新巴塞爾資本協定與銀行企業金融授信實務之比較研究 --以A銀行及B金控之信用風險為例

Practice of Basel II on Loans of Corporate Banking -- Comparison of Influences on Credit Risks of Bank A and Bank B, a Bank under Financial Holdings, as an sample.

簡郁人(Yu-Jen Chien)

指導教授 ： 丘駿飛

元智大學/管理學院/管理研究所/碩士(2006年)

摘要

本論文係以A銀行及B金控轄下銀行為例，擬就銀行企業金融實務之觀點，探討新巴塞爾資本協定實施後，對銀行企業金融業務實務面可能產生的差異衝擊與影響，即銀行為確保資本適足率、獲利性與市場競爭力，對企業授信資產組合及結構是否有所調整等相關課題作探討，經本研究結果知悉：
ㄧ.A銀行在Basel II信用風險的衡量上，因欠缺歷史資料庫、風險管理人才不足及IT技術落後等問題，勢必無法採用內部評等法，致使未來須採用標準法計提資本，恐將會使A銀行承受較高的資金成本，以致削弱該銀行的競爭力。
二.以A銀行資產配置中如同若干銀行同業普遍存在土建融業務所佔比例甚高現象，其不論採取標準法或IRB法，此土建融業務將使資本計提大幅增加，此點恐是A銀行同業必須提早因應並做好資產配置調整，以保有其資本適足率及市場同業競爭力。
三.B金控在國內銀行中對風險管理算是很積極的，已成立風險管理部等專案小組，其若能採用內部評等法衡量信用風險，將有助該銀行資本配置效率及競爭力的提昇；然而並非所有銀行都有能力採用此法。因而B金控所須執行工作廣涉，有賴其需結合審查部、債管部、企消金部、資訊室、會計室等各單位眾人力共同努力，以期順利以高階之風險管理IRB法控管各項風險。
四.就信用風險而言，不論是採用標準法或內部評等法，我國銀行業者應自行依其條件評估所要採用的方法，不應等待或仰賴金融監理機關決定，而本論文所提出A銀行欲實施標準法及B金控時轄下銀行欲實施內部評等法之因應步驟，希望對國內授信風險管理普遍類似A銀行及B金控之金融同業有所助益。

關鍵字

新巴塞爾]

並列摘要

This study discusses the practice of Basel II on loans of corporate banking based on the example of different influences on Bank A and Bank B, a bank under Financial holdings.A bank may re-allocate its loan portfolio in order to maintain its capital adequacy ratio, profitability, and market competibility. This study obtains the following main conclusions:
1.Bank A cannot use the Internal Ratings-Based Approach (IRB) on credit risk for lack of enough data base of past information, risk management human resources, and information technologies. Therefore, Bank A can only use the Standardised Approach on calculating its capital requirements for credit risk. As a result, Bank A will suffer high capital cost so weaken its competibility.
2.No matter Bank A use IRB or Standardised Approach, Bank A’s loans with high proportion of land and construction lending, which is a common situation as most of the other banks, resulted in high risk weights. Bank A should rearrange its loan portfolio so that to maintain its capital adequacy ratio and market competibility.
3.Bank B, a bank under financial holdings, is active on risk management. Bank B established Risk Management Department and other risk management teams. If Bank B can use the IRB on credit risk, that will strengthen its effectiveness in capital allocation and competibility. However, risk management department is not a guarantee that Bank B can use the IRB. Bank B should also make the effort with other departments, such as Loan Assessment Department, Credit Review and Management Department, Personal Banking Department, Corporate Banking Department, Information Technology and Administration Department, and Accounting Department.
4.Banks in Taiwan should evaluate its situation to decide the use of IRB or Standardised Approach on credit risk. They should not await for the authority in charge to choose the approach for them. The methods and steps discussed in this study may help those banks which has similar situation to Bank A or Bank B.

並列關鍵字

Basel II

參考文獻

【20】許德南(2005)，Basel II與金融業的變革，華南金控內部稽核，頁4-7。

【5】李三榮(2002)，Basel II台灣金融財務季刊第三輯第二期，台灣金融研訓院。

【6】李逢哲(2005)，因應Basel II本國銀行危機預警模型與信用評等模型之建立，未出版碩士論文，中原大學企業管理學系研究所，頁7-12。

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【13】胡志宏(2002)，新版巴塞爾資本協定對我國金融業信用風險管理之衝擊，未出版碩士論文，元智大學管理研究所。