摘 要 近年來各種金融商品不斷推陳出新,金融市場的競爭更加激烈,銀行為創造更高之盈餘,往往將其資產暴露在高度的風險中,為確保金融機構能夠永續經營,金融機構必須有足夠的避險能力以免倒閉。而主要防護之道在於有充足的股東資本,此乃因充足的資本(或權益)是銀行支應非預期損失非常重要的緩衝。為了監督風險,巴塞爾銀行監理委員會所公怖『新巴塞爾資本協定』(New Basel Capital Accord,以下以Basel II 稱之)被視為國際金融監理標準之一,新協定中規定銀行所面臨的信用風險、市場風險與作業風險需全數納入資本計提的考量範圍,其主要目的在於增進金融體系之安全與穩健。我國金融業亦與國際同步於2006年底開始實施Basel II,由於該協定對於風險管理制度及各項風險暴露要求更為透明與詳細,且要求銀行在風險評估上予以量化,勢必對金融機構之營運策略與風險管理將產生重大改變。 本研究採用文獻分析法,整理新巴塞爾資本協定對信用風險的規範,並以個案A銀行,目前的信用風險管理組織架構及實施情形作一介紹,及對本國國內銀行面對風險管理之因應之道提出建言。
ABSTRACT The more financial merchandise came out recent years that make the market much competitive; banks usually exposed its capital under highly risk in order to make more profit. To make sure financial institute for the long term operation, it needs strong ability of an evacuation and to support financial institute. The main protection of financial institute is having enough capital of shareholders which is an important unpredictable buffer of it. The Basel Committee on Banking Supervision has announced New Basel Capital Accord (indicated as Basel II as the follows) that formulates broad supervisory standards and guidelines and recommends statements of best practice in banking supervision in the expectation that member authorities and other nations’ authorities will take steps to implement them through their own national systems. We also started Basel II in the end of 2006; and due to Basel II have more detail, transparent regulation on risk exposed of banks; plus it requires banks have to make risk evaluation quantitatively; Basel II will have a huge influence on operation strategy and risk management among all financial institute in Taiwan. The research uses documentation analysis on New Basel Capital Accord in order to make regulations on credit risk and also introduce the realistic of the management structure; it also provides advise for domestic banks when it face to credit risk management problems.