台灣地區新巴賽爾資本協定之實證研究─著重於資產報酬相關係數

Asset Return Correlation Coefficient for Taiwan Corporations under New Basel Capital Accord

許瓊文(Chiung-wen Hsu)

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

The new Basel Accord had released its proposals for the reform of the capital adequacy system in January 2001, and this paper focuses on the first pillar of these proposals: the handling of capital requirements for credit risk. In the new Basel Accord the Basel Committee had envisaged an approach based on internal rating systems (IRB) for the determination of the regulatory capital. Compared to the original version of the Accord, the new approach is much more risk sensitive to credit risk. Using TEJ database, we verify the probable impact of these new rules to corporations in Taiwan. We have three main conclusions from our analysis: (i)Due to the high average default rate of Taiwan corporate borrowers, the IRB approach is penalizing in terms of capital requirements compared to the standardized one. (ii)Within each industry, estimated average asset return correlation appears to be lower than the 10-20% level proposed by the Basel committee to parameterize the risk weight function. If the estimated coefficient were used instead of the original one, Taiwan banks would eventually have an incentive to adopt the IRB approach. (iii) We also verify that estimated average asset return correlation across industries also appears to be lower than the 20% level proposed by the Basel committee to parameterize the risk weight function.

關鍵字

新巴賽爾資本協定 ； 資產報酬相關係數 ； 風險權數 ； IRB法

並列摘要

The new Basel Accord had released its proposals for the reform of the capital adequacy system in January 2001, and this paper focuses on the first pillar of these proposals: the handling of capital requirements for credit risk. In the new Basel Accord the Basel Committee had envisaged an approach based on internal rating systems (IRB) for the determination of the regulatory capital. Compared to the original version of the Accord, the new approach is much more risk sensitive to credit risk. Using TEJ database, we verify the probable impact of these new rules to corporations in Taiwan. We have three main conclusions from our analysis: (i)Due to the high average default rate of Taiwan corporate borrowers, the IRB approach is penalizing in terms of capital requirements compared to the standardized one. (ii)Within each industry, estimated average asset return correlation appears to be lower than the 10-20% level proposed by the Basel committee to parameterize the risk weight function. If the estimated coefficient were used instead of the original one, Taiwan banks would eventually have an incentive to adopt the IRB approach. (iii) We also verify that estimated average asset return correlation across industries also appears to be lower than the 20% level proposed by the Basel committee to parameterize the risk weight function.

並列關鍵字

New Basel Accord ； Asset Return Correlation Coefficient ； Risk Wight ； IRB Approach

參考文獻

2. Alistair Milne,” Minimum capital requirements and the design of the new Basel Accord: A constructive critique,” Journal of Financial Regulation and Compliance, August 2001,pp312-326

3. Basel Committee on Banking Supervision(2001)

6. David Jones, “Emerging problems with the Basel Capital Accord: Regulatory capital arbitrage and related issues,” Journal of Banking & Finance 24, 2000,pp35-58.

7. David T. Llewellyn, “A regulatory regime and the new Basel Capital Accord,” Journal of Financial Regulation and Compliance, August 2001,pp327-337.

8. Daniel Rosch (2002) Correlation and Business Cycles of Credit Risk: Evidence from Bankruptcies in Germany.