本文先以新版巴塞爾協定中信用風險的架構來說明目前國內之因應狀況,並透過風險管理的角度來了解新版巴塞爾協定中內部評等法對銀行的影響,進而透過個案分析Morgan(1997)的Credit MetricsTM模型衡量投資組合信用風險值的過程,提供國內銀行找出衡量資產組合信用風險衡量模式的參考,使銀行能具備初步的風險值觀念來計算信用風險,並量化該銀行資產組合的信用風險值。
This document describes the implementation of credit risk in New Basel Capital Accord in Taiwan's Bank industry and analyzes the impact of the IRB method in New Basel Capital Accord through risk management's aspect. This study applies Credit MetricsTM model (Morgan, 1997) to calculate Credit VAR of asset portfolios and give Taiwan's bank a reference when measuring credit risk in its assets portfolio. This result not only provides a basic concept of Credit VAR but also helps Taiwan's bank to calculate its Credit VAR for its assets portfolio.