銀行市場風險與適足資本之研究－內部模型法

Market Risk and Capital Requirement for Banks the Internal Models Approach

劉美纓(Mei-Ying Liu) ； 吳俊賢(Chun-Hsien Wu) ； 吳壽山(Sou-Shan Wu)

《台灣管理學刊》 3卷1期 (2003/02) Pp. 75-99

https://doi.org/10.6295/TAMJ.2003.0301.05

摘要

本研究旨在依1996國際清算銀行(BIS)所頒佈新資本適足率的規範，以國內特定大型銀行的實際資產組合（包括固定收益證券、外匯資產以及權益證券）為樣本，採用(1)變異數／共變異數法(2)歷史模擬法(3)蒙地卡羅模擬法三種普遍被國內外金融監理單位採行的方法來估計該銀行的市場風險值以及應計提資本，並以之檢視現行頌訂涵蓋市場風險銀行適足資本規範的合宜性。實證結果顯示：本研究採三種VaR模型所估計之風險值均大幅低於標準法之應計提資本。惟依BIS現行資本管制規範，銀行若採行內部模型法計提資本，其乘數因子至少為3。如此一來將使本研究所採三種內部風險值模型所衡量之應計提資本均高於標準法之應計提資本，此一標準容或有過高之虞，而降低銀行自行發展內部模型之誘因。

關鍵字

風險值 ； 變異數／共變異數法 ； 歷史模擬法 ； 蒙地卡羅模擬法

並列摘要

This study bases on the 1996 BIS capital adequacy guidelines to employ three popular methods: the variance/covariance method, the historical simulation method, and the Monte Carlo simulation method to calculate the VaR using data on the actual fixed income security, foreign exchange and equity security holdings of a large bank in Taiwan. We examine how the models fare the bank if the proposed rules are put into operation. The empirical result shows that the VaRs calculated by the three internal VaR models are substantially less than the capital requirement under the standard method. However, the amendment to the Basle Accord for banks proposes that the VaR calculated by the internal models should be scaled up by a multiplication factor of at least 3. With such a high scaling factor, capitals at risk calculated by the three VaR techniques all exceed the capital requirement under the standard method. This may discourage the banks to develop their own internal models.

並列關鍵字

VaR ； Variance/Covariance Method ； Historical Simulation Method ； Monte Carlo Simulation Method

參考文獻

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