銀行資產負債管理：以C銀行個案研究

Abstract

銀行為金融體系的主力，經濟發達有賴健全的金融中介功能；在台灣力求國際競爭力及急欲躍登區域金融中心的同時，健全的銀行管理刻不容緩。銀行體質良好不僅有助資金的安定及籌借，更與金融體系的健全與發展環環相扣。因此，在艱難的經營環境中，財務規劃與後續的管理、控制，尤其是資產與負債管理必兼顧流動性、安全性與獲利性三項原則，如何在三者之間權衡輕重，成為銀行能否永續經營，保持競爭力的重要關鍵因素之一。 本研究以C銀行為例，在利率風險管理、流動性風險管理、內部轉撥計價及緊急應變計畫四個面向，探討銀行如何運作及進行管理，提供銀行資產負債管理一個系統性、動態性及銀行整體觀的架構及作法。研究結論顯示：流動性、安全性與獲利性之間存在著取捨關係，為了維護獲利，銀行必須犧牲經營風險的控管。當銀行面對不穩定的經營環境時，不建議銀行採取高風險性的利率風險及流動性風險管理，因為銀行整體的經營目標將因此產生極度的不穩定狀態，對銀行經營存在極大的風險。

Banks are one of the main roles of the financial system. Economic development depends on good financial intermediation. While Taiwan faces international competitiveness and is eager to be the regional financial centers, banking management cannot be delayed. A good bank system does not only help the stability and fund financing, but also closely affects the development of the financial system. Therefore, in this difficult environment, financial planning of banks, especially asset and liability management must take the three principles of liquidity, security and profitability into account. How to balance the three principles become one of the key factors for sustainability and competitiveness of banks. This study takes C Bank as an example, in the aspects of interest rate risk management, liquidity risk management, internal fund transfer pricing and contingency funding plan, to explore how banks operate and manage and to provide a systematic and dynamic asset and liability management. The conclusions of the study show that there is a trade-off between liquidity, security and profitability. In order to maintain profitability, banks must sacrifice the control of the risks. However when banks face an unstable business environment, it is not recommended to adopt high-risk interest rate risk and liquidity risk management, because the bank will be exposed in extreme instability and it results in uncertain risks.