新版巴塞爾資本協定對我國金融業信用風險管理之衝擊

The Impact of The New Basel Capital Accord on the Credit Risk Management of Financial Institutions in Taiwan

胡志宏(Chih- Hung Hu)

指導教授 ： 丘駿飛

元智大學/管理學院/管理研究所/碩士(2003年)

摘要

信用風險為金融業經營上最大的風險來源，也是金融業損失的最主要的原因，截至2002年6月底止，根據財政部所公佈整體金融機構的逾放比率（含應予觀察放款）高達10.79%，逾放金額為15,252億元，其金額不可謂之不高。
巴塞爾資本協定自1988年公佈，1992年實施以來，已成為全球金融監理的新標準，但舊版的巴塞爾資本協定對信用風險的處理原則，側重於資本適足率的計提，且只提供單一的標準法，並不足以反映真實信用風險的現況。
巴塞爾銀行監理委員會自2001年提出新版巴塞爾資本協定的草案以來，對信用風險的管理，改採積極的態度，除修正原有的標準法外，更引進內部模型的觀念，藉由外部評等的結果及建立內部評等制度的方法，提升金融業內部對信用風險管理的能力，而不再只是消極的計提適足資本。
然而新巴塞爾資本協定的實施，必須具備相當的條件，以目前預定實施時間2006年而言，國內的金融機構未必具有直接實施內部評等法的條件，且大部分的金融業者勢必不得不採行標準法，長期而言採行標準法的業者，因要計提較高的資本其營業競爭力將會大減。本文將採質性的探討方法，對實施新巴塞爾資本協定可能產生的衝擊，分為對金融業者與監理機關兩部分加以探討，做出結論並提出建議以供參考，同時提醒業者欲保持長期的競爭力，應愈早實施內部評等法方為上策。

關鍵字

新巴塞爾資本協定 ； 金融業 ； 信用風險管理

並列摘要

Credit risk is the largest risk resource in the operation of the financial industry, and it’s also the most major reason of financial industry loss. According to the Ministry of Finance, till the end of June in year 2002, the non-performing loan ratio ( including special mention loan；some additional substandard credits that are not classified as official non-performing loans) of all financial institutions has reached to 10.79%, and the amount of non-performing loan has rose up to 1525.2 billion dollars, which is a really huge number.
The Basel Capital Accord has become the new standard of global financial supervision since it was announced in 1988 and implemented in 1992. However, as to the principles for managing credit risk, the Old Basel Capital Accord put emphasis on the measurement of capital adequacy ratio, and only provides a single standard approach, which fails to reflect the real situation of credit risk.
Since Basel Committee on Banking Supervision provided the protocol of the New Basel Capital Accord in year 2001, it has taken a positive attitude for credit risk management. In addition to modifying the original standard approach, it introduces the concepts of internal models. Instead of negatively measuring adequate capital, it promotes the financial industry abilities for credit risk management by means of the external rating-based results and the internal rating-based systems.
Nevertheless, the implement of the New Basel Capital Accord has to meet a lot of requirements. As far as the predestined implement time year 2006 is concerned, the domestic financial institutions not necessarily meet the qualifications to implement internal rating-based approach directly, and most of them can’t not help but implement the standard approach. In the long run, the competition of those implementing the standard approach will weaken sharply owing to the higher capital measurement. Through qualitive analyses, this essay will discuss about the possible shocks resulted from the implement of the New Basel Capital Accord to two parts: one is to financial institution and the other is to supervision institution. In the end, this essay will make a conclusion， provide suggestions for references, and remind the financial industry that it’s the best policy to implement internal rating-based approaches as early as possible in order to maintain long-term competition.

並列關鍵字

The new basel capital accord ； financial ； Credit risk management