台灣已於2007年初正式實施新巴塞爾資本協定(BASEL II)之相關規範，此協定透過三大支柱，強化銀行整體之風險管理，為了使我國金融體系與制度能與國際接軌，金融監理機關已發布相關管理方法與計算方式，以加強其政策面與實務面之配合，而銀行也針對其風險管理制度，進行模型建構與測試，並透過定性及定量等公開揭露，使資本適足率之計算更具風險敏感性，落實市場監督功能。
本研究利用文獻分析與整理，對新巴塞爾資本協定作一整體性之探討與介紹，並針對信用風險之規範，透過訪談，以國內某國際商業銀行為例，描述其建置信用風險管理組織架構過程及目前實施概況。惟當前多數之國內金融機構尚未具有直接實施內部評等法的條件，客戶亦多為國內中小型企業，造成信用評等取得不易，又因為成本與人力分配之考量，導致其實施內部評等法之誘因不足，因此實施近兩年來，銀行仍多採行信用風險標準法。
本論文針對此現象，將分別由銀行與監理機關兩個面向進行探討並提出相關建議，國內各銀行不論其信用風險之資本計提方式是使用標準法或準備邁向基礎與進階之內部評等法，皆應在其成本效益及經濟規模之考量下，建置能判斷授信客戶風險之內部評等模型與整體信用風險控管架構；而金融監理機關也應正視此趨勢，主動並積極建立相關之信用風險資料庫，或與聯徵中心合作，加強我國中小企業之信用評等模型，並應儘速培訓信用風險相關人才，以具備判別各銀行內部信用評等模型差異性之能力。 / Basel II has changed the game of the financial system, and the regime started on 1st January 2007 in Taiwan. The new regulatory capital framework provides incentives for a stronger risk management and makes regulatory capital much closer to economic capital. Furthermore, it relies more on high quality and accurate data, which requires convergence of risk and financial data, information and reporting. However, since the financial crisis began in mid-2007, the majority of losses and most of the build up of leverage occurred not only in the banking but the trading book. An important factor was that the current capital framework for both credit and market risks, a subject whose importance is gaining momentum among the bank these days. The Basel II Accord requires banks to keep capital for Credit risk for banking book exposures and Market risk for trading book exposures. As a result, the bank may be forced to hold more capital than current rules demand to guard against losses on some kind of complex financial products.
Taiwan Financial Supervisory Commission has decided to implement Basel II starting from 2007 and the implementation has resulted in a significant impact in the banking industry in Taiwan. However, two years later, most of the banks in Taiwan are still using the standard method to calculate its Credit Risk. By consulting and investigating the Basel II implementation in some representative local banks in Taiwan, this research find some issues and presents several suggestions of the BASEL II implementation in Taiwan.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0097380036 |
| Creators | 陳思維, Chen, Szu Wei |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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