本研究利用臺灣的資料粗略評估新版巴賽爾資本適足率規範對銀行體系的影響，以作為監管單位修正銀行資本規範之參考。實證結果顯示：當資本比率不足時，銀行會藉由提高放款利率、代換成較低風險資產或減少持有高風險資產等方式以降低影響分母的風險性資產類項目；及以增資、發行合格債券、保留盈餘等方式增加分子之資本類項目。臺灣的銀行整體而言在資本適足率規範提高時資本增加幅度大於資產減少幅度，暗示銀行業雖然會依據資金成本決定資本化方式，但可能更重視資產規模及業務市占率。反映了臺灣金融機構家數過多導致過度競爭的事實，銀行寧願使用較貴的增資方式也不願意以減少資產或縮減放貸業務等方式達到目標資本比率。從銀行調整資本項目的程度也可發現，在僅規範自有資本適足率時銀行使用成本較低的第二、三類資本去填充總資本以達目標資本比率，難以達到增加銀行業資本穩固性的效果，需進一步規範核心資本適足率始有效提高銀行吸收損失的能力。這樣的結果提供監理單位在修改法令規範上的依據：銀行有使用低成本之資本的誘因，為達到總體審慎之風險管理目的，應增訂核心資本適足率規範，並對核心資本不足之銀行採取立即糾正措施。 / In this study, we conducted a rough assessment of the impact of new Basel capital adequacy ratio on Taiwanese banking system as a consultation of regulatory amendment. The empirical results show: when the capital ratio is low, the bank will raise lending rates, reduce lending volume and other risk assets, at the same time raise capital by retaining earnings and issuing qualified bonds. Taiwan's banks in general increased capital greater than reducing risk weighted assets, suggesting that although the banks would follow the pecking order theory of the cost of capital when capitalization, but may pay more attention to asset size and market share. Reflects the phenomenon of excessive competition over the banking system in Taiwan‐banks would rather use more expensive capital than cutting loans to achieve target capital ratio. We also found that, the effectiveness of regulatory interventions intended to raise banks’ ability to absorb losses may be somewhat muted unless such capital requirements mandate the type of capital that must be raised, the banks had the incentives to favor adjustments to tiers 2 and 3 capital (or to the deductions that they make from total capital) over adjustments to tier 1 capital in order to achieve the target capital ratio. As the result, to effectively improve the banks’ ability to absorb losses, the supervisory units should add the requirements of core capital adequacy ratio and take prompt corrective actions when banks exhibit progressively deteriorating capital ratios.

新版巴賽爾資本協定的內部評等法中，銀行可自行對借貸戶進行評分，並且根據 評分估算信用風險以提領準備金，因此估算借貸戶評分分數的違約機率(PD)是相當 重要的一環。過去估算違約機率的研究中，大多假定評分分數為離散型式，本文針對 評分分數為連續形式時，提出一種利用曲線函數來配適估計模型。估計模型是使用伽 瑪的截尾分配去配適ROC曲線函數，再利用此ROC曲線函數來估計各評分分數下的 違約機率P(D|S)，在伽瑪分配中的兩參數則是用兩階段的方法求解。本文所提的估 計方法並無假設評分分數的分配，因此在數值方法中使用不同的分配、參數設定、違 約機率等，來驗證此方法的準確度與穩定度，並且與Van der Burgt (2008)、Tasche(2009)的估計方法比較。 / By the internal rating-based approach of Basel II, banks estimate borrowers' default risks to withdraw reserves independently. Hence, estimating default probability (PD) of borrowers is important. Most of previous studies estimating PD assume that evaluation scores are discrete, In this study, we use curve function to t estimation model in the condition that the evaluation scores are continuous . We use truncated gamma distribution to t ROC curve function. And we use the ROC curve function to estimate PD of dierent scores. And use two-step method to nd the value of two parameters in gamma distribution. The estimation method in this study doesn't assume the distribution of estimation scores,so we use dierent distributions, parameters, and default probabilities to test the accuracy and stability of this method. In the end, we also compare our methods with Van der Burgt (2008) and Tasche (2009)' methods.

2007年美國次級房貸違約衍生國際金融市場之流動性危機，造成金融商品與資產價格下跌，銀行業損失擴大，流動性危機擴散成為健全性危機。導致2008年9月雷曼公司倒閉，引發全球金融經濟危機，蔓延到全世界，百年難得一見。歸納金融危機的緣由，主要為英美大型金融機構利用國際監理裁定，進行營運套利，並從事高槓桿操作，無視於資本適足性的不足。 此外，金融機構的流動性未能確保，表外交易特別是店頭衍生性交易，揭露不透明，監理未能落實。導致金融市場機能失序，顯見國際金融監理核心基準的巴賽爾資本協定，已無法因應金融創新與金融環境的巨變。 為處理本次全球金融危機所凸顯的市場失靈（market failure），解決銀行部門的脆弱性問題，因此，2010年11月12日G20各國領袖通過『新巴塞爾協議』(Basel III)，提高銀行資本適足率與流動性的標準。 本文係以國內某家公營銀行在後金融海嘯『新巴塞爾協議』(Basel III)，提高銀行資本提列要求與加強銀行流動性管理的 Basel III規範， 將自 2013 年起分階段逐步實行，2019 年起則正式全盤施行；屆時更為嚴格的規定，可能會促使銀行改變投資組合、影響銀行的準備金需求與流動性管理策略，強化自有資本比率規範，並訂定槓桿比率、流動性覆蓋比率等相關規定，對其資本適足性及流動性要求的挑戰與對策。

2008年，美國華爾街危機影響全球金融市場，即使美國擬出許多救市計畫，全球股市依舊暴跌。在此危機衝擊下，各大金融機構不但利潤下滑，且資產減記和信貸損失也愈來愈嚴重。造成此一現象的主因即是次級房貸的影響，次級房貸主要是針對收入低、信用不佳卻需要貸款購屋的民眾，這類客戶通常借貸不易，倘若銀行內部沒有完善的評等機制那放款則需承受較大的違約風險。為因應此趨勢，本研究以台灣未上市中小企業為實例，資料的觀察期間為2003至2005年，透過資料採礦流程，建構企業違約風險模型及其信用評等系統。 本研究分別利用羅吉斯迴歸、類神經網路、和分類迴歸樹三種方法建立模型並加以評估比較其預測能力。發現羅吉斯迴歸模型對於違約戶的預測能力及有效性皆優於其他兩者，並選定為本研究之最終模型，並對選定之模型作評估及驗證，發現模型的預測能力表現尚屬穩定，確實能夠在銀行授信流程實務中加以應用。 / In 2008, the financial crisis on Wall Street had severe impacted the global economy. Although the US government has drawn up regulatory policies in an attempt to save the stock market, the value of global stock market has shrunk drastically. As such, the profits of many financial institutes’ have not only plunged, their value of assets have decreased while loss related to mortgage became more severe. The main cause behind this global phenomenon can be attributed to the effect of subprime mortgages. Subprime mortgages are mainly aimed at consumers who have low income and poor credit history but wish to purchase homes through the means of mortgage. These consumers usually find it difficult to obtain mortgage loans. If banks do not have a well structured evaluation system, they would have to bear more risks in the case of a default. To better understand this trend, this research chooses middle and small private enterprises as its samples. The period of observation is 2003 to 2005. Using the data mining process, this research builds a model that shows the risk associated with contract failure and credit score system. The research builds a model based on logistic regression, Neural Network, and cart to compare and contrast each of the three model’s ability to predict. The result shows that logistic regression is better at predicting defaults and is more effective than the other two models. The research, therefore, concludes logistic regression model as the research’s final model to study and evaluate. In process, the research result demonstrates that the logistic regression model makes more precise prediction and its prediction is fairly stable. Logistic regression model is capable for banks to employ in performing credit check.

授信業務是銀行主要獲利來源之一，隨著國際化趨勢以及政府積極推動經濟自由，國內金融環境丕變，金融機構之授信業務競爭日漸激烈，加上近年來國內經濟成長趨緩，又於千禧年爆發本土性金融風暴，集團企業財務危機猶如骨牌效應ㄧ樁接ㄧ樁，原因在於大企業過度信用擴張，過高槓桿操作，導致負債比率上升，面臨償債困難；還有銀行對企業放款之授信審核常有大企業不會倒閉之迷思。故如何找出企業財務危機出現之徵兆，及早防範於未然，將是本研究在建立企業授信之申請進件模型的重點之ㄧ。 此外，2002年新修定的巴塞爾資本協定主在落實銀行風險管理，國際清算銀行決定於2006年正式實行新巴塞爾協定，我國修正的「銀行資本適足性管理辦法」自民國九十五年十二月三十一日起實施，故本國銀行需要依據本身的商品特色、市場區隔、客戶性質、以及經營方式與理念等因素，去建制一套適合自己的內部風險評估系統。故本研究第二個重點即在於依據我國現有法令，做出一個符合信用風險基礎內部評等法要求之申請進件模型。 本研究使用某銀行有財務報表之企業授信戶，利用財報中的財務比率變數建立模型。先使用主成分分析將所有變數分為七大類，分別是企業之財務構面、經營能力、獲利能力、償債能力、長期資本指標、流動性、以及現金流量，再進行羅吉斯迴歸模型分析。 / Business loan is one of the main profits in the bank. But increasing business competition causes the loan process in the bank is not very serious, the bankers allow enterprise to expand his credit or has higher debt ratio, that would cause financial crises. The first point in this study is to find the symptom when enterprise has financial crises. The second point is that under the framework of New Basel Capital Accord〈Basel II〉, we try to build an application model that committed the domestic requirements. The bank should develop the fundamental internal rating-based approach that accords with its strategy、market segmentation、and customers type. This research paper uses financial variables〈ex. liquid ratio、debt ratio、ROA、ROE、… 〉to build enterprise application model. We use the principle component analysis to separate different factors which affect loan process： financial facet、ability to pay、profitability、management ability、long-term index、liquidity、and cash flow. Then, we show the result about these factors in the logistic regression model.