : A case study of Swedish banking industry." Thesis, Jönköping University, JIBS, Accounting and Finance, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-12932.
Full text
5
Black, Kevin. "Determining capital adequacy for a community bank's agricultural loan portfolio." Thesis, Kansas State University, 2015. http://hdl.handle.net/2097/35221.
Full textAbstract:
Master of AgribusinessDepartment of Agricultural Economics
Brian C. Briggeman
As the recent financial crisis brought to light, the ability of commercial banks to quantify and better manage risk in their loan portfolios is paramount to their continued success and viability. Assessing, managing, and retaining capital is now a larger issue than ever given this event as well as the advent of the Basel III Accord. Pinnacle Bancorp is a community banking organization headquartered in Omaha, Nebraska with roughly $8.6 billion in assets. The company is also one of the largest agricultural lenders in the country and the largest agricultural lender among traditional community banks. Given the ominous outlook heading into 2016 for agricultural producers from lower projected net incomes and increased borrowing costs following Federal Reserve action on the Fed Funds Rate, many banks worry about the increased likelihood of default for agricultural producers. The objective of this thesis is to determine the adequacy of Pinnacle Bank’s equity capital relative to the agricultural loan portfolio. This process begins by employing binary logit regression in an effort to determine the probability of default for the bank’s agricultural loan portfolio. With default likelihood quantified, efforts are then made to determine the bank’s credit value-at-risk at various solvency levels. These figures are then compared to current capital levels in order to determine the adequacy of bank capital as measured by five key regulatory ratios ultimately imposed by Basel III. Finally, recommendations are made to management as to the adequacy of bank capital relative to the agricultural loan portfolio and any future efforts that need to be made in order to determine and ensure the adequacy of bank capital for the entire loan portfolio.
6
Kim, Kyoung Yong. "Capital adequacy requirements and the risk-return profile of Korean banks." Thesis, Bangor University, 1993. https://research.bangor.ac.uk/portal/en/theses/capital-adequacy-requirements-and-the-riskreturn-profile-of-korean-banks(c30cb9c9-e030-40f6-b0b9-f5d0e891933d).html.
Full textAbstract:
Bank supervision in general, and capital adequacy requirements in particular, are concerned fundamentally with bank safety, the stability of the financial system and depositor protection. Bank safety and the stability of the banking and financial system are crucially influenced by the public confidence that depositors and other creditors have in the banks and banking system. Bank capital adequacy is a critical element in generating public confidence in a bank's ability to handle uncertainty and as the ultimate defence against such losses. In this context, capital adequacy regulations by the supervisory authorities have become an increasingly important policy tool to help curb the amount of risk exposure that a bank can assume, thereby helping to preserve public confidence in a bank and the banking system as a whole. Capital adequacy regulations essentially operate on a bank's risk and return profile. This role of capital adequacy requirements is particularly important in Korea. To examine the impact of the new capital adequacy requirements on bank's risk-return profile, an event study methodology was developed. The empirical results using the OLS and SURE estimation indicated strongly that the new capital standards in Korea did not have an impact on bank shareholders' wealth, whereas they had an apparent partial effect on banks' risk, at least perceived by investors in Korea. In addition, no intra-industry effects were found. Our conclusions reveal some policy implications. Firstly, supervisory authorities should reexamine and reassess the present supervisory monitoring system and reestablish it to be appropriate for the new, more vulnerable and competitive (deregulating) financial environment. Secondly, to improve the supervisory monitoring process, the supervisory authorities should enhance the role of the market. Finally, under a environment where the free market is being emphasised in resource allocation, bank supervisors should always consider the simultaneous impact of structural deregulation and supervisory re-regulation within their policy-making process.
7
Fouché, Casper Hendrik. "Continuous-time stochastic modelling of capital adequacy ratios for banks / C.H. Fouche." Thesis, North-West University, 2005. http://hdl.handle.net/10394/1221.
Full text
8
Fung, James Cheuk Lun. "An agent-based model of the interbank market : reserve and capital adequacy requirements." Thesis, University of Leeds, 2014. http://etheses.whiterose.ac.uk/8242/.
Full text
9
Shabani, Mimoza. "The incidence of bank default and capital adequacy regulation in U.S. and Japan." Thesis, SOAS, University of London, 2015. http://eprints.soas.ac.uk/20381/.
Full textAbstract:
This thesis provides an original theoretical and empirical analysis of the effectiveness of capital adequacy regulation in promoting the soundness and stability of the international banking system, focusing on two countries: US and Japan. It is argued that capital adequacy regulation is theoretically flawed, taking no account of the process of balance sheet reconstruction banks undertake to achieve overcapitalisation, and ignoring any effect on the rest of the economy. The analysis uses a macro- economic theory -based approach to examine the impact of capital adequacy regulation on the probabilities of default of US and Japanese banks for the period, 2007-2009 and 1998-2000, respectively. The underlying theory of this analysis is the capital market inflation theory, which looks at the system as a whole and thus making it possible to analyse the role of the Basel capital requirements on the real economy. This thesis also provides an empirical evaluation of the capital market inflation theory, by developing a simple asset-pricing model to estimate the US and Japanese stock price indexes, taking into account the inflows of institutional investors, such as pension funds and insurance companies, into the capital markets. As a reinforcing argument against capital adequacy regulation the shadow banking system is incorporated into the analysis as a cosmetic manicure for risk in balance sheet. The evidence suggests that risk-weighted capital adequacy regulation gives misleading signals about the soundness of banks. The empirical results imply that banks with higher Tier I capital ratios have a higher probability of default whereas banks with higher unweighted capital ratios have a lower probability of default. The results suggest that the negative relationship between unweighted capital ratios and the probability of default is the effect of illiquidity in the capital market for relatively risk-free assets, whereas the positive relationship between the Tier 1 capital ratios and the probability of defaults is the effect of crowding out in the capital market.
10
Muller, Grant Envar. "Optimal asset allocation and capital adequacy management strategies for Basel III compliant banks." University of the Western Cape, 2015. http://hdl.handle.net/11394/4755.
Full textAbstract:
Philosophiae Doctor - PhDIn this thesis we study a range of related commercial banking problems in discrete and continuous time settings. The first problem is about a capital allocation strategy that optimizes the expected future value of a commercial bank’s total non-risk-weighted assets (TNRWAs) in terms of terminal time utility maximization. This entails finding optimal amounts of Total capital for investment in different bank assets. Based on the optimal capital allocation strategy derived for the first problem, we derive stochastic models for respectively the bank’s capital adequacy and liquidity ratios in the second and third problems. The Basel Committee on Banking Supervision (BCBS) introduced these ratios in an attempt to improve the regulation of the international banking industry in terms of capital adequacy and liquidity management. As a fourth problem we derive a multi-period deposit insurance pricing model which incorporates the optimal capital allocation strategy, the BCBS’ latest capital standard, capital forbearance and moral hazard. In the fifth and final problem we show how the values of LIBOR-in-arrears and vanilla interest rate swaps, typically used by commercial banks and other financial institutions to reduce risk, can be derived under a specialized version of the affine interest rate model originally considered by the bank in question. More specifically, in the first problem we assume that the bank invests its Total capital in a stochastic interest rate financial market consisting of three assets, viz., a treasury security, a marketable security and a loan. We assume that the interest rate in the market is described by an affine model, and that the value of the loan follows a jump-diffusion process. We wish to find the optimal capital allocation strategy that maximizes an expected logarithmic utility of the bank’s TNRWAs at a future date. Generally, analytical solutions to stochastic optimal control problems in the jump setting are very difficult to obtain. We propose an approximation method that exploits a similarity between the forms of the control problems of the jump-diffusion model and the diffusion model obtained by removing the jump. With the jump assumed sufficiently small, the analytical solution of the diffusion model then serves as a proxy to the solution of the control problem with the jump. In the second problem we construct models for the bank’s capital adequacy ratios in terms of the proxy. We present numerical simulations to characterize the behaviour of the capital adequacy ratios. Furthermore, in this chapter, we consider the approximate optimal capital allocation strategy subject to a constant Leverage Ratio, which is a specific non-risk-based capital adequacy ratio, at the minimum prescribed level. We derive a formula for the bank’s TNRWAs at constant (minimum) Leverage Ratio value and present numerical simulations based on the modified TNRWAs formula. In the third problem we model the bank’s liquidity ratios and we monitor the levels of the liquidity ratios under the proxy numerically. In the fourth problem we derive a multi-period deposit insurance pricing model, the latest capital standard a la Basel III, capital forbearance and moral hazard behaviour. The deposit insurance pricing method utilizes an asset value reset rule comparable to the typical practice of insolvency resolution by insuring agencies. We perform numerical computations with our model to study its implications. In the final problem, we specialize the affine interest rate model considered previously to the Cox-Ingersoll-Ross (CIR) interest rate dynamic. We consider fixed-for-floating interest rate swaps under the CIR model. We show how analytical expressions for the values of both a LIBOR-in-arrears swap and a vanilla swap can be derived using a Green’s function approach. We employ Monte Carlo simulation methods to compute the values of the swaps for different scenarios. We wish to make explicit the contributions of this project to the literature. A research article titled “An Optimal Portfolio and Capital Management Strategy for Basel III Compliant Commercial Banks” by Grant E. Muller and Peter J. Witbooi [1] has been published in an accredited scientific journal. In the aforementioned paper we solve an optimal capital allocation problem for diffusion banking models. We propose using the solution of the Brownian motions control problem of [1] as the proxy in problems two to four of this thesis. Furthermore, we wish to note that the methodology employed on the final problem of this study is actually from the paper [2] of Mallier and Alobaidi. In the paper [2] the authors did not present simulation studies to characterize their pricing models. We contribute a simulation study in which the values of the swaps are computed via Monte Carlo simulation methods.
11
Norton, J. J. "International bank supervisory standards : the case of the Basle Committee and capital adequacy standards." Thesis, University of Oxford, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.241301.
Full text
12
Dickason, Zandri. "An investigation into regulatory capital adequacy of South African banks under the Basel Accords / Zandri Dickason." Thesis, North West University, 2014. http://hdl.handle.net/10394/13085.
Full textAbstract:
One objective of the BCBS is to implement minimum supervisory capital standards in the banking sector. Basel I to Basel III attempted to maintain a minimum capital standard for credit risk, market risk and operational risk. Many loopholes were highlighted through years when political and economic disturbances occurred and caused volatility in the financial markets. This study analysed five major South African banks from 2002–2012 to determine the size of these disturbances on the regulatory capital levels. The empirical portion of this study comprised of statistical models to be applied to the quantitative observations of capital levels. These measurements served as the bases of comparison between the five banks. After the investigation it was evident that the capital levels of these five banks first decreased as the South African economy prevailed in a boom phase and banks were at ease. When the 2007–2009 financial crisis struck, the capital levels increased again in respect of the three risks. Global volatility surfaced as economic and political factors were introduced into the marketsMCom (Risk Management), North-West University, Vaal Triangle Campus, 2014
13
Wirch, Julia Lynn. "Coherent Beta Risk Measures for Capital Requirements." Thesis, University of Waterloo, 1999. http://hdl.handle.net/10012/1106.
Full textAbstract:
This thesis compares insurance premium principles with current financial risk paradigms and uses distorted probabilities, a recent development in premium principle literature, to synthesize the current models for financial risk measures in banking and insurance. This work attempts to broaden the definition of value-at-risk beyond the percentile measures. Examples are used to show how the percentile measure fails to give consistent results, and how it can be manipulated. A new class of consistent risk measures is investigated.
14
De-Graft, Quansah Josiah G. "Capital adequacy under Basel 3 : its implications for large commercial banks in Ghana and Kenya." Thesis, University of Leeds, 2014. http://etheses.whiterose.ac.uk/8797/.
Full textAbstract:
The recent global financial crisis (2007-2009) might seem like a distant memory, however the impact and implications of the Basel 3 Accord¹, (the brain-child of the Basel Committee on Banking Supervision (BCBS) and the G20) lives on; at least for the entire phase-in period (1 January 2013 to 1 January 2023). Even though Ghana and Kenya like some other African countries were affected by the global financial crisis (although not to the same extent as some European countries), both countries as well as most African countries were conspicuously absent during the negotiations phase of Basel 3, perhaps with the exception of South Africa. Notwithstanding this under-representation by African countries, Basel 3 is expected to have a degree of impact and implications for large commercial banks in Ghana and Kenya and the African continent at large. In view of this, an analysis of the impact and implications of the capital adequacy provisions of Basel 3 on large commercial banks in Ghana and Kenya would be incomplete without first highlighting the relevance of Basel 3 to African countries. The capital adequacy provisions of Basel 3 requires banks to ensure that they possess enough capital which must be of sufficient quality to address banking risks and to absorb substantial bank losses – a requirement already being met by banks in South Africa, a member of the G20. With South Africa having already begun the implementation of Basel 3, it is only a matter of time before other African countries follow suit. Nonetheless and regardless of whether Ghana and Kenya implement Basel 3 or not, there will be implications for all, not least the large commercial banks within these 2 jurisdictions. This thesis thus investigates the implications of the capital adequacy provisions of Basel 3 on large commercial banks in Ghana and Kenya.
15
Back, Alexander, and William Keith. "Valuation of Contingent Convertible Bonds." Thesis, KTH, Matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-188984.
Full textAbstract:
Contingent convertible bonds are hybrid capital instruments, contingent on some form of indicator of financial distress of the issuing bank. Following the financial crisis, these instruments are proposed as a solution to the moral hazard issue of banks too big to fail. With the increased capital requirements of the Basel III directive, contingent capital enables banks to increase their capitalization without issuing expensive equity. Also, in times of historically low interest rates, these instruments might be interesting for investors in search of higher yields, as well as long term investors wanting to implement countercyclical investment strategies. However, due to the high complexity of these instruments, valuation has proven diffcult. The purpose of this thesis is to value instruments contingent on the bank's common equity tier 1 to risk-weighted assets ratio. We build our model upon the work of Glasserman & Nouri (2012), and extend it to include contingency on risk-weighted assets, instant non-continuous conversion to equity, and a combination of fixed imposed loss and fixed conversion price as terms of conversion. We use a capital structure model in continuous time to define asset dynamics, asset claims and the event of conversion and liquidation of the bank. Thereafter we use two important results from Glasserman & Nouri (2012) to value the discounted cash flows to holders of debt and contingent debt. From this, we arrive at closed form solutions for the coupon rates of these securities.Contingent convertible bonds (villkoradeobligationer) är hybrida kapitalinstrument som beror på någon form av indikator på finansiell instabilitet i den emitterande banken. Efter finanskrisen har dessa finansiella produkter föreslagits som en lösning på dilemmat som uppstår när banker är för stora för att låtas gå omkull. Villkorade obligationer är en väg för banker att ta in kapital och uppfylla de ökade kapitalkrav som ställs av direktiven i Basel III utan att emittera kostsamt aktiekapital. I dessa tider av historiskt låga räntesatser är den relativt höga avkastning, tillsammans med de kontracykliska effekter produkterna ger dessutom intressanta för många investerare. Att värdera dessa produkter har dock visat sig svårt då de är mycket komplexa. Syftet med denna uppsats är att värdera villkorade obligationer som beror på relationen mellan bankens kärnprimärkapital och riskviktade tillgångar. Vi använder omvandling till aktiekapital som förlustabsorberingsmekanism och använder en kombination av fixerade konverteringspris och fixerade ålagda förluster som villkor för konversion. Vi använder en kapitalstrukturell modell i kontinuerlig tid för att definiera tillgångarnas rörelser, fordringar på tillgångarna och händelsen av konversion av kontraktet eller likvideringen av banken. Därefter använder vi två viktiga resultat från Glasserman & Nouri (2012) för att värdera de diskonterade kassaflöden till ägaren av obligationer och villkorade obligationer. Från detta hittar vi analytiska lösningar för storleken av kupongräntorna på obligationerna, villkorade som normala.
16
Мотречко, Б. М. "Напрями підвищення ефективності використання основних засобів на ДП Морський торговельний порт «Южний»." Thesis, Одеський національний економічний університет, 2021. http://local.lib/diploma/Motrechko.pdf.
Full textAbstract:
Доступ до роботи тільки на території бібліотеки ОНЕУ, для переходу натисніть на посилання нижчеУ роботі розглядаються теоретичні аспекти використання основних засобів на підприємстві. Проаналізовано основні результати діяльності ДП «Морський торговельний порт «Южний»; зроблений аналіз технічного стану, динаміки та ефективності використання основних засобів. Запропоновано конкретні практичні заходи щодо підвищення ефективності використання основних засобів.
The work deals with the theoretical aspects use of fixed assets at the enterprise. The main results of the activity of SE "Sea Commercial Port" South "are analyzed; the analysis of a technical condition, dynamics and efficiency of use of fixed assets is made. Specific practical measures to increase the efficiency of fixed assets have been proposed.
17
Кудрякова, А. І. "Проблемні аспекти оцінювання достатності капіталу банків." Master's thesis, Сумський державний університет, 2018. http://essuir.sumdu.edu.ua/handle/123456789/71521.
Full textAbstract:
Дослідження теоретичних засад та практичного інструментарію щодо проблемних аспектів оцінювання достатності капіталу банків.Исследование теоретических основ и практического инструментария по проблемным аспектам оценки достаточности капитала банков.
Research of theoretical foundations and practical tools on problematic aspects of banks capital adequacy assessment.
18
Hsiao, Hui-Fang, and 蕭惠方. "Studies of Optimal Capital and Capital Adequacy in Banks." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/53627991742221440729.
Full textAbstract:
碩士國立高雄第一科技大學
風險管理與保險所
94
ABSTRACT This thesis uses 14 financial holding banks (FHBs) in Taiwan as research data collected for the period from December 2002 to December 2004. Based on financial accounts of the risky asset returns and the administrative costs, the optimal capital amounts, structures and optimal VaR limit capital ratio (OVLCR) were obtained through solution process of the optimization problem and formula derivations by maximizing operating profit under VaR solvency restriction. Also, the VaR and solvency condition were simulated as the deposit rate was changed. Compared with capital adequacy ratio (CAR) of the Basel accord, the OBLCR are much higher for E. Sun Bank (19.7041%) and Cathay United Bank (18.0489%) due to their higher optimal capital amounts. This means that they should adopt a conservative strategy by decreasing the proportion of the high risky asset investment or increasing financial capital to avoid business risk. Especially for Chiao Tung Bank (25.9987%), its OBLCR is the highest one to be paid attention. On the other hand, for First Bank (2.3877%), Jih Sun Bank (3.6814%), and Shin Kong Bank (1.1005%), their OBLCR is much lower due to their lower optimal capital amounts. It means that they should adopt an active strategy by increasing the proportion of the high risky asset investment or decreasing financial capital.
19
Peng, Kang-Chu, and 彭康竹. "The Regulation of Basel Capital Adequacy Ratio." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/98840829359094062421.
Full textAbstract:
碩士銘傳大學
財務金融學系碩士在職專班
100
Capital agreement has become international standard regulation by Basel Banking Supervisory Board. BaselⅠ、BaselⅡ、Basel Ⅲ is financial innovation. It is also provide standard for international financial regulation institution. Especially Basel Ⅱ was established, it happened “The Financial Crisis of 2008”, Any other nations have not enough experience and information to use new regulation. Therefore, in September 2010,Basel Ⅲ was be implemented, it occurred many dispute. We implement Basel Agreement, need to know relative regulation、rule and shortcomings and to avoid making mistake. In according to Basel Ⅲ, it would modify bank owned capital ratio and creative more regulation. For example, core capital ratio、leverage ratio、liquidity ratio、correction over depended on outside credit rating, etc. In this study, we all introduce Basel Agreement and explain detail. We also mention probably problem in Taiwan in the future and quickly improve capital risk management. We will wish provide suggestions to banking and supervisory authority in the future.
20
Tzu-Wen, Wang. "Assessing the Capital Adequacy for Financial Holding Companies." 2003. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0009-0112200611334925.
Full text
21
Wang, Tzu-Wen, and 王姿雯. "Assessing the Capital Adequacy for Financial Holding Companies." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/07831731734465325427.
Full textAbstract:
碩士元智大學
財務金融研究所
91
Following the concept of Merton (1977), this thesis studies the capital adequacy for a financial holding company and how to create the maximum default risk premium. Passing through this model, we find not only the highest default risk premium value for a financial holding company but also the interrelation between the subsidiary companies and the financial holding company.
22
TUNG, HSIN-YI, and 童欣儀. "Bank Capital Adequacy and Market Discipline: International Evidence." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/fbg3t4.
Full textAbstract:
碩士逢甲大學
財務金融學系
106
This study analyzes the impact of capital adequacy on market discipline in an international samples of banks. We use a panel data set of banks from 52 countries around 2351 commercial banks during the 2005-2016 period. Dividing the gap between actual bank capital and optimal capital into capital surpluses and capital insufficiency, the sample is also divided into developed and developing countries, and it is examined whether the market discipline intensity is weakened or enhanced when the capital is surpluses or insufficiencies. The results of this study is: First, consider the bank's liquidity risk and credit risk, and the market discipline intensity increases due to the lack of bank capital. Second, market discipline forces in developed countries taking into account liquidity risks and credit risks, market discipline has increased due to bank capital insufficiency and has been weakened due to the bank’s capital adequacy. Third, under the state of considering liquidity risk and credit risk, developing countries weaken the strength of market discipline due to the lack of bank capital. Fourth, the market discipline effect brought by credit risk is more obvious.
23
Chiu, Hung-Yuan, and 邱虹元. "Study on Capital Adequacy and Regulation of Financial Conglomerates." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/37298883560606799096.
Full textAbstract:
碩士國立政治大學
風險管理與保險研究所
93
Under current competitive circumstances, the development of Taiwan’s financial market will be bound to move forward in the direction of cross-sector business. In Taiwan, Legislative Yuan also has passed the “Financial Holding Company Act” in June 2001. With the passage of the act, it not only gives Taiwan’s financial institutions authority to operate cross-sector activities, but also creates a trigger for financial institutions to become financial conglomerates in order to meet the objectives of financial modernization and globalization. Although financial institutions may diversify their business, additional risks may arise. Financial regulatory mechanisms have to adjust their function to ensure the safety and soundness of financial system. Our competent authorities demand financial holding companies calculating their capital adequacy ratio on a consolidated basis, and enact “Regulations Governing the Consolidated Capital Adequacy of A Financial Holding Company.” However, in this regulation, the ratio was calculated in simple aggregated method, and it is doubtful that such ratio is a good index to reflect consolidated capital requirement. Therefore, this thesis not only studies on related publications issued by international supervision organizations, but also introduces EU Financial Conglomerate Directive with regard to some supervisory issues (e.g. capital adequacy, intra-group transactions and risk concentrations etc.) and U.S. framework for financial holding company supervision. After investigating and comparing different models, this study tries to find whether current regulation is appropriate or not, and make some suggestions concerning the supervisory system in order to construct a sound financial market as a reference in our country.
24
hwang, juei, and 黃追. "The study of capital adequacy''s elements---Operational Risk." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/38964290423767406361.
Full textAbstract:
碩士東吳大學
會計學系
90
Abstract The banks in Taiwan are currently in the period of transforming to financial holdings company. Meanwhile, to deal with the great competitions caused by joining WTO, the authority and bank management are both making endeavours to strengthen the constitution of banks. This study focused on the task of operational risk, which was brought up at the report of ‘A Proposal for a New Basel Capital Accord’ published on 16th Jan 2001 by The Basel committee on Banking Regulations and Supervisory Practices of Bank for International Settlement. Hope my points of view are able to make contributions to the subject of strengthen banking constitution. After studying of the above mentioned proposal（The Proposal）and various comments, I have reached the following conclusions: 1.For operational risk quantification, The Proposal has provided a research and development trend to follow. 2.As the banking system, supervisory framework and conception are variety in each individual country, it is expected to have continually discussion and negotiation to achieve mutual understanding and practice The Proposal in a fair basis. 3.The operational risk quantification decides a bank’s capital charges. However, it is affected by operational risk identification and database. Therefore, both authority and banks should co-operate closely to construct risk management research e.g. Models establishing and data collection e.g. database build up to make better efficient on risk management timely. 4.To improve the mechanism of operational risk management and perform related regulation are important and as well as imperative. Only thoroughly perform of the management mechanism makes achievement to operational risk quantification. 5.In order to improve risk management , It is important to keep a better correlation between authority and banks to assist business reciprocate, technique promoting and experience sharing. 6.In practices, risk management is dynamic states. In considering cost-benefit, to adopt the developed measurement models of top multi-national banking group could be one of the efficient solutions. Key words: Operational Risk、Capital Adequacy Ratio
25
Chan, Hui-Wen, and 詹惠雯. "Capital Adequacy and the Performance of Financial Holding Company." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/27066818052693609371.
Full textAbstract:
碩士國立臺北大學
會計學系
93
This thesis mainly focuses on the performance of financial holding companies (FHC) and its relationship with capital adequacy. In addition, it further determines the factors that influence the performance of FHC. FHC has been through three and a half years since its establishment. However, its function of raising profitability, reducing cost and generating the expected synergy has not been commonly confirmed. This thesis will concentrate on whether the improvement of the FHC's performance exhibits. Its operational characteristics include cross-market operations, which provide consumer with multi-product options and constant merger and acquisition that enlarge the capital scale. Furthermore, each FHC's main formation is not homogeneous, this research intends to study the factors that affect the performance of the FHC including, capital adequacy ratio, capital scale, number of the merged company and its main formation. According to the result of this empirical study, in terms of the T test, the performance of all the FHC as an integral has not improved. On the contrary, some individual financial holding companies have demonstrated good performance, most of the main formations of these FHC belong to the banking industry. In terms of regression model, the study discovers that the capital adequacy ratio, number of the merged company and main formation are positively correlated with the performance, based on the total sample. In addition, FHC's capital adequacy and performance are negatively correlated, based on the 2004 sample.
26
Lu, Kuan-Ying, and 呂冠瑩. "Capital Adequacy Regulation in a Cash-in-Advance Economy." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/6kz2cs.
Full textAbstract:
碩士國立臺灣大學
經濟學研究所
105
With more intense attention regarding global financial system stability, this paper develops a general equilibrium model through a cash-in-advance constraint to study the macroeconomic effects of a capital adequacy regulation. We find that increasing the capital adequacy ratio may not necessarily deteriorate social welfare and capital accumulation owing to banks'' ability to issue stocks. Furthermore, a reserve monetary policy may not be effective in simulating economic activities. Our numerical analysis simulates the U.S. economy, deriving a hump-shaped relationship between the capital standard and both aggregate consumption and capital accumulation. Another critical simulation result is that a higher currency growth rate reduces consumption and investment owing to the contraction of the loan-deposit market. Moreover, as a result of the capital regulation buffer provided by lower loan volume, an increase in the currency growth rate enhances the optimal capital adequacy ratios. Finally, since the bank equity standard impinges the bank lending channel, the power of monetary policies is weakened.
27
Yan-Chi, Chen. "Integrated Risk Management and Capital Adequacy in Financial Holding Company." 2004. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-2007200401565200.
Full text
28
Lin, Bih-Jiuan, and 林璧娟. "THE STUDY OF CAPITAL ADEQUACY & MANAGEMENT PERFORMANCE IN BANKS." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/13373534628718880590.
Full textAbstract:
碩士銘傳大學
金融研究所碩士在職專班
89
In recent years, financial innovations were widely adopted by most countries to promote financial liberalization and internationalization. Therefore, banks under a strong competition and a decreasing profit have more risks than ever. For supervising banking risks, governments have a regulation of banking capital control to make a rule of minimum capital-adequacy ratio based on “Basle Capital Accord”, which was established by the Bank of International Settlements in 1988. Although the accord has been amended many times, it is still widely accepted by most countries. Our banking law states a minimum capital-adequacy ratio of 8%; if banks do not reach the standard, they will be limited to allocate the earnings. Generally, bankers think that an increase in capital-adequacy ratio could cause a decrease in management performance. Therefore, how to maximize management performance under the regulation in the capital- adequacy ratio is an important issue for bankers. In my study, focusing on the difference between the condition before and that after adopting the new capital-adequacy ratio, 1996 revision to know the correlation between the capital-adequacy ratio and the management performance in banks has the results as follows: 1. Before adopting the new capital-adequacy ratio, 1996 revision (94’-97’): There are both negatively correlated with a strong support between the capital-adequacy ratio (BIS) and the rate of return on equities (ROE) and between BIS and the earning per share (EPS). In other words, an increase or a decrease of BIS leads ROE and EPS into a decrease or an increase. However, BIS and the rate of return on assets (ROA) are uncorrelated with inconspicuousness. 2. After adopting the new capital-adequacy ratio, 1996 revision (98’-99’): There are all uncorrelated with inconspicuousness between BIS and ROE, between BIS and ROA, and between BIS and EPS. 3. The difference between the condition before and that after adopting the new capital- adequacy ratio, 1996 revision: The rules in the capital-adequacy ratio were changed a lot in the new 1996 revision, e.g. adding the long-term subordinated debt, the tierⅢ capital and capital restrictions to the eligible capital, adding the market risk to the risk-weighted assets, and preventing that the capital supports double risks from happening to state that the「investment of article 74 of banking law」and the「reserve for specific loss」must be deducted from the eligible capital; in one word, the above mentioned changes in the rules have made BIS of banks decline on a large scale and created a big strike in banks. Besides, we know that it is a reason for the decrease of 1.5% to 2.5% in BIS of banks that the economic sluggish has led the banking profits into decreasing 50% since 1998.
29
Wu, Chiou-Huey, and 吳秋慧. "The Study on Capital Adequacy and Risk Management in Banking." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/98465481299038487679.
Full textAbstract:
碩士銘傳大學
金融研究所碩士在職專班
89
The study analyzes the risk and capital adequacy management in local banking using VaR and by referring to Basel rulings, and focuses on the availability of local banking risk management. The purposes of the study focus on comparing the risk management and the monitoring mechanism between local and foreign banks. The conclusions of the study are as followed: (1)Supporting from the top management is essential for the risk mechanism, and (2)Providing Global VaR and EaR summary is essential for the local banks.
30
Chen, Yu-Han, and 陳雨涵. "A Study of Commercial Bank’s Capital Adequacy and Operating Performance." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/m5889y.
Full text
31
Li, Fu Lon, and 李福隆. "Risk Management of Securities Firms and Risk-based Capital Adequacy." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/32701772265979169697.
Full text
32
Yan-Chi, Chen, and 陳燕琪. "Integrated Risk Management and Capital Adequacy in Financial Holding Company." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/74958017280690257759.
Full textAbstract:
碩士國立臺灣大學
財務金融學研究所
92
The current financial trend is toward the cross-sectoral operation and establishment of financial holding companies; two of the achievements are the foundation of universal banks in Germany and the creation of financial holding companies in the United States of America. Similarly, the Financial Holding Company Act was eventually promulgated in Taiwan on July 9 2001, following the global tendency toward financial integration, so as to remove the restrictions on the cross-sectoral operation among banks, securities firms and insurance companies. By the end of 2003, there were 14 financial holding companies in our country. Notwithstanding, the core business and risk profiles of the three major types of financial institutions vary, and affiliating these three types of financial institutions with a financial holding company brings about new risks. As a result, the establishment of a comprehensive and integrated risk management mechanism becomes the most important issue following the foundation of a financial holding company. The first step of the risk management process is to identify risks. Focusing on domestic financial environments, not only do the core business and risk profiles differ between domestic and foreign financial institutions, but also the magnitude of the effect of the risk differs between domestic and foreign financial institutions. The effect of “risk concentrations”, “reputation risk”, “spillover risk”, “supervision risk” and “double gearing” is intensified in domestic financial holding companies. On the other hand, the problem from conflicts of interest is likely to be solved, after the merger between subsidiaries within the same industry as well as the restructuring across subsidiaries from the perspective of customers. The second step of the risk management process is risk measurement, which is essential to monitor and manage risk. “Economic Capital” is widely utilized by contemporary practitioners, supervisors and researchers in the field of finance. For example, the majority of countries around the world use the Basel Capital Accord proposed by the Basel Committee to measure economic capital against risks. Rules governing capital adequacy in financial holding companies in Taiwan also use the New Basel Capital Accord Consultative Documents to determine regulatory capital, in the hope of aggrandizing financial stability and further encouraging financial holding companies to establish integrated risk management processes as soon as possible. In accordance with the character of domestic financial environments, conflicts and barriers arise from implementing the guidelines of the New Basel Capital Accord without adjustments to supervise the capital adequacy of domestic financial holding companies. In the last section of this thesis, these barriers, as well as suggestions, will be described in the hope of contributing to future amendments to existing regulations.
33
Tseng, Chi-Feng, and 曾麒峰. "A Study on Impact Factors of the Banking Capital Adequacy." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/46583111728852969245.
Full textAbstract:
碩士國立高雄第一科技大學
風險管理與保險研究所
102
Since August 2007, the U.S. subprime mortgage collapse of Lehman Brothers, international bonds and other crisis detonated after the financial crisi, quickly spreading to the rest of the world, triggered a global financial crisis. After the financial crisis, countries and international organizations realized that the&;quot; too big to fail &;quot;banks in the financial system and the negative impact of shocks. Basel Committee on Banking Supervision in response to the financial crisis, released in December 2010 capital and liquidity reform content (Basel Ⅲ), in order to improve the bank&;apos;&;apos;s soundness and resilience of the financial system. Which strengthen the soundness of individual banks careful supervision of individual regulations, such as improving the quality and level of capital to expand the coverage of risky assets, the addition of a minimum leverage ratio and liquidity standards update; As for the overall stability of the financial system to ensure that the overall prudential supervision policy, for example, set along the cyclical problem of capital protection buffer (capital conservation buffer) and anti-cyclical capital buffer (countercyclical capital buffer), and for systemic risk and interconnectedness provide additional capital gain or severely restrict large exposure, etc. For countries is still relatively new issue, and the impact of the global banking system is not small, the implementation of this new financial supervisory measures in fact face no small challenge. Therefore, banks should pay attention to the indicators, with the changes in the overall economy and the financial side surface of the adjustment operation strategy, according to an internal review to improve the stipulated capital adequacy management policies to ensure a sound capital structure and reduce business risk.
34
Chen, Wen-Shine, and 陳文信. "The Effect of Capital Adequacy Ratios on Domestic Banks Efficiency." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/43997707491359873911.
Full textAbstract:
碩士國立中興大學
應用經濟學系所
102
To strengthen the banking system, capital adequacy ratio is an important tool for the FSC and the central bank's. However, What does the act of strengthening capital have an influence on banks' efficiency ? The study collected 2008Q1 to 2012Q4, a total of 20 quarters and 27 domestic banks as a sample, calculated using stochastic frontier model technical inefficiency value, and then discuss technical inefficiency empirical model to explore the factors that influence.The results of the study：(1) capital adequacy ratio for technical inefficiency has a significant positive correlation, representing the early procure capital adequacy ratio lower bank efficiency; (2) with the increase in the early phases, the capital adequacy ratio greater impact; (3) the scale and technical inefficiency negatively correlated; NPL ratio is positively correlated; liquidity reserve ratio and return on assets are not significantly related. The study pointed out that the capital adequacy ratio of the bank to reduce the efficiency of the performance, for the sake of competitiveness of its banks, and must remain healthy. Thus, appropriate adjustments to its capital adequacy ratio is an important issue.
35
Yuh, Jan Shiou, and 詹秀玉. "The Influence of Capital Adequacy Rate-The Banks in Taiwan." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/80898410719896268265.
Full textAbstract:
碩士輔仁大學
金融研究所
93
The capital adequacy means the capital that banks needed to hold in order to maintain operating soundly. The more capital a bank hold, the more protection the obligees has, on the contrary, making the usage of capital less efficiency and limiting the profit gain. The capital adequacy ratio (CAR) was made for monitoring the business risks of the financial institutions and became one of the most important proportions in the financial check items by the authorities. Our government has already announced to adopt CAR since 1998. So, many studies had discussed whether the capital regulation by using CAR could reduce the business risks of banks or not. Some empirical results showed it did recuce the risks, but some didn’t. This report collected the documents of 43 local banks in Taiwan from 2001 to 2004 for investigating the influential factors of CAR on Taiwan’s banks. The empirical result showed that the non-performing loans、provision for loan losses policy、business scale、the efficiency of assets operating、profitability、strategy of operating、type of bank controlled (the government have the election on the bank or not)、the government policies and economic cycle all can influence the capital adequacy rate. Among the empirical result, we found that the growth rate of loans and investment、off balance sheet items, which related to the usage of assets were negatively related to CAR. Thus, we dare to make an assumption-those aggressive operating banks would rather pursue profitability than increaseing capital adequacy; that is to say, they will sacrifice risk management in order to earn more money. According to the Key Performance Indicator (KPI) which the Bureau of Monetary Affairs, Financial Supervisory Commission point last year (2004), we classified 6 local banks as more competitive banks and 3 were less competitive banks.
36
Hsu, Yi-Ching, and 徐億靜. "Analysis of Optimal Capital Adequacy Ratios of Taiwan’s Commercial Banks." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/52049715146594226300.
Full textAbstract:
碩士國立高雄大學
經營管理研究所
99
The Bank of International Settlements (1999) had made Basel II accord of capital adequacy ratio (BIS ratio) not to be less than 8% in order to reduce risk. Financial industries were seriously struck in financial crisis in 2008. Basel III strengthen capital requirement in response to this financial crisis which was come up with in 2010. Basel III set a more strict control than ever. It has not changed the total minimum capital requirement, called the BIS ratio, under Basel II, which will reach CAR 10.5% at 2019. Is the current 8% of BIS ratio too low to control banks risks? Basel III wants to set the BIS ratio to be 10.5% in 2019. Is it appropriate to the bank industry? In other words, is it too strict to influence banks’ operations significantly? Are they reasonable? Furthermore, Basel III wants to set the BIS ratio to be 10.5% in 2019. Is it appropriate to the bank industry? This paper uses the two-stage DEA approach, proposed by Chen et al. (2010), to analyze the optimal BIS ratio of Taiwan commercial banks. The data set, obtained from TEJ, consists of 31 banks for the period 2007-2009. Empirical results show that: (1) the optimal BIS ratio only 6.5% of banks less than 8%；(2) Average optimal BIS ratio of financial holding companies are lower than non-financial holding companies；Average optimal BIS ratio of old banks are lower than new banks；(3) In addition, if banks set their BIS ratio to be the optimal levels, Basel III of BIS ratio 10.5% about 11.8% of banks will violate this requirement.
37
Wan, Chih-Chieh, and 萬智傑. "Bankruptcy Prediction of SMEs, Credit Rating and the BIS Capital Adequacy." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/63308491796450355739.
Full textAbstract:
碩士東吳大學
企業管理學系
96
Using a sample containing financial and nonfinancial data of 1500 Taiwan small and medium sized enterprises (SMEs), we first employ the Logistic regression to develop the bankruptcy prediction model for SMEs. Then we implement the credit rating for the SMEs and compare the bank capital requirements of the portfolio among the alternative approaches under the Basel II. The empirical results show that our financial predictors include cash/total assets, inventory/net sales, turnovers of account receivables, average collection period, rate of gross operating income and the non- financial predictors include number of correspondent bank, age of firm, number of guarantee, utilization rate of credit line. Different from the large firms, the credit rating of Taiwan SMEs exhibits a bi-modal distribution. If classify the entire SMEs portfolio as retail, the capital charges are lower than classify as corporate. The capital charged by the Internal Rating Based (IRB) approach is not necessarily less than the standardized approach. The IRB approach can provide capital saving relative to the standardized approach only when the SMEs portfolio classified as retail.
38
Shih, Ying-liang, and 施盈良. "An Empirical Study of Capital Adequacy and Management Efficiency for Banks." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/95107618548887184049.
Full textAbstract:
碩士元智大學
管理研究所
89
ABSTRACT This study first evaluates the operation environment of banking industry,then probes into ,under the change of working capital ,the related financial ratio variation of capital solvency and financial management efficiency.At last ,take financial statements of forty-one domestic banks as samples to do financial ratio analysis which focused on each main indicator in terms of liquidity,capital adequacy,asset quality, earning,and efficiency.Its contents are part of the item of "capital management evaluation” in the “banking early-warning system indicator”. The results of this study are as follows： （1） Sample banks adopt the measure of increasing allowance for bad debts to adjust risk-based capital ratio ,it leads to cost of bad debts,the inefficiency of capital management ,and the decrease of earning. （2） Capital adequacy poses extremely apparent impacts on capital management efficiency and risky behavior.On the contrary,the banks with inefficiency in capital management,which has reach capital inadequacy ,invests in risky asset porfolios ,it will increase bankruptcy risk . （3）With the view of financial leverage operation ,the overdue loan ratio has an utmost close linkage with asset quality, besides;asset and liability management、capital adequacy and external environments have linkage with derivative concepts from M＆M model.
39
LEE, CHING-LIN, and 李景玲. "A Study on the Relationship Between Capital Adequacy and Bank Risk." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/12357425136718984875.
Full textAbstract:
碩士國立交通大學
管理科學研究所
84
Because of the innovation of financial markets and several deregulations,the safety of banks is getting more and more important.There are different issues in different theory.State Preference Theory and Option Pricing Modelimply that capital regulation could reduce bank risk-taking behavior.However, Mean-Variance claims regulation will cause the increase of the riskof bank failure. This study concerns the effect of risk-based capitalregulation,bank''s adjustment of capital and risk. The data used in this study are collected from local commercial banksduring 1985 to 1995. We use traditional capital ratio to evaluate capitaladequacy consistently,and two point of views to evaluate bank risk,considering the influence of risk-based capital regulation on bank defaultrisk and relevant beta risk,in terms of regulator and investor, respectively.The final conclusions are as following: (1)After the declaration of capitalregulation in 1989,bank default risk tends to decline. (2)We could observe anegative cross-sectional correlation from 1980 to 1993, significant positivecorrelation from 1980 to 1992,which seems to be inconsistent. (3)In theinteractive analysis, the increase of capital adequacy will lead thedecrease of bank risk,which matches State Preference Theory and OptionPricing Model. On the contrary, the increase of bank risk won''t lead thedecrease of capital adequacy adjusted by bank. So Bank behavior won''t bedominated by bankruptcy costs,agency costs and regulation costs. (4)Theadjustment of bank capital adequacy is determined by previous capital level,bank size, organization differences, liquidity, profitability and macrofactors.The adjustment of bank risk is determined by previous risk level,organization differences and macro factors.
40
Yang, Chi-Ming, and 楊騏銘. "A Research of Market Conditions and the Bank's Capital Adequacy Ratio." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/92782740636614021676.
Full textAbstract:
碩士嶺東科技大學
財務金融研究所
101
This study wants to explore the relation between the returns of bank and the fundamental messages that include the monthly growth rate of loan, the monthly change rate of loan and the monthly growth rate of revenue in the different market conditions and capital adequacy ratios. Our sample consists of 10 bank listed or in OTC during May 2005 to June 2012. We consider some influencing factors included the BaselⅡ, inter-bank rate, financial crisis and European debt crisis, Economic Cooperation Framework Agreement(ECFA), and separate our empirical period into three sections: May 2005 to December 2006, January 2007 to December 2008 and January 2009 to June 2012. We choose the Pearson correlation coefficient and Grange causality as our research method. The empirical results are: Firstly, during the subprime crisis, there exists the significant closely relation between the stock returns of banks with high capital adequacy ratio and their loaning activities. Secondly, the return of the extensive government share banks and Group enterprise banks have interaction effect with their loaning activities after 2007. Thirdly, with the classification of the ratio of long and short investments, the return of banks is still closely with their loaning activities. Fourthly, based on the Grange causality test, the change of the capital adequacy ratio goes ahead of the monthly change rate of loan.
41
Chien, An Fen, and 簡安棻. "A Study on the relationship Between Capital Adequacy and Bank Risk." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/71341227567399377322.
Full textAbstract:
碩士國立雲林科技大學
財務金融系
90
e Study on the Relationship Between Capital Adequacy and Bank Risk Student：An Fen Chien Advisors： Dr. Roung Jen Wu Graduate Institute of Finance National Yunlin University of Science & Technology ABSTRACT Recently Risk-Based Capital Ratio (RBCR) has become an important issue for banking regulations. Its main goal is to decrease banks’ risk through limiting the amount of risky assets owned by banks under the requirement of capital adequacy ratio. The main purpose of this study is to find out the effect of RBCR on bank’s risk behavior in Taiwan. Following recent main stream research on this topic, we employ a simultaneous equation to study the relationship between the RBCR and banks’ risk behavior. Empirical result is that the RBCR has a decreasing effect on banks’ risk in Taiwan. However, evidence shows that the value of the adequacy ratio for most of banks in Taiwan has a decreasing trend. On the other side, new banks invest more activities in risky assets than old banks. Including OBS (Off-Balance-Sheet) variable as a control variable, OBS increases risky asset ratio of banks significantly, but it doesn’t affect the beta risk of the banks. In addition, evidence finds that the possibilities of banks’ assets covariance and existence of reciprocal offset among banks’ different risks may have important factors under considering the effect of the RBCR on banks’ behavior.
42
CHEN, CHUN-CHI, and 陳峻吉. "Capital Adequacy Ratio and Financial Performance of Banks under BASEL I.II.III." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/75891238236034725647.
Full textAbstract:
碩士國立中正大學
國際經濟研究所
103
It appears that there are too many financial institutions with small business scales in the trend of financial globalization in recent years. It becomes an important issue to examine financial indicators to control the risk and asset quality of Taiwan’s banks according to a three-stage adjustment of capital adequacy ratio in Basel. This study adopts an Ordinary Least Squares model (OLS) to evaluate the impact of capital adequacy ratio in three-stage Basel agreements on the financial performance of 25 banks in Taiwan in the years of 1988 to 2013. Empirically compare the impact of the three-stage capital adequacy rate in Basel on banks’ profitability, over lending, and market value of assets. The results show shareholders' equity was reduced significantly in BASEL III, however, returns on assets were raised in BASEL III. The results clearly verify that in accordance with the requirement of higher capital adequacy ratio can reduce banks’ risk and enhance their overall average returns on assets (ROA). But increasing banks’ capital leads to the reduction in returns on equity (ROE). More implications of BASEL Accords on banks’ financial performance deserve future studies.
43
Huang, Sheng-yi, and 黃盛毅. "The capital adequacy of Commercial bank and performance-The Correlation research." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/31292646313888756829.
Full textAbstract:
碩士國立臺南大學
科技管理碩士班
101
To reduce the bank''s operational risk, the BIS Basel Committee on Banking Supervision and Administration Commission (Basel Committee on Banking Supervision) proposed restrictions on capital adequacy ratio, which means banks are required to retain a portion of the assets, retained shall not be used for loaning and investing. However, in this case, the bank is reducing its profit opportunities, whether it can improve capital adequacy bank performance, this issue needs through research and analysis. The object of this thesis are commercial banks, discuss capital adequacy management and operational performance and the correlation between earnings performance. Through structural equation model, we can explore whether through capital adequacy management can directly affect the profitability performance, or affect the operational performance first, and then affect profit performance. From the results, capital adequacy and profitability performance management has a positive impact on the straightforward relationship, and capital adequacy management will positively affect operating performance, thereby affecting the profitability performance. Proved capital adequacy management can effectively enhance the profitability and operational performance.
44
Ru-Chen, Hsiao, and 蕭如媜. "A Study on the Capital Adequacy of Property Insurance Industry in Taiwan - Using Risk-Based Capital Approach." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/57413535102250171999.
Full textAbstract:
碩士逢甲大學
保險學系
88
The major purpose of insurance supervision are going to ehance insurance system soundly and to keep insuers'' solvency on maintenance. In order to perform these purposes, we have to set up the criterion of evaluating of insurer''s solvency. There are some measurements of solvency margin in European Union. The National Association of Insurance Commissioners in the United States has set up early warning system for solvency. This study will evaluate the basic principles for capital adequacy of property insurance,set up a theoretical model of Risk-Based Capital (RBC) system, conduct an empirical study of Taiwan''s property insurance industry, and to find the performance of capital adequacy.
45
Lin, Yu-lu, and 林育如. "The Discretionary Accounting and Capital Adequacy of the Banking Industry in Taiwan." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/19767150039631570426.
Full textAbstract:
碩士國立雲林科技大學
財務金融系碩士班
92
The main purpose of this study explores whether capital adequacy ratio has an effect on the use of discretionary accounting, especially discretionary gains on securities and provisions for loan loss, in the Taiwan’s banking industry. We use a simultaneous-equation model including four equations, which respectively explain what factors affect the growth rate of loan, gains on securities, provisions for loan loss , and dividends. Data is from both balance sheet and income statement of thirty-one banks from the period 1993 to 2002. The following empirical results are found: (1) During the whole period 1993-2002, under 95% confidence level, the banks’ capital adequacy ratio significantly has an effect on discretionary gains on securities and then discretionary provisions for loan loss, thus affecting the growth rate of loan and dividends. (2) During 1993-1997(i.e. before Asian financial crisis), as stated in (1), the banks’ capital adequacy ratio has a same impact process on gains on securities, provisions for loan loss, the growth rate of loan and dividends. But during 1997-2002(i.e. after Asian financial crisis), the banks’ capital adequacy ratio significantly has a direct effect on discretionary provisions for loan loss and then affects the growth rate of loan and dividends. Both empirical results indicate that Taiwan’s banks have significantly used discretionary gains on securities and provisions for loan loss during 1993-2002 to increase their capital adequacy ratio. However before Asian financial crisis, both discretionary gains on securities and provisions for loan loss are significantly employed. After Asian financial crisis, only discretionary provisions for loan loss is significantly employed to increase their capital adequacy ratio.
46
Lin, Yi-ling, and 林逸苓. "Measuring Insolvency Risk and Capital Adequacy for Insurers- The Case of AIG." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/f6jf4k.
Full textAbstract:
碩士靜宜大學
財務金融研究所
97
This paper adopts the option-based framework and uses market-based data to measure the insolvency risk, risk-based premium, risk-based capital and needed capital infusion for insurers. The model uses the bailout put to measure the guaranty value and required capital standards in an environment of stochastic assets and liabilities. The paper first applies equity price data and equity as a call option relation to estimate the critical values of assets and liabilities and their return volatilities, and then uses these estimates as inputs to calculate the fairly-priced guaranty premium and optimal capital requirement. This study uses American International Group Inc. (AIG) as an example trough out the paper to demonstrate the estimation procedures and discuss some possible empirical implications.
47
Lung-Jie, Chen, and 陳瀧傑. "Capital Adequacy Ratio and Risk-Taking Behavior under Basel Regulation in Banking." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/47098321859374742447.
Full textAbstract:
碩士輔仁大學
金融研究所
97
This thesis applies the financial data of 21 developed countries and 21 emerging countries, to examine that how the banks adjust their capital adequacy and risk taking ability under capital regulation. In addition, we use simultaneous equations to examine if the banks would have moral hazard problems and if the capital buffer theory applies when they comply with the capital regulation. Furthermore, by comparing among the countries, discuss the way how the banks of developed countries and emerging countries adjust their capital adequacy and risk taking ability, and we focus on comparing among the Basel members and the non-Basel members, to examine if the capital regulation has any impact on the behaviors of the banks’ risk taking activities. We use simultaneous-equation model, and two-step and three-step MSE to examine the results, hoping to get the more efficient estimates. In our empirical results, we found that how the banks responds to the capital regulation would depend on the financial surroundings and how thorough the capital regulation has been enforced. In those countries where economic situation is mature enough and capital regulation is enforced well enough, capital regulation can work more effectively. We consider that developed countries have more strict financial laws and accounting systems, so the capital regulation can be well enforced. Besides, those countries where Basel Accord have been enforced more earlier are considered to be the model of otherwise countries, under this pressure, the capital regulation would show great effect.
48
Tao, Chang-Chun, and 陶昌群. "Efficiency Evaluation with Capital Adequacy Consideration for Specialized Securities Brokers in Taiwan." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/04404336503824696823.
Full textAbstract:
碩士國立臺灣大學
農業經濟學研究所
101
With the securities industry in Taiwan being developed and transformed over the last three decades, the number of institutes of securities brokers has decreased from 381 in the 1980s down to 81 in 2010, many of which were out-competed or merged due to various reasons. Therefore, how to improve the efficiency of an institute through management under the competitive environment becomes an essential issue. This study aimed to apply data envelopment analysis to create a model for management efficiency. Drawing data from Taiwan Specialized Securities Brokers Database between 2008 and 2010, the study used number of employees, total asset, and equity capital as inputs and operating revenue as the output to analyze and evaluate each securities broker’s efficiency. In addition, capital adequacy requirements set by the law were also taken into account to examine the impact they may have on efficiency performance. When input was further divided into variable input and fixed input, the results of the study showed that equity capital reflects securities broker’s efficiency more truly when it was considered as a variable input. The official capital adequacy ratio is required to be over 150%, therefore with the risk-equivalent level, securities brokers need to input sufficient equity capital. However, if the broker input excessive equity capital it would result in a congested input which decreases its efficiency. The study has found that 79.41% of the securities brokers in Taiwan have faced a congested input when their equity capitals were considered as variable inputs, while a higher percentage of 90.19% when they were considered as fixed inputs. The result indicated that securities brokers in Taiwan have faced severe input congestions. Finally, with the efficiency dataset the study was able to further analyze the variables of different securities institutes to determine the impact each one has on efficiency. As a conclusion, a number of variables such as the amount of employees, net value per share, total asset, and the amount of branch companies were proven to have a significant impact on a securities institute’s efficiency.
49
Ma, Yu-Lan, and 馬玉蘭. "Security Firm’s Capital Adequacy Regulation and Analysis－For Security Firms in Taiwan." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/20938464177367730629.
Full textAbstract:
碩士國立交通大學
經營管理研究所
87
Because of the innovation and deregulation of financial markets, the safety of security firm is getting more and more important. The volatility of interest rate、exchange rate and stock index varies and fluctuates. The risky causes of financial markets increase. All the security firms are highly exposed. Therefore, the risk management of the brokers is more important. Capital Adequacy is one of the Surveillance System for Financial Institution. Because of the announcement of the Capital Adequacy for security firm by SFC from 1998, the study estimates the effect of risk-based capital regulation, and their impact on the risk adjustment of the security firm. The empirical investigation is carried out by using data 17 domestic security firms from 1995 to 1998. We design a two-field test to examine the significance or implication on security firms’ portfolio, and their bankruptcy risk. The empirical results suggest that (1) the security firms did respond to the new capital regulation by reshuffling their portfolios. The security firm tended to raise their capital levels or decrease their growth of liability in response to the promulgation of the new Act rather than reshuffling their asset portfolios toward less risky assets or less their asset growth. (2) the risk of security firms’ bankruptcy does increase.
50
Shie, Ying-Chang, and 謝穎昌. "The Impact of Bank Provision on Capital Adequacy Rate for Commercial Banks." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/98115749121572136874.
Full textAbstract:
碩士輔仁大學
會計學系碩士班
101
In order to meet the BaselⅡcapital adequacy ratio and increase the ability to lend ,commercial banks often use (a) loan loss provisions and write-offs; (2) Issue of ordinary shares; (3) disposal of securities (4) operation of derivative financial instruments (5) operating loan transaction time and other methods to adjust their own BIS. The empirical result showed that the bank with lower capital adequacy ratio will use LLR to manipulate the capital adequacy ratio. Especially when LLR is higher than1.25% of risk-weighted assets. The study also investigate the bank adjusting LLR when they face recession or losses. The empirical results confirm that banks in the face of recession will reduce LLR, in order to maintain earnings volatility; banks face losses, will choose to set aside less allowance for doubtful accounts to stabilize the discretionary surplus.