金融業因應新巴塞爾資本協定衝擊之研究

A Study on the Measures taken by the Financial Institutions in Taiwan to Cope with the Impacts of New Basel Capital Accord

彭梅英(Mei-Ying Peng)

指導教授 ： 簡俱揚 ； 鄒翊

中原大學/商學院/會計研究所/碩士(2006年)

https://doi.org/10.6840/cycu200600145

摘要

本研究針對國際清算銀行從2007年起實施新巴塞爾資本協定，而我國修正的「銀行資本適足性管理辦法」將自民國九十六年起實施，探討新巴塞爾資本協定對我國金融業之影響及探討我國銀行業之資本適足率在因應新巴塞爾資本協定之規定時，其可能操弄於盈餘管理方法的研究。本論文係屬於描述性及探索性之研究，藉由相關文獻資料之整理及探討，並綜理產官學界之觀點，所進行研究的間接研究方法。

新巴塞爾資本協定透過三大支柱，來強化銀行體系之風險管理與健全安定之理念，在我國金融規範與制度能與國際接軌之情況下，第一支柱─最低資本要求：將納入更具敏感性風險衡量方法及強化作業風險管理；第二支柱─監理審查：將建立以風險為基礎之監理與評等制度、實施差異化管理以及督促銀行改善風險管理缺失及強化資本；第三支柱─市場紀律：銀行應對資本工具、風險管理制度、政策及管理技術進行定性及定量公開揭露，藉市場參與者對公開資料之評價，落實市場監督功能。建置健全的風險管理制度及以風險管理為導向之銀行監理將為國際發展趨勢；內部稽核人員必須對組織之風險管理系統深入了解內部稽核與獨立之風險管理架構需相輔相成。

金融業在面臨Basel II的資本適足率之資本計提要求下，將因風險之要求更加嚴謹而所計提之資本增加，在盈餘管理的可行領域中，也將隨著銀行盈餘管理的操作下帶來了相對的風險提升，並非過去文獻中所有之盈餘操控工具都是可行的策略，但仍然保有部份以及可能新增的盈餘操控工具趨勢。雖然金融業仍然有盈餘管理操弄的空間，但在Basel II的更加嚴謹規範下，其相對帶來的風險控管將更形重要，是此，未來金融業在面臨風險控管更加嚴謹之要求下，其銀行之盈餘資訊將更加真實，其透明度也將更加提升，對整體金融環境將更形正面的影響。

新巴塞爾資本協定之實施，雖然短期內會造成銀行經營成本的增加，但卻可創造一個機會，讓銀行可以檢視其各項商品及客戶風險，進而帶來銀行長期更穩健的經營，目前台灣的金融系統正持續轉型及進行全球化，與國際性接軌努力下，應有能力因應新巴塞爾資本協定，只要銀行再加強風險控管，可將新巴塞爾資本協定轉成正面影響。

最後針對我國銀行業之主管機關、銀行業者、後續研究學者，提出相關之建議。

關鍵字

盈餘管理 ； 新巴塞爾資本協定

並列摘要

The New Basel Capital Accord will be implemented by the Bank for International Settlement in 2007, and, in the same year, the government of R.O.C. will also enforce the revised “Regulations Governing the Capital Adequacy Ratio of Banks”. Focusing on these changes, a research is made in this thesis on the influence of the New Basel Capital Accord on the financial industry of R.O.C., as well as the possible manipulation on the earnings management methods, when banks are required to comply with the capital adequacy requirements in the New Basel Capital Accord. The researches conducted in the thesis are of a descriptive or explorative nature. An indirect method was adopted where the research results were achieved through the collection and study of relevant documents and information, and the integration of views from professionals in the manufacturing, government and academic fields.

The main spirit of the New Basel Capital Accord is to strengthen the risk management of the banking industry and to ensure the robust operating system within the industry, through the three pillars specified in the Accord. To ensure that the banking regulations and systems of Taiwan can keep pace with the international standards, various approaches need to be considered. The first pillar- Minimum Capital Requirements: Further enhancement of the risk management systems is required, and more sensitive risk measurements will be introduced. The second pillar – Supervisory Review Process: We need to establish a risk-based supervisory and assessment system, enforce differentiation management, and urge banks to rectify defects in risk management and strengthen their capital structure. The Third Pillar – Market Discipline: Banks are required to conduct qualitative and quantitative public disclosure on its capital instruments, risk management system, management policies and management techniques, thereby ensuring the full functioning of the market supervisory mechanism through the evaluation on such disclosed information by the market participants. Establishing a healthy risk management system and a risk-oriented banking supervisory system are both parts of the international trends in financial development. Internal audit personnel are therefore required to have in-depth understanding of the risk management systems within the organization. The internal audit function and the independent risk management system should closely work together and supplement each other to ensure their effectiveness.

Facing the new capital adequacy requirements stipulated in Basel II, banks will inevitably encounter an increased capital requirement due to the stricter regulations on risk calculation. This also suggested a corresponding increase in the risks of manipulating the earnings management methods within their practical area. Not all the earnings management methods reported in previous documents are feasible strategies for banks now, although some of them may still be feasible, and new methods for earnings management may emerge. Whilst financial institutions may still have some room in manipulating earnings management, it is now more important to enforce stricter risk management to accommodate to the stricter regulations under Basel II. The more rigorous regulations in risk control implies more genuine and transparent profit information provided by financial institutions, which will no doubt positively influence the overall financial environment.

The implementation of the New Basel Capital Accord may cause an increase of management costs for banks in the short term. Nevertheless, it also provides a good opportunity for banks to examine the risks of their products and customers, thereby leading to a healthier and more sustainable management style. Having gone through a continuous transformation and globalization process, the financial industry in Taiwan should have already equipped itself with the capabilities to cope with the requirements of the New Basel Capital Accord, which would eventually turn out to be a positive change as long as Banks in Taiwan continue their efforts in the enhancement of risk management.

In the last part of the thesis, we have provided the relevant recommendations to the banking industry and the competent authorities, as well as the researchers in this area in the future

並列關鍵字

the New Basel Capital Accord ； earnings management

參考文獻

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