隨著國際金融環境的改變,銀行產業結構、風險管理方面,主管機關監理措施以及金融業務等皆經歷了重大的轉型。 1999年6月,國際清算銀行(Bank for lnternational Settlement)巴塞爾委員會(the Basel Committee on Banking Supervision)發佈新式資本適足性架構(A New Capital Adequacy Framework),針對架構中的第一支柱,即最低資本要求(minimum capital requirements),保留標準法(the standardizing approach)並提供內部評等法(the internal ratings-based【IRB】approach, 簡稱IRBA)予銀行計算風險性加權資產(risk-weighted assets),以計提法定資本。由於IRBA相對於標準法較具風險敏感度,更能反映銀行所面對的信用風險,當然其計算方式亦顯得複雜許多。 銀行以IRBA計提法定資本時,必須考量四個計算要素,即違約率(ProbabiIity of Default, PD)、違約損失率(Loss Given the Default)、違約暴險額(Exposure at Default)與到期日(Maturity)。由於巴塞爾委員會考量並非所有銀行都有能力求得上述四個IRBA的計算要素,故將IRBA分為基礎IRBA(IRB Foundation Approach)與進階IRBA (IRB Advanced Approach),其中採用基礎IRBA的銀行僅須計算PD,其他三個計算要素為巴賽爾委員會所提供,其他三個計算要素為巴塞爾委員會所提供,而採用進階IRBA的銀行則須求出四個計算要素。綜上所述,只要銀行採IRBA計算法定資本要求,則均須面對計算PD的課題。 國際清算銀行巴塞爾銀行監督管理委員會,業於2004年6月公告新巴塞爾資本協定案版,並於2006年底開始實施標準法及基礎內部評等法之估用風險衡量方法,及自2007年實施之進階內部評等法。 綜上所述,只要銀行採用IRBA計算法定資本要求,必須面對PD的課題,本文將針對新巴塞爾資本協定對銀行企金授信影響作深入探討。
With changes in the international finance environment, bank sector structure, risk management area, monitor procedures and finance market are also currently going through major changes. In June 1999, the Basel Committee on Banking Supervision of the Bank for International Settlement announced a new version of New Capital Adequacy Framework. This focuses on the first pillar of the banking structure which is the minimum capital requirement of the standardizing approach, and also provides the internal rating-based (IRB) approach (IRBA) into the bank risk management calculations of the risk weighed assets to determine the capital. Due to the sensitivity of the IRBA and the standardizing approach to risk, it can reflect even more on the types of credit risks the bank faces and at the same time, the calculation process becomes more complicated. When the bank uses the IRBA to determine the capital, it must consider 4 factors: probability of default (PD)、loss given the default(LGD)、 exposure of default (EAD) and maturity(M). In June 2004, The Basel Committee of Banking Supervision of the Bank for International Settlement announced the new firm agreement of Basel II version, and started carrying out the credit risk balance method of the IRB foundation approach at the end of the year 2006 and in 2007, IRB advanced approach was carried out. In summary, if the bank uses IRBA method to determine the capital, it will have to face PD calculation. So, this thesis will focus on assessing and discussing the influence of Basel Capital Agreement on the advantage and disadvantage of the enterprises loans sector.