- 學位論文
規範銀行產業經營之BaselⅡ的三大支柱之整合分析
An Integrated Analysis of Regulating Banking Industry of Three Pillars of BaselⅡ
摘要
在國際金融風潮下，金融自由化、國際化及科技化之盛行，使得銀行競爭日益激烈，面臨之風險更是與日遽增。銀行產業之首要課題，即是有效管理風險、提升資產品質，以強化銀行競爭力。 國際清算銀行(BIS)所屬之巴塞爾銀行監理委員會(Basel Committee on Banking Supervision, BCBS)於2004年6月26日頒佈了最新之資本國際規範，通稱「新巴塞爾資本協定」(International Convergence of Capital Measurement and Capital Standards)，簡稱BaselⅡ。協定包含三大支柱，第一支柱「最低資本要求」提供衡量信用風險、作業風險，及市場風險等三種風險衡量方法；第二支柱「監理覆審」提示監理機關監管銀行之審查程序與原則；第三支柱「市場紀律」規範銀行之資訊揭露以受市場制裁。 本論文首先分析三大支柱之核心意涵，再以推理法研究BaselⅡ之整合性經濟意涵。研究結果顯示，若監管單位對銀行經營風險之監管行動(第二支柱)與市場紀律要求(第三支柱)，其規範落實良好，則監管單位可有效酌降銀行之最低資本比率(第一支柱)。亦即，規範銀行產業經營之BaselⅡ的第二支柱與第三支柱為互補增強，而其與第一支柱則彼此互為替代。 本文另補充監管機關隨機稽查銀行與信用風險值(CVaR)管制之推理分析。本文之重要發現為，監管機關對不誠實、謊報資訊之銀行，應要求提列較高之最低資本比率，此論証是其他文獻所無，為獨創性之研究；同時，CVaR管制會導致銀行信用配給，此透過信用管道緊縮貨幣政策後，將降低社會福利。
並列摘要
Under the agitation of the international finance, the prevailing of financial liberalization, internationalization and technicalization makes the banking competition much more fierce, the risks faced by banks are increasingly enhanced even more. The primary subject of the banking industry, namely managing the risk, and improving the quality of the assets effectively, is attempted to strengthen the banking competitiveness. Basel Committee on Banking Supervision(BCBS), which belongs to the Bank For International Settlements(BIS), issued the latest international norm of capital on June 26 , 2004, generally called the “New Basel Capital Accord”(International Convergence of Capital Measurement and Capital Standards ), abbreviated as BaselⅡ.This accord includes three major pillars .The first pillar－Minimum Capital Requirements, offers the methods of measuring three kinds of risks, such as credit risk, operational risk, and market risk. The second pillar－Supervisory Review Process, provides the procedures and principles of inspection for the supervisors. The third pillar－Market Discipline, regulates the disclosure principles for banks to face the disciplinary sanctions of markets. This paper first analyzes the core meanings of the three pillars, then set up a general model to investigate the integrated meanings of BaselⅡ.The result of the study shows that if the supervisor’s supervision actions (the second pillar) and market discipline requirements(the third pillar) for banks are regulated well, the minimum capital requirements ratio(the first pillar) may be lower. Namely, it implys that the second pillar and the third pillar of BaselⅡ strengthen complementarily, but become substitutes with the first pillar. The paper also makes an additional remarks on the regulation effects of stochastic auditing of supervisors and the credit value at risk(CVaR). The result of the study shows that the supervisor should require the higher minimum capital ratio for dishonest banks. Meanwhile, CVaR regulation causes credit rationing of banks, which tightens the monetary policy through the credit channel , and reduces the social welfare.