中小企業是台灣經濟貿易發展的命脈，過去以中小企業為主的出口貿易經濟體系，是創造台灣經濟奇蹟的主要動力。隨著2006年底新巴賽爾協定的正式實施，金融機構為符合新協定規範，亦需將中小企業信用評分程序，納入其徵、授信管理系統，以求信用風險評估皆可量化處理。故本研究將資料採礦技術應用於建置中小企業違約風險模型，針對內部評等法中的企業型暴險，根據新協定與金管會的準則，不僅以財務變數為主，也廣泛增加如企業基本特性及總體經濟因子等非財務變數，納入模型作為考慮變數，計算違約機率進而建置一信用評等系統，作為金融機構對於未來新授信戶之風險管理的參考依據。而本研究將以中小企業中製造傳統產業公司為主要的研究對象，建構企業違約風險模型及其信用評等系統，資料的觀察期間為2003至2005年。 本研究分別利用羅吉斯迴歸、類神經網路、和C&R Tree三種方法建立模型並加以評估比較其預測能力。研究結果發現，經評估確立以1:1精細抽樣比例下，使用羅吉斯迴歸技術建模的效果最佳，共選出六個變數作為企業違約機率模型之建模變數。經驗證後，此模型即使應用到不同期間或其他實際資料，仍具有一定的穩定性與預測效力，且符合新巴塞資本協定與金管會的各項規範，表示本研究之信用評等模型，確實能夠在銀行授信流程實務中加以應用。 / To track the development of Taiwan’s economy history, one very important factor that should never be ignored is the role of small enterprise businesses (the SMEs) which has always been played as a main driving force in the growth of Taiwan’s export trade economic system. With the formal implementation of Basel II in the end of 2006, there arises the need in the banking institutions to establish a credit scoring process for the SMEs into their credit evaluation systems in order to conform to the new accords and to quantify the credit risk assessment process. Consequently, in this research we apply data mining techniques to construct the default risk model for the SMEs in accordance to the new accords and the guidelines published by the FSC (the Financial Supervisory Commission). In addition we not only take the financial variables as the core variables but also increase the non- financial variables such as the enterprise basic characteristics and overall economic factors extensively into the default risk model in order to formulate the probability of credit default risk as well as to establish the credit rating system for the enterprise-based at risk for default in the IRB in the second pillars of the Basel II. The data which used in this research is taken from the traditional SMEs industry ranging from the year of 2003 to 2005. We use each of the following three methods, the Logistic Regression, the Neural Network and the C&R Tree, to build the model. Evaluation of the models is carried out using several statistics test results to compare the prediction accuracy of each model. Based on the result of this research under the 1:1 oversampling proportion, we are inclined to adopt the Logistic Regression techniques modeling as our chosen choice of model. There are six variables being selected from the dataset as the final significant variables in the default risk model. After multiple testing of the model, we believe that this model can withstand the testing for its capability of prediction even when applying in a different time frame or on other data set. More importantly this model is in conformity with the Basel II requirements published by the FSC which makes it even more practical in terms of evaluating credit risk default and credit rating system in the banking industry.

This thesis deals with the regulatory rules issued by the so-called. Basel Committee on Banking Supervision. It is an informal organization without legal personality, which operates at the Bank for International Settlements, and her published documents lack legally binding. This work has focused on two areas of activity of the Basel Committee - capital adequacy and corporate governance in the banking sector. Basel Committee on Banking Supervision is a leading authority in the field of banking regulation, which dates back to the mid-70s of the 20th century. The Basel Committee is composed of the governors of the central banks of the member states and organizations and currently represents a major authority in the banking, because the content of the documents of the Basel Committee incorporated into their legal systems for more than 100 countries worldwide. Basel Committee began issuing complex documents capital adequacy in July 1988, when the first document was posted under the abbreviated name of Basel I. Although it was a very imperfect adjustment and largely based on compromises rather than deeper analysis, Basel I meant the first major step towards supranational control of the capital adequacy of banks in order to eliminate the risks arising from their activities. Although, as with other...

Subject of my thesis is a credit risk in the czech banking environment. It consists of five chapters. First one contains description of basic risks banks are exposed to. The next one addresses the credit risk itself and its management, including determination of credit policy and the process of credit granting. Related to this topic is hedging, in broader sense also including provisioning and reserves creation. Third chapter is about credit derivatives, via which the credit risk can be reduced. Closely related to this topic is a securitisation process and it's products. Fourth chapter deals with regulation, which is an essential part of the banking sector nowadays. I focus primarily on Basel II and its credit risk part. In the final chapter I describe credit risk management of one of the biggest czech banks, Ceska sporitelna, which granted most credits in 2010.

首先針對目前國內產物保險公司有關作業險管理尚未有完整之監理規範或管理實務，但是，因作業風險所導致之損失金額卻與日俱增，實為不可忽視之風險，故藉由探討產物保險公司建構作業風險管理機制，同時分析其中理論與實務之運作，盼能有助於國內產物保險公司在未來不論是主管機關的監理制度，或是與全世界風險管理趨勢的結合上，提供具有參考性之建議及方向作為研究的目的設定。 本研究透過文獻回顧及探討，對於國內外金融機構作業風險管理執行情況，可知作業風險管理與內部控制之關係應是互補的概念，不能單以內部控制取代作業風險控管，而唯有作業風險與內部控制相互充實，才能更能提昇作業風險管理之功能及能力。另對於產物保險相關之作業風險損失事件之收集彙整，瞭解作業風險損失可能產生重大的財務損失，或是影響公司之正常業務營運，由於作業風險與產險公司日常營運活動息息相關，且作業風險管理並非一全新之風險管理觀念，面對產險市場瞬息萬變，主管機關監理強度趨於嚴格，包括頒布保險業之風險管理實務守則，內容規範即可看出作業風險以結構化之管理，已成為潮流。如何透過管理流程，及輔以各項管理工具，與現行之內控、法令遵循等機制加以整合，將過去的被動轉換為主動的管理，不論是發生頻率低、損失幅度高的事件，或是發生頻率高、損失幅度低的事件，皆應平等重視。 個案研究則以作業風險管理之理論為基礎，逐一探討研究之標竿保險公司作業風險管理執行情形，可以得到下列四個結論：(一)落實風險管理之企業文化是關鍵成功因素、（二）作業風險管理專責單位或人員的建立應是有必要性、（三）建立完整之作業風險管理架構、（四）作業風險管理與內部控制制度是互補的、（五）無缺失不代表無風險。本研究最後提出以下建議：（一）師法目前Basel II銀行之作業風險管理經驗、（二）積極專業人才培訓是作業風險管理之成功要件、 (三)保險業者應儘速建立內、外部損失資料庫、(四)應設置隸屬董事會之風險管理委員會、(五)法令遵循自行評估之調整。以作為未來台灣產險業如何建制作業風險管理機制及有效控管作業風險之參考。 / Despite of the increasing exposure and loss due to operational risk to Taiwanese Non-Life insurance companies, an intergrated coorporate self-regulation or practical guidelines for operational risk management within financial institutions have not yet been developed. Therefore, through seriously study, discuss, and analyze the mechnisms on how to implement a thorough corporate operational risk management guidelines and a balanced operational point between theory and practice, I hope that this paper could give our local non-life financial institutes, regulators, and compliances some aspects on the regulatory governence development. Numerous articles and literature reviews on foreign and domestic businsses and financial institutions regarding operational risk management operations stated that interal control and operational risk management have substitutional effect. Therefore, only if both interal control and operational risk management simutaneously develop, will operational risk management’s functionality and ability be most effective. Massive information on opertaional risk loss event have been collected and compiled to study its impact to Non-life insurance companies, including the loss it may bring to the financial institution or the effect on daily business operation. Driven by legal changes and forever-changing business market, the local goverment have becoming tougher on regulatory governance, including promulgate the code of practice for operational risk management guildance, which we would see that structured operation risk management is the newfound trend. The intergration of current compliance, internal control and other mechanisms through management process in order for operational risk management corresponds to a much wider trend of “responsive” or “active”, not “passive” management is what we ought to act on. Also, we should treat low-frequency, high-magnitude events and high-frequency, how-magnitude events equally. This paper came up with five conclusions 1. implementing the enterprise culture of operational risk management is the key to success. 2. developing operational risk management response team is an ought to do 3. implementing thorough operational risk management structure 4. substitutional effect among operational risk management and internal control system 5. no merit does not mean no risk. At last, this conceptual paper gives some recommendations for future operational risk management development 1. take operational risk management experiences by Basel II as a model 2. cultivate ORM professionals actively is the key to success 3. develop internal and external risk loss database 4. The risk management committee should be subordinate to the board of director 5. adjustment of compliance’s interal accessment.

Questa tesi cerca di analizzare le determinanti della struttura finanziaria delle banche. Si ritiene generalmente che il leverage ratio bancario sia determinato indirettamente tramite l’applicazione di requisiti patrimoniali, in particolare requisiti legati al rischio dell’investimento come nello schema di Basilea II. Molti dei recenti contributi empirici criticano questa tesi ed anzi individuano fattori di mercato come principali variabili nella determinazione del leverage. Una collezione dei recenti studi in materia viene raccolta nel primo capitolo. Nel secondo capitolo, si analizza l’impatto dei requisiti patrimoniali sulla struttura finanziaria delle banche all’interno di un modello di signaling. Viene dimostrata l’esistenza di un equilibrio di separazione, in cui i requisiti patrimoniali non sono vincolanti per ogni tipo di banca; si dimostra inoltre che in equilibrio esiste una relazione negativa tra il leverage bancario e la qualità degli attivi: è infatti la banca di minore qualità ad avere un leverage maggiore. Questo risultato, in contrasto con la tradizionale teoria di finanza aziendale, può aiutare a comprendere alcuni episodi della recente crisi finanziaria ed interroga l’efficacia del sistema di Basilea II. Infine, nell’ultimo capitolo, viene condotta un’analisi empirica sulle determinanti del leverage bancario . Sono identificate relazioni stabili e negative tra il leverage delle banche incluse nel campione e la qualità dei loro attivi. Questo risultato si conferma al variare degli strumenti utilizzati per identificare la qualità degli attivi. Questa relazione negativa ci suggerisce che le banche si pongano l’obiettivo di targettizzare un certo livello di leverage per dare un segnale al mercato circa la loro qualità intrinseca: migliore la qualità degli attivi, minore è il loro utilizzo di leva finanziaria. Queste banche rinunciano ad intraprendere investimenti profittevoli pur lanciare un messaggio al mercato e ridurre il costo del finanziamento. / This thesis analyzes banks’ choices over their leverage ratio targeting. It is commonly believed that the banks’ leverage ratio is implicitly driven by the risk-related regulation set by the Basel Committee. Many recent empirical studies on the subject challenge this presumption and suggest that factors other than regulation drive the banks’ choices on leverage. A review of the recent contributions on the subject is presented in the first chapter. In the second chapter we study how capital requirements affect banks' capital structure within a standard signaling model. We prove the existence of a separating equilibrium in which capital requirements are not binding for every type of bank, and we show that in equilibrium there exists a negative relationship between bank's leverage and its intrinsic quality: it is the low type bank that takes on more debt. This result, in contrast with the traditional theory of corporate finance, sheds some light on some of the recent financial crises episodes and hence questions the effectiveness of the current regulatory environment. Finally, in the last chapter, we conduct an empirical analysis on the cross-sectional determinants of banks' leverage. We find a negative and stable relation between banks leverage and the quality of their assets. This result is proved valid under different definition of assets' quality, based on ex-ante and ex-post expectation of the realization of asset quality. The results suggest that banks might target a certain leverage ratio to reveal their true quality to the market: the higher quality banks signal their private information to the market with a lower level of leverage, passing over some profitable opportunities to gain from a lower cost of funding.

1999年國際清算銀行巴塞爾銀行監督管理委員會發布了新巴塞爾資本協定架構，歷經多次討論修改後，於2004年6月公告新版巴塞爾資本協定(Basel Accord II)，並將於2006年底開始施行。我國金管會於93年9月亦發函銀行業者並公佈因應新制協定相關措施，期能在2006年底與國際同步正式實施,這不僅是國際金融史上重要的大事,也是我國金融史上重要的里程碑,因為它的象徵意義顯示出我國金融業風險管理制度的提升跨向國際同步的企圖心。 本研究從探討新舊版巴塞爾資本協定內涵的差異到我國金管會與銀行業者 因應新制的準備概況,繼而以C銀行為例說明,並聚焦在執行信用風險管理內部 評等模型法(IRB法)之前與之後銀行對服務業的中型與中小型企業授信融資之影響進行實證研究,本研究隨機抽取96家企業授信案件並假設了11項參考變數 分別為: 信評等級、額度、期間、授信產品項目數、擔保比率、風險成本率、台幣放款利率、權限核章人數、申貸流程所需天數、授信主力銀行、授信控管條件項目數等,作為銀行執行新舊不同信用風險評等模型制度對企業授信融資的差異 研究重點。 實證研究結果:(1)各假設變數中僅風險成本率與授信產品項目數兩項在新 舊不同制度中具顯著差異的。(2)較佳的信評等級所具有的融資優勢程度在新制度執行後更顯相對重要。(3)面對中、小型企業,銀行徵提擔保品、增加擔保率是最快速有效降低風險成本率的方法。(4)新制施行初期難敵市場壓力反應成本利率價格。(5)從有無內外帳企業的信評等級結果發現其對融資條件的影響有顯著差異。(6)是否為家族企業，不因新制施行受到差別影響。 本研究並提出建議:(1)政府應繼續並擴大對於中小企業信用基金保證規模 ,尤其應考慮修改服務業產業之中小型企業規模定義。(2)銀行應審慎面對信用評等與融資報價條件之間的兩難。(3)中小企業應加強經營制度透明化,尤其在財務會計制度方面。(4)銀行應加強對企業之產業瞭解深度以利授信金融商品創新與包裝架構。(5)銀行應重新審視績效考核管理機制。(6)銀行實施新制後應每年檢核模型歷史資料,把景氣變動因子列入修正參考。

Research issue: The transition from Basel II to Basel III becomes consuming for banks, financially. But Basel III should be profitably for financial market economy. Risks in the financial world is very complex. Is Basel III is sufficient to manage risk and future crises Purpose: The purpose of this paper is to examine the application of Basel II and the transition to Basel III in Sweden with the banking system in focus. Method: The study has a qualitative research methodology for the collection of empirical data. The study is based on interviews with four large banks of Sweden (Swedbank, SEB, Nordea, Handelsbanken) and with Finansinspektionen. We also used previous studies, books and rapports. Conclusions: Basel has no direct connection to the profitability of the banks. The translation to Basel III was an obvious step for a more stable financial market. With Basel III it became more expensive for the banks; the more cost the less returns and hence led dividends for shareholders. But the banks will not bear the costs themselves, the costumers will get affected. Banks have begun to adapt to Basel III. There are requirements to save equity immediately not only in crisis. Which leads to the return is not likely to be lowered at bad times.

Zugl.: München, University, Diss., 2008.

Βασικός άξονας της παρούσας εργασίας είναι η ανάλυση των συνθηκών διεθνοποίησης των ελληνικών τραπεζών μέσω των Άμεσων Ξένων Επενδύσεων και πως η στρατηγική που χαράζουν επιδρά στη μακροχρόνια διαχείριση των κεφαλαίων τους. Η παρουσία των μεγαλύτερων ελληνικών τραπεζικών ομίλων είναι σημαντική -κυρίως στις χώρες της Νοτιοανατολικής Ευρώπης- τόσο σε σημεία εξυπηρέτησης όσο και στα μερίδια αγοράς. Εν προκειμένω, γίνεται διεξοδική ανάλυση σε έναν από τους μεγαλύτερους τραπεζικούς ομίλους με ισχυρή παρουσία στις γειτονικές χώρες, εφόσον δημιουργείται ενδιαφέρον να μελετηθεί η πορεία των οικονομικών αποτελεσμάτων με κύριο άξονα τη παγκόσμια χρηματοπιστωτική κρίση. / The main focus of this paper is to analyze the conditions of Greek banks' internationalization through FDI and how the strategy affects the long-makers manage their funds. The presence of the largest Greek banking groups is important, -especially in South East Europe- both in service network and market shares. In this case, there is a thorough analysis for one of the largest greek banking groups with a strong presence in neighboring economies, where we are interested in studying the course of the financial results by focusing on the global financial crisis.

A concessão de créditos garantidos pelo próprio ativo financiado responde por substancial fatia da atividade creditícia e permite o acesso a financiamentos de devedores mais arriscados com taxas de juros reduzidas. O financiamento de aeronaves é um nicho especialmente dependente desse tipo de estrutura e a investigação de um indicador que consolide os parâmetros quantitativos relevantes para sua análise amplia a robustez e organiza a subjetividade dos processos de tomada de decisão. Esse trabalho ilustra o desenvolvimento do indicador time to loss como um desdobramento prático dos fundamentos implícitos na formulação de perda esperada do Comitê de Basileia. São evidenciadas as três curvas que caracterizam a estimação do tempo para a perda: a exposição devida ao inadimplir, o valor residual da aeronave e os custos e encargos no período de recuperação do crédito. Calculado o indicador para o caso base de estudo, o trabalho explora ainda alternativas para a construção de escalas de referência que qualifiquem sua interpretação. Testes e estudos continuados são propostos como referência para futuras pesquisas e desenvolvimento do tema. / The concession of credit secured by the financed asset itself accounts for a substantial share of lending activity and allows access to finance for riskier borrowers with lower interest rates. The aircraft financing is a typical niche dependent on this type of structure and the investigation of an index that consolidates relevant quantitative parameters for its analysis extends the robustness and organizes the subjectivity of the decision-making process. This work illustrates the development of the indicator time to loss as a practical deployment of the implicit foundations in the expected loss formulation of the Basel Committee. Three curves are evidenced featuring the estimation of the time to loss: exposure due to defaults, the residual value of the aircraft and the cost and burden on the credit recovery period. After calculating the time to loss indicator for the base case study, the work also explores ways to build a reference scale which qualify its interpretation. Tests and continued studies are proposed as reference theme for future research and development. / Dissertação (mestrado) - Programa de Pós-Graduação e Pesquisa em Administração e Economia, Faculdades Ibmec, Rio de Janeiro, 2015. / Bibliografia: p. 76-77