To follow the trend of internationalization and to meet the enforcement of New Basel Capital Accord (which call BASEL II), our government is aggressively promoting financial reform. The major objectives of twice financial reform are to promote the merger of financial institutions and to attract overseas investment. Furthermore, It make financial institutions being more international competitiveness. However, since its had been performed, it occurred many abuses, including a series of running on banks, illegal acquisition and merger and misappropriation of funds, etc. It shows up the incomplete supervision and poor performance of Taiwan's financial supervisory system again. Therefore, the proper financial supervisory system must be developed to stabilize Taiwan's finance and make people be competitive in the globe. The thesis focuses on the impact of twice financial reform and refers to financial reform and relative financial supervisory systems of various countries (such as EU, USA, Japan, and Korea, etc.)which link with us. To explore the issues of Taiwan's financial supervisory system generated from new banking environment, and to provide suggestion of future financial supervisory system, then more sound financial supervisory system can be developed and the twice financial reform can be guided to its right way. It is true that only the proper and sound financial supervisory system can really accomplish financial reform.

The New Basel Capital Accord implementation, is similar to announced the bank management manages approaching of the new century. The money market globalization tendency, the bank surface risk management focal point changed the globalization risk management, covers the different physiographic region and the different product category, the risk management just like becomes the core ability and the strategy superiority is at. Modern finance risk management, some several tendencies: 1.The financial risk management by board of directors direct supervising and managing, and formulates a set of risk management strategy by it. 2.The risk management overhead construction and the organization, have highly the independence, does not subordinate any administrative department, but is directly operates by the board of directors. 3.The present risk management of, performs the different department the conformity, by quota processing, needs massive technology of aspect the and so on uses measurement, statistics. 4.When in 2006 The New Basel Capital Accord execution, the financial overseeing unit proposed the risk management overseeing mechanism, and request financial organ itself also must have overhead construction of the overseeing. 5.Weeding through the old to bring forth the new of the growing commodity, the risk controls the tube to be allowed to borrow by the growing commodity design or the reform, is dispersible the risk. 6.The risk management and the IT technology unify, also for inevitable trend.

In recent years, the government gradually opens the new bank establishment, causes the financial organ to enter another competition the time. However because the petroleum crisis causes the inflation, the original material rise, the interest rate undulation to be frequent, the industrial field and the finance service sector's control relaxes or relieves the limiting condition, causes many investments services multiplex, the negotiable securities, the liberalization and the internationalization. Furthermore, because under the financial service multiplication transformation, its service area separates day by day fuzzily, the financial organ should truly understand the bank storm danger spot, establishes the good risk management system, conforms to principle of the organization safe steady transport business. The new Basel capital accord reached an agreement already is regarded as one of international finance overseeing standards; In its agreement regarding the credit risk credit appraisal, the final goal is expected the silver behavior establishment innate internal credit comments and so on the system (IRB) reflects bank itself the management essence. The computation credit risk standard method and the interior comment and so on the law may say is the important angle in new Basel capital accord , the interior to comment and so on the law is according to 1988 the old version reached an agreement made the revision. This research also aims at in the new old version and new edition the credit risk in the risk weights, carries out the standard, various countries' implementation present situation, and makes the share questionnaire survey to understand our country finance industry and the enterprise regarding the new edition procedure, do again with Europe and America alternately compares. The expectation penetrates these comparative analyses, can discover difference and the improvement revises the place, provides our country financial organ and the proper authorities, faces up to the risk management transport business of regarding the organization importance, truly achieved so-called and international connects rails the goal.

Since reformed of banking structure in China, banks have been gradually developed their operation system. Moreover, the restructure in commercial bank after joined WTO had established China¡¦s banks performance and international reputation. Since 2007, many large commercial banks have strength its risk management based on the commitments made by China Banking Regulatory Commission (CBRC) to follow the New Basel Capital Accord. When the global banking industry is devastated by global financial crisis (GFC) during 2008, China¡¦s banks are less affected by GFC. In addition, the capital scale and revenues performance were thrived during GFC. Therefore, it shows that banks in China had improved the resilience ability during financial crisis. However, being originated in China¡¦s loose monetary policy and economic stimulus package after GFC, investors worried that domestic banks might bear high risks. Notably, the risk is specific risk from each bank instead of system risk. This study employs Markov regime-switching model to examine 14 China banks¡¦ stock prices. The empirical evidence supports our hypothesis that behavior of China banks¡¦ stock prices has confronted structural change after GFC. Furthermore, this research presents that unsystematic risks from each bank were significantly decreased after GFC. It indicates that investors are too pessimistic on the banks in China might suffer high risk after government interventions.

The aim of my thesis is to evaluate the risk management system of Czech banks according to the Basel II rules. In my thesis I also deal with the ability of the Czech banking system to accept new Basel III rules. The first part of my thesis focuses on definition of risks and methods of risk management according to Basel rules. They discuss diferent risks that they fall within activity to the rules on the capital adequacy of the bank. The second part of thesis focuses on characteristics of Basel II and III and how the rules are implemented to the law of the EU and then to the law of Czech Republic. Part of the second part is also shortages of Basel II. On this shortage, Basel Committee on banking supervision responded to introduce new accord Basel III. In the final part, both of part is connected on the samples of three banks. After analysis, the thesis rates readiness Czech banks on the new capital accord and new risk management. The thesis summarizes readiness of the Czech banking system on the Basel III rules.

隨著銀行經營環境丕變，引發作業風險的可能性大幅提高。有鑑於此，巴塞爾銀行監理委員會於2003年公佈的作業風險與監督十項準則，且在2004年6月公布新巴塞爾資本協定，除信用與市場風險外，將作業風險納入資本計提範疇。同時，委員會也對作業風險給予明確定義，亦針對整體作業風險管理流程及作業風險資本計提方式有所規範。 隨著作業風險管理漸漸受到重視，作業風險由最初的傳統階段以內部控制及事後稽核進行風險管理，開始發展進入認知階段作業，此時金融機構開始意識到作業風險管理重要性，接下來進入監控階段，除了開始設定足以反映各項作業風險的風險指標來進行風險的追蹤，也開始進行風險的自我評估，且由於質化的風險指標無法滿足作業風險管理的要求，量化風險指標漸漸為各金融機構發展的管理技術；最後當其成熟後，作業風險管理就可納入整體的風險管理體系。 隨著金融機構的策略、組織、作業與系統及衡量四個構面，作業風險管理組織的架構也依金融機構需求不斷演變。本研究藉由研究作業風險管理架構的發展及作業風險管理的四項核心流程，探討在操作實務中可能面臨的挑戰，摘要結論及建議如下: 1.作業風險管理成功的關鍵在於公司董事會、管理階層及所有員工均需體認「改變是必要的」，且須獲得董事會及高階管理階層的承諾與支持 2.作業風險管理單位除了在組織架構上需符合「獨立」的精神外，需積極參與風險控管方案有效性評估及作業風險管理工具/政策的執行 3.為彌補內部稽核先天的不足，作業風險管理單位應針對關鍵性的控制活動，發展以風險為導向的查核工具，以肩負起預防問題、發現問題及評估內部控制有效性的角色，同時內部稽核應轉變為以風險為導向的查核制度，將查核重心放在銀行經營風險最大部分，方可協助銀行運用稽核創造更高的價值。 4.作業風險辨識及評估的結果應與現行的自行查核制度進行連結，同時自行查核題庫也必須適時調整以符合現況。

目前對於新巴塞爾協定的內部評量法，相關機構與學者都有進行研究，也發展出眾多不同的信用風險模型，但是對於金融機構而言如何分析各階段所需要的資訊，並透過資訊科技彈性的選擇相關方法，在眾多方法中尋找出真正符合銀行內部需求的評估模型，並且在授信的過程中將許多分散在不同資訊系統的資訊藉由一個有效的資訊架構，適時的提供給主管人員作為評估審核的決策依據，以及控管流程的進行，最後更進一步的計提資本，以符合新巴塞爾協定的規範，是目前金融機構最重要的課題。 因此本研究發展一套服務導向架構的系統平台，將符合新巴塞爾規範下信用風險模型使用的過程與方法以網路服務的方式模組化，銀行可以藉由系統平台所提供的流程架構，搜尋符合新巴塞爾協定的信用風險模型並加以測試與使用。本研究並以一般銀行企業貸款的流程為基礎，提出一個資訊架構來建構銀行企業貸款控管流程，並建置一套企業線上貸款雛型系統，將授信人員所需資訊，透過系統化的方式呈現出來以作為決策的參考，並透過信用風險模組計算其違約機率，最後計算此貸款所需計提的資本，以符合新巴塞爾協定規範。 / Several related institutes and scholars have been researched and developed various credit risk models based on the internal ratings based approach of New Basel Capital Accord. However, for finance corporations, how to analyze the information required for every stage, select relevant methods flexibly through information technology, find manners that really match the evaluation model required for banks, then provide managers the estimative examine to stand on decision properly by establishing an effective information construction from scattered different information system during trust. Furthermore, proposing the capital to fit New Basel Capital Accord is the most important issue for finance corporations. Therefore, this research develops a systematic platform based on Service-Oriented Architecture (SOA) and modulates the processes and methods used for credit risk models that match New Basel Capital Accord by Web Services; thus, banks can test and use the credit risk model that matches New Basel Capital Accord by searching the process framework provided by systematic platform. This research is also based on the loan procedure of general corporate lending and proposes a systematic framework to build up the control process for corporate lending. Moreover, by establishing a system for online corporate lending, the information required for trustees can be presented as indications of decision through systematization, and calculates the proposed capital required for the loan by counting the default probability via credit risk model to fit New Basel Capital Accord.

When banks lend capital to counterparties they take on a risk, known as credit risk which traditionally has been the largest risk exposure for banks. To be protected against potential default losses when lending capital, banks must hold a regulatory capital that is based on a regulatory formula for calculating risk weighted assets (RWA). This formula is part of the Basel Accords and it is implemented in the legal system of all European Union member states. The key parameters of the RWA formula are probability of default, loss given default and asset correlation. Banks today have the option to estimate the probability of default and loss given default by internal models however the asset correlation must be determined by a formula provided by the legal framework. This project is a first approach for Handelsbanken to study what would happen if banks were allowed to estimate asset correlation by internal models. We assess two models for estimating the asset correlation of a portfolio of Small and Medium Enterprices (SME). The estimates are compared with the asset correlation given by the regulatory formula and with estimates for another parameter called default correlation. The models are validated using predicted historical data and Monte-Carlo Simulations. For the studied SME portfolio, the models give similar estimates for the asset correlations and the estimates are lower than those given by the regulatory formula. This would imply a lower capital requirement if banks were allowed to use internal models to estimate the asset correlation used in the RWA formula. Default correlation, if not used synonymously with asset correlation, is shown to be another measure and should not be used in the RWA formula. / När banker lånar ut kapital till motparter tar de en risk, mer känt som kreditrisk som traditionellt har varit den största risken för banker. För att skydda sig mot potentiella förluster vid utlåning måste banker ha ett reglerat kapital som bygger på en formel för beräkning av riskvägda tillgångar (RWA). Denna formel ingår i Basels regelverk och är implementerad i rättssystemet i alla EU-länder. De viktigaste parametrarna för RWA-formeln är sannolikheten att fallera, förlustgivet fallissemang och tillgångskorrelation. Bankerna har idag möjlighet att beräkna de två variablerna sannolikheten att fallera och förlustgivet fallissemang med interna modeller men tillgångskorrelation måste bestämmas med hjälp av en standardformel givet från regelverket. Detta projekt är ett första tillvägagångssätt för Handelsbanken att studera vad som skulle hända om banker fick beräkna tillgångskorrelation med interna modeller. Vi analyserar två modeller för att skatta tillgångskorrelation i en portfölj av Små och Medelstora Företag (SME). Uppskattningarna jämförs sedan med den tillgångskorrelation som ges av regelverket och jämförs även mot en parameter som kallas fallissemangskorrelation. Modellerna som används för att beräkna korrelationerna valideras med hjälp av estimerat data och Monte-Carlo Simuleringar. För den studerade SME portföljen ges liknande uppskattningar för de båda tillgångskorrelationsmodellerna, samt visar det sig att de är lägre än den korrelationen som ges av regelverket. Detta skulle innebära ett lägre kapitalkrav om bankerna fick använda sig av interna modeller för att estimera tillgångskorrelation som används i RWA-formeln. Om fallissemangskorrelation inte används synonymt till tillgångskorrelation, visar det sig att fallisemangskorrelation är en annan mätning än tillgångskorrelation och bör inte användas i RWA-formeln.

為了符合國際清算銀行在 2006 年通過的新巴賽爾資本協定，且有鑑於近年 來整體經濟環境欠佳，銀行業者面對外部的規定以及內部的需求，積極地尋求 信用風險模型的建置方法，希望將整個融資的評等過程系統化以提高對信用風 險的控管。 本研究希望利用 92 至94 年未上市上櫃中小企業之營造業的資料，依循新 巴賽爾資本協定之規定並配合資料採礦的技術，擬出一套信用風險模型建置與 評估的標準流程，其中包含企業違約機率模型以及信用評等系統的建置，前者 能預測出授信戶的違約情形以及違約機率；後者則是能利用前者的分析結果將 授信戶分成數個不同的等級，藉此區別授信戶是否屬於具有高度風險的違約授 信戶，期待能提供銀行業者作為因應新巴賽爾協定中內部評等法的建置，以及 中小企業的融資業務上內部風險管理的需求一個參考的依據。 研究結果共選出 5 個變數作為企業違約機率模型建立之依據，訓練資料以 及原始資料的AUC 分別為0.799 以及0.773，表示模型能有效的預測違約機率 並判別出違約授信戶以及非違約授信戶。接著，經過回顧測試與係數拔靴測試， 證實本研究的模型具有一定的穩定性。另外，透過信用評等系統將所有授信戶 分為8 個評等等級，並藉由等級同質性檢定以及敏感度分析的測試，可以驗證 出本研究之評等系統具有將不同違約程度的授信戶正確歸類之能力。最後，經 由轉移矩陣可以發現，整體而言，營造業在2003 年到2005 年間的表現有逐漸 好轉的趨勢，與營造業實際發展情形相互比較之下，也確實得到相互吻合的結 論。 / In order to conform to the New Basel Capital Accord passing in 2006 by the Bank for International Settlements and due to the slump faced by economies globally and the rise in the number of defaulters in the recent years, the banking industry has aggressively looked for ways to establish the reliable credit risk model that can accommodate required regulations set forth by the Accord as well as the internal banking procedure demands. The banking industry attempts to standardize the process of evaluating credit rating in regards to capital risk in the loan business to enhance the control of credit risks. The attempt of this research is to perform the process of the establishment and evaluation of the credit risk model which includes the default risk model of companies and the credit rating system within the framework of the New Basel Capital Accord using the statistical tool known as data mining. The data adopted in this study is taken from the construction industry of the SMEs from 2003 to 2005. The default risk model assesses the probability whether a company is at risk of being defaulted. In addition the credit rating system assigns credit scores to a company in question based on the application result from the default risk model to differentiate those who have high risk of being defaulted. More importantly this research provides banking industry of varying degrees of complexity to monitor its risk assessment as well as becoming a reference basis of the loan business in the SMEs. Based on the result of this study, five variables are selected as the default probability model basis. The AUC for the training data is 0.799 and for the raw data is 0.773 which represents the accuracy and reliability of the model in predicting the probability of default risk and determining the likelihood of the companies to default. After series of testing, our model stability plays a key role in determining whether the algorithm produces an optimal model in this study. The credit rating system formulates credit scores of the companies into 8 credit ratings. Applying homogeneity test and sensitive analysis, this study is able to verify the validity and accuracy of the rating system to correctly classify different levels of credit risk that could have jeopardized the companies to default. Finally, through the transformation matrix, there has been an improvement trend of performance in the construction industry from 2003 to 2005 which coincides with the result of this study.

鑒於金融市場快速的變動與日趨複雜之金融商品種類，銀行經營管理中所面臨之風險，尤以因金融市場價格變動（如市場利率、匯率、股價及商品價格之變動）造成對銀行資產負債表內及表外部位可能產生之損失，其所因應而生之市場風險須及時管控與適時因應。然而2007年因次級房貸問題引發全球性金融危機，益加彰顯風險管理制度的重要性與其再精進之處。 本研究期能藉由新巴塞爾資本協定中市場風險管理規範的探討，個案銀行之實例探究，對國內銀行在建構符合其需要的市場風險管理系統時有所助益，在建置市場風險管理系統的考量因素以及該系統的建置與應用，循序周全建構質化與量化標準之風險管理機制。 本研究由新巴塞爾資本協定規範探討銀行市場風險管理系統建置與其實際應用，歸納出研究結論顯示，市場風險管理系統架構之依循須能符合新巴塞爾資本協定之基本規範，藉由系統內建模型計算風險值以有效衡量交易簿與銀行簿之部位，及其利率、權益證券、外匯及商品四大類風險因子。市場風險管理系統需求規畫與評估，須就應用面(系統相關模組功能)、資料面(系統執行所需資料及存取介面、資料庫建置及資料完整性)與技術面(系統運作之軟體與硬體環境)予以考量。系統專案建置須有高階管理階層對市場風險管理系統專案相關執行程序的支持，前檯、中檯、後檯、資訊單位主管之配合與溝通協調。市場風險管理系統架構應考量市場風險限額管理須至各交易層級(如總行別、部門單位別、交易簿與銀行簿產品別等)，因此系統功能模組設定與管理報表規畫設計則配合系統架構分級建立。市場風險管理制度之建立，應配合市場風險管理系統之應用與管理流程結合，訂定相關管理辦法，以規範市場風險管控機制運作及程序之確實執行。 關鍵字：新巴塞爾資本協定、市場風險、衍生性金融商品、風險值 / Recently, financial market is changed quickly and types of product are more and more complicated. Operation of Bank faces many risks that are losses of in or out balance sheet by price moving. Therefore, we need to manage and monitor the market risks that result from change in interest rate, exchange rate, equity price, commodity price in the time. In 2007, global financial crisis caused by subprime mortgage storm stands out the importance of risk management and needs of improving it. On one hand, this research hopes to benefit banks to build up its market risk system satisfied the need by discussing market risk management under Basel II and looking into case study on the bank. While constructing the system, we have to pay attention to its practicability which meets standards of quantification and quality. On the other hand, this research discusses system built up and reality applying through Basel II and indicates some useful conclusion. At first, market risk system not only meets mainly criteria under Basel II but creats the value at risk (VaR) which can effectively estimate interest rate, securities, foreign exchange and commodities risks.Secondly, technology of applying, data and information should be considered into when evaluating the demands of market risk management system. Moreover, risk system constructed needs support from senior management team and cooperation between relative departments. Besides, we need to take into account whether this mentioned system can implement market risk limit management to every transaction class, for example, trading books ,banking books, product type…etc.The system function and the management reports could be able to operate with the market risk limit management, accordingly. Most of all, market risk management regulation should be thought over the application and management process of market risk management system to make sure that market risk management could be implemented certainly. Keywords: New Basel Capital Accord, Market Risk, Derivatives,Value at Risk