This research paper focuses on whether Taiwan's 13 financial holding companies (excluding Waterland Financial Holdings) belongs to the bank's capital management efficiency, using a narrow definition of capital. First, do a preliminary analysis of the capital of the banks first, second, and three types of capital. Secondly, the use of supplementary items in the balance sheet, profit and loss account and balance-sheet and some of the information into the banking book assets and liabilities of the banking book and trading book assets, trading book liabilities, risk assets and market value-added and other programs in order to do all kinds of bank trend analysis of assets and liabilities and capital management. Finally, I would investigate whether the high capital adequacy ratio that their performance is better? The provisions of the Basel ¢º want to improve the bank's risk management capability, however, and set out the statutory capital requirements of the Bank help to keep the emphasis on risk management?

Since the Basel Committee on Banking Supervision first suggested a transition to Expected Shortfall as the primary risk measure for financial institutions, the question on how to backtest it has been widely discussed. Still, there is a lack of studies that compare the different proposed backtesting methods. This thesis uses simulations and empirical data to evaluate the performance of non-parametric backtests under different circumstances. An important takeaway from the thesis is that the different backtests all use some kind of trade-off between measuring the number of Value at Risk exceedances and their magnitudes. The main finding of this thesis is a list, ranking the non-parametric backtests. This list can be used to choose backtesting method by cross-referencing to what is possible to implement given the estimation method that the financial institution uses. / Sedan Baselkommittén föreslog införandet av Expected Shortfall som primärt riskmått för finansiella institutioner, har det debatteras vilken backtesting metod som är bäst. Trots detta råder det brist på studier som utvärderar olika föreslagna backtest. I studien används simuleringar och historisk data för att utvärdera icke-parametriska backtests förmåga att under olika omständigheter upptäcka underskattad Expected Shortfall. En viktig iakttagelse är att alla de undersökta testen innebär ett avvägande i vilken utsträckning det skall detektera antalet och/eller storleken på Value at Risk överträdelserna. Studien resulterar i en prioriterad lista över vilka icke-parametriska backtest som är bäst. Denna lista kan sedan användas för att välja backtest utefter vad varje finansiell institution anser är möjligt givet dess estimeringsmetod.

This thesis presents an application of Principal Component Analysis (PCA) and Hierarchical PCA to credit spreads. The aim is to identify the underlying factors that drive the behavior of credit spreads as well as the left over idiosyncratic risk, which is crucial for risk management and pricing of credit derivatives. The study employs a dataset from the Swedish market of credit spreads for different maturities and ratings, split into Covered Bonds and Corporate Bonds, and performs PCA to extract the dominant factors that explain the variation in the data of the former set. The results show that most of the systemic movements in Swedish covered bonds can be extracted using a mean which coincides with the first principal component. The report further explores the idiosyncratic risk of the credit spreads to further the knowledge regarding the dynamics of credit spreads and improving risk management in credit portfolios, specifically in regards to new regulation in the form of the Fundemental Review of the Trading Book (FRTB). The thesis also explores a more general model on corporate bonds using HPCA and K-means clustering. Due to data issues it is less explored but there are useful findings, specifically regarding the feasibility of using clustering in combination with HPCA. / I detta arbete presenteras en tillämpning av Principal Komponent Analysis (PCA) och Hierarkisk PCA på kreditspreadar. Syftet är att identifiera de underliggande faktorer som styr kreditspreadarnas beteende samt den kvarvarande idiosynkratiska risken, vilket är avgörande för riskhantering och prissättning av diverse kreditderivat. I studien används en datamängd från den svenska marknaden med kreditspreadar för olika löptider och kreditbetyg, uppdelat på säkerställda obligationer och företagsobligationer, och PCA används för att ta fram de mest signifikanta faktorerna som förklarar variationen i data för de förstnämnda obligationerna. Resultaten visar att de flesta av de systematiska rörelserna i svenska säkerställda obligationer kan extraheras med hjälp av ett medelvärde som sammanfaller med den första principalkomponenten. I rapporten undersöks vidare den idiosynkratiska risken i kreditspreadarna för att öka kunskapen om dynamiken i kreditspreadarna och förbättre riskhanteringen i kreditportföljer, särskilt med tanke på regelverket "Fundemental Review of the Tradring book" (FRTB). I rapporten undersöktes vidare en mer allmän modell för företagsobligationer med hjälp av HPCA och K-means-klustering. På grund av dataproblem är den mindre utforstkad, men det finns användbara resultat, särskild när det gäller möjligheten att använda kluster i kombination med HPCA.

The aim of this diploma thesis is to analyse the development of the regulatory framework and its current state according to the latest Basel III framework. The new rules were created as a response to the financial crisis that started in 2007. The framework represents significant increase in quality, amount and transparency of the capital base in comparison with the pre-crisis situation. Basel III has both micro and macroprudential focus. The diploma thesis describes the development and shortcomings of regulatory framework that necessitated revisions of the regulatory rules over time. These rules evolve with the changes in the financial system and the way how financial risks are managed. Although the roots of financial crisis are related to the mortgage-backed securities market, the banking sector played an important role in spreading the problems. Therefore the diploma thesis will also concentrate on fundamental flaws that contributed to the financial crisis. Then the immediate corrective action taken as a response to the financial crisis are described. After that, the Basel III rules are presented in detail. The newest monitoring of the rules carried out by the Basel Committe and cost analysis carried out by IMF including evaluation based on various analyses of Basel III are presented. Basel III has addressed most of the flaws revealed in Basel II. However, some issues still remain unsolved, which can lead to future problems with the financial system stability.