平衡計分卡應用在我國證券商風險管理之研究

The Research of Balance Score Card Applying for Domestic Securities Risk Management

許秋瑩(Chiu-Ying Hsu)

指導教授 ： 黃 博 怡

共同指導教授 ： 李 弘 暉(Hung-Hui Li)

元智大學/管理學院/管理研究所/碩士(2006年)

摘要

國內外金融市場及商品不斷創新及發展，使價格波動劇烈。衍生性金融商品之創新與成長，亦使金融機構所操作之商品亦趨多元及複雜，風險亦隨之升高。而近年來我國證券商陸續發展投資銀行業務，主管機關持續開放各項金融商品，使證券商業務及經營空間增加，提供市場更多樣的投資管道，證券商所面臨風險亦不但多元及複雜，其造成公司或甚至於產業影響之深度更形急遽。但目前我國證券商風險管理，仍大多停留在僅以內部控制及稽核以管制風險，雖有如證券商經營風險預警指標、資本適足制度及VAR值的計算，但若只定位在管制風險的位階，無法提昇績效以創造公司價值，風險管理即無法落實而徒具形式。
本研究蒐集歸納國內證券之風險事件及危機，以質性研究之方法分析個案，驗證國內外風險管理相關理論與模式，深入探究證券商在各種發生及可能發生的各種風險與危機。研究數據顯示發現，國內證券商在規劃策略發展時，雖有年度計劃及目標，但幾無有效之風險管理關聯度之考量，於追求經營目標之前題時，風險即無法兼顧，但案例顯示忽略更導致風險事件發生,結果不單打擊目標之逹成，甚至嚴重影響證券商生存；國內證券商在三大風險管理的能力上，市場風險管理能力較為主動，已常見有較成熟之模式、指標、數據及作法；信用風險上，常藉由外部評等機構評量結果，進行被動管理；作業風險管理則被動配合法規及主管機關要求；國內證券商整體性營運規劃與風險管理結合之實務及理論皆有提昇空間，更欠缺模式建立及歷史數據蒐集分析，面臨風險時容易手足無措，進退失據，造成嚴重後果；故本研究結合證券商風險管理與平衡計分卡之構面的指標、關聯與模式，建立『績效風險管理模式』，解決上述問題，以預先防範及自根源到可能面臨的一連串嚴重問題中，找到最適當風險解決時機、節點及方法，建構「風險管理」及「績效衡量」平衡的策略地圖。

關鍵字

證券商,風險管理,平衡計分卡

並列摘要

The price of finance commodity fluctuates according to the evolution and revolution of the finance market. The risk of the securities is hard to predicate and manage because the complexity and multivariate of growing finance commodity of securities are increasing rapidly. In the meanwhile ,the domestic securities begin to involve the commodities of invest banking and the constrains of securities business are resolved by the authorities. The variance and degree of commodities are change more and more because the invested channel and chance are become diverse. The finance risk event will make enormous damages of not only single security but the entire market. The risk management concepts and skills of most domestic securities are still in the legend internal control and audit. There are some better risk management tools such as risk alarm indicator, the risk preparation on capital ratio and calculation of VAR. Those risk management tools can actually help securities only when the tools are combined to the business objectives and the value of company is improved.

This research collects and classifies the risk events of domestic securities. The cases are studied by the – study and verified by the risk management theories and models. The predication and prevention of risk and critical events are proposed in this research. The cases and numbers show that the consideration of the relations between the vision, annual targets plan and risk management plan are lack in domestic securities. The risk probabilities are always becoming high when the risk management activities are ignored when the targets related activities are executing. The results are the target can not match and even the company can not be survived. The characteristics are different in domestic securities among three risk management capabilities. It is more aggressive in market risk management than the others. There are some typical model, index and histories data. Assurance risk management is only dependent of the result evaluated by outside assurance organization and operational risk management is depend on the regularity and demand of authorities. This research also find that there are some improvement can be taken by domestic securities in the combing the historical theories and best practice. The building of local securities risk management model and data collection are needed to prevent the disaster causing by the improperly reaction and decision when the risk event is happen. The “performance risk management model” for combining the balancing score card and risk management theories are proposed in this research. It can provide integrated solutions to make a strategic map when decision making is needed of risk management in serious, continuous risk events.

並列關鍵字

Securities,Risk Management ,Balance Score Card

參考文獻

3. 林紹州(2004)，「投資人違約交割信用風險管理之探討」，碩士論文，中原大學企業管理研究所。

中文書籍：

1. Roberts. Kaplan & David P. Norton (2003)，朱道凱譯(2003)，《平衡計分卡-資訊時代的策略管理工具》，台北，臉譜

2. Christopher Marshall (2000)，李佩芝譯(2005)，《金融機構作業風險的衡量與管理》，台北，財團法人台灣金融研訓院

3. Michel Crouhy . Dan Galai . Robert Mark(2004)，台灣金融研訓院編譯委員會譯(2006)，《風險管理》，台北，財團法人台灣金融研究院