| Summary: | 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.
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