2008年全球金融海嘯的爆發促使了「巴塞爾資本協定Ⅲ」的問世，其中有關資本、財務槓桿及流動標準的新規範，無非是希望藉由促進銀行財務結構及資金來源之穩定性，進一步強化銀行承擔風險的能力，而本國銀行業在面臨低利差、低市占率及低獲利的困境下，近年來也積極佈局海外且極力發展非傳統存放款業務，期望能提升銀行之獲利能力，因此，本研究將透過聯立方程式模型分析銀行四大特徵因子：規模、資本、資金來源及銀行業務其對報酬及風險之影響，藉此探討銀行經營策略及商業模式的轉變是否具有可行性。
實證結果發現，銀行規模對獲利能力及破產風險呈正向影響，對信用風險呈負向影響，顯示銀行規模的擴張有助於提升獲利表現及降低信用風險，但破產可能性提升；而權益比率對獲利能力呈正向影響，對破產風險及信用風險呈負向影響，表示資本比率的提升對於銀行之獲利表現具有正面效果且使銀行風險降低；存款資金比率對獲利能力、破產風險及信用風險皆呈負向影響，反映以零售存款作為主要資金來源的銀行可使風險降低，但獲利表現也較差；至於非利息收入比重對獲利能力及信用風險呈負向影響，對破產風險呈正向影響，顯示當銀行收益倚賴非傳統存放款業務的程度愈高，信用風險降低，但可能造成銀行獲利能力下降及破產可能性提升。因此，建議當銀行積極拓展規模時更應重視風險控管之重要性，並鼓勵銀行提高資本水準及追求長期穩定之資金結構以落實穩健經營，在銀行業務方面則可以利用自身優勢與異業合作，結合新興科技發展創新金融服務，以因應客戶需求並藉此提升競爭力及經營效率。

The outbreak of the global financial tsunami in 2008 led to the advent of “The Basel Capital Accord III”. Hoping through the introduction of new norms on capital, financial leverage and liquidity standards to improve bank’s financial structure and funding stability, strengthens the capability of bearing risk. Also, in the face of low interest rates, low market share and low profitability, domestic banking industry actively expand overseas and strongly develop non-traditional banking activities in recent years, hoping to improve banks profitability. Therefore, the study will analyze the four major bank characteristics: size, capital, funding and activity their impact on returns and risk by simultaneous equations model, and to explore whether the change of bank's business strategy and business model is feasible.
The empirical results show that bank size has a positive impact on profitability and insolvency risk, and has a negative impact on credit risk. It shows that the expansion of bank size helps to improve profitability and reduce credit risk, but the possibility of insolvency increases. The equity ratio has a positive impact on profitability and has a negative impact on insolvency risk and credit risk, indicating that the increase in the capital ratio improves bank's profit performance and reduces risk. The deposit funding ratio has a negative influence on profitability, insolvency risk and credit risk, reflecting using retail deposit as main source of funds can reduce risk, but the profit performance is also poor. As for noninterest income share, it has a negative influence on profitability and credit risk, and has a positive influence on insolvency risk. It indicates that the higher degree of bank income relies on non-traditional banking activities, the lower the credit risk, but may result in a decline in bank profitability and an increase in insolvency likelihood. Therefore, it is suggested that when banks actively expand their scale, they should pay more attention to the importance of risk control. Also, encouraging banks to raise capital levels and pursue long term stable capital structure to implement sound operation. Finally, so as to meet customer needs and enhance the competitiveness and operational efficiency of banks, suggesting banks should take advantage of own specialties and cooperate with different industries, and combine new technology to develop innovative financial services.

論文審定書 i
誌謝辭 ii
摘 要 iii
Abstract iv
目 錄 vi
圖 次 vii
表 次 viii
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 5
第三節 研究架構與流程 6
第二章 文獻探討 8
第一節 規模與銀行表現之關聯性 8
第二節 資本與銀行表現之關聯性 8
第三節 資金來源與銀行表現之關聯性 9
第四節 非傳統銀行業務與銀行表現之關聯性 10
第五節 銀行特徵因子對報酬及風險的影響 10
第三章 研究方法 12
第一節 研究範圍 12
第二節 實證模型設定 12
第三節 估計方法 23
第四章 實證結果與分析 24
第一節 敘述統計 24
第二節 實證結果 34
第三節 比較靜態分析 40
第五章 結論 46
參考文獻 49

一、 中文部分
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