新巴塞爾資本協定之作業風險衡量-以S銀行為例

OPERATIONAL RISK MEASUREMENT OF NEW BASEL II ACCORD FOR S-BANK

李素月(Su-Yueh Lee)

指導教授 ： 丘駿飛

元智大學/管理學院/管理研究所/碩士(2007年)

摘要

我國金融機構規模與其他國家相較相對較小，且同質性高，銀行競爭激烈，缺乏國際競爭利基，為建構與國際接軌的金融環境與法制，提升本國銀行與國際及亞洲區域性銀行之競爭力，整併是必然趨勢。再加上新巴塞爾資本協定(The New Basel Capital Accord) 於 2006 年底實施，金融業的風險監控機制由資本適足率管理，擴大為資本適足率、監督審查及市場紀律三項支柱，未來銀行風險管理工作將更為繁雜困難，因此對台灣金融業是項大挑戰，但卻也是提升競爭力與國際接軌的契機。
配合Basel II之實施，再加上國內金融機構不斷的整併過程中，要發展一套適合自己的作業風險管理系統困難度更高。銀行之作業風險管理能力愈強其競爭力隨之愈強，因此必須投入大量資金建構資訊軟硬體設備，建置風險損失資料的蒐集與處理的管理技術，教育訓練與人才培育。藉此符合 Basel II規範的金融機構，可望在國際上獲得較佳評等，有助競爭力提昇。
本研究探討在Basel II之理論規範下，有關作業風險損失資料庫的建置與衡量，以S銀行為例，實務上如何執行與執行時所面臨之問題，進行研究探討。

關鍵字

新巴塞爾資本協定 ； 作業風險

並列摘要

Compared to other countries, the scale of our financial institutions is smaller and, among the banks, the competition is keener as well as lack of the niche for international competition due to the highly similar business nature and activities. In order to construct a financial environment and legal system with international connection, mergers and acquisitions have become the necessary trend to increase the competitive capability for local banks toward the international and Asian regional banks.
Coupled with the scheduled implementation of The New Basel Capital Accord at the year-end of 2006, the risks of the banking industry monitored via capital adequacy has expanded to three pillars of capital adequacy, supervisory and market discipline.
To look ahead, the risk management will become more difficult and complicated. While this is a big challenge to the financial industry in Taiwan, it is also the turning point to raise the nation’s competitiveness and international connection.
In the midst of non-stop mergers and acquisitions among the domestic financial institutions, to comply with Basel II and to develop a system for operation risk management suiting the bank itself has become more difficult. The stronger the bank’s operation risk management capability is, more competitive it becomes. Therefore significant investment must be in place for the system infrastructure, the data management and collection for loss experience, and the cultivation of human capital as well as talent training. With these establishments, those financial institutions compliant to Basel II standard can earn better international rating that helps raise the competitiveness.
Under the Basel II guidelines and structure, this research probes the area of data building and measurement of the loss experience related to the operational risk. This study will focus on S Bank’s execution in actual practice and the problems occurred during the execution.

並列關鍵字

The New Basel Capital Accord (Basel II) ； Operational Risk

參考文獻

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