Title page for etd-0504118-020710


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URN etd-0504118-020710
Author Yu-shan LIU
Author's Email Address No Public.
Statistics This thesis had been viewed 5341 times. Download 96 times.
Department Finance
Year 2017
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title The Impacts of Net Stable Funding Ratio on Banks’ CAMEL Rating:A Case Study of Taiwan
Date of Defense 2017-06-03
Page Count 63
Keyword
  • CAMEL Rating System
  • Simultaneous Equations Model
  • Funding risk
  • Net Stable Funding ratio
  • Basel Ⅲ
  • Abstract The Basel Committee on Banking Supervision(BCBS) proposed Basel Ⅲ in 2010, adding a new standard of Net Stable Funding ratio(NSFR) to reduce funding risk over a longer time horizon. The central bank and the financial supervisory commission of Taiwan will also implement the measure by 1 January 2018. Based on the CAMEL Rating System, this study not only explores the potential impact of the NSFR on the capital adequacy, asset quality, management and earnings of commercial banks in Taiwan but also takes other factors that may affect the operation of banks into consideration to do a more comprehensive analysis by simultaneous equations model consisting of four empirical equations. The results show that the higher NSFR, the lower capital adequacy, asset quality, managerial efficiency and earnings. Although the NSFR can reduce long-term liquidity risk, it will raise the risk of other levels of banks at the same time. Besides, higher impaired loans to gross loans ratio will have negative impacts on bank’s capital adequacy, asset quality and earnings while both of larger size and higher leading index will have positive impacts on managerial efficiency and earnings. Finally, for the possible negative impacts of the NSFR, I recommend Taiwan’s financial authorities the following steps: (i) monitor the minimum capital requirements strictly, (ii) improve approval standards of loans, (iii) adjust the minimum requirement of the NSFR, and (iv) adjust the weight which are assigned to factors of the NSFR based on the characteristic of the relative stability of the individual bank’s funding sources.
    Advisory Committee
  • Chin-ming Chen - chair
  • Chau-jung Kuo - co-chair
  • Chang-chiang Chin - advisor
  • Files
  • etd-0504118-020710.pdf
  • indicate access worldwide
    Date of Submission 2018-06-04

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