新巴塞爾資本協定對銀行零售金融授信業務之影響與探討

A Probe on Effects of New Basel Capital Accord (Basel II) on Banks’ Retail Financial Crediting Practices

陳乾隆(Chien-Lung Chen)

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

2007年台灣將全面實施新版巴塞爾資本協定，信用風險的計算方式導入評等的概念，Basel II 與 Basel I 最大的不同在於除了標準法之外，增加內部評等法，而本文藉由瞭解新巴塞爾資本協定與內部評等法模型建置，探討銀行如何建立各別適用之內部信用評等模型，應用於授信決策與信用風險管理，並著重於新版巴塞爾資本協定之信用風險計提以及新資本協定可能對零售金融授信業產生之衝擊與因應上。
金融機構普遍缺乏對風險認知、衡量與管理的技術，再加上信用風險資料庫建置工作困難重重等，將面臨市場競爭力不足的壓力。國內金融業欲走向國際化就必須與國際接軌。因此，主管機關與金融相關同業應及早擬定因應措施，充分了解新資本協定之內涵，做好風險管理工作符合新協定之要求。巴塞爾銀行監理委員會自2004年6月提出修正之新版巴塞爾資本協定後，對信用風險的管理，改採積極的態度，除修正原有的標準法外，另引進內部評等模型的觀念，藉由外部評等的結果及建立內部評等制度的方式，提升金融業內部對信用風險管理的能力，而不再只是消極的計提適足資本。
國內的金融機構現況並未具有直接實施內部評等法的條件，且大部分的金融業者勢必不得不先採行標準法，長期而言採行標準法的銀行，因要計提較高的資本其業務競爭力將會大減。本文將採比較性的探討方法，對實施新巴塞爾資本協定可能產生的衝擊，分為對銀行業者與監理機關兩部分加以探討，做出結論並提出建議以供參考，同時提醒業者欲保持長期的競爭力，應愈早實施內部評等法方為上策。

關鍵字

BASEL II；RETAIL FINANCIAL；CREDIT RISK

並列摘要

In 2007, Taiwan will follow the global trend and implement New Basel Capital Accord (Basel II) in full range adding the conception of ratings-based into credit risk estimate. The most remarkable difference between Basel II and Basel I is the Standardized Model as well as the Internal Ratings-Based Approach. According to Basel II and the facilitation of the internal rating-based model, this essay is to discuss how to set up the appropriate internal credit-ratings model for various types of banks so as to apply for crediting policies and credit risk management. Further, it focuses on the possible pressures and taken measures being attributed to Basel II itself and its credit risk estimate for retail financial crediting practices.

Financial institutions may face a tough time of market incompetence, owing to their prevailing lack of risk cognition and of weighing and management skills; moreover, to the difficulties in setting up a credit risk data base. Domestic financial businesses have to conform with the worldwide strategies catering to the globalization trend. Therefore, the administration authorities and financial related businesses should get prepared getting the core idea of Basel II to meet its requirements on risk management. Basel Committee on Banking Supervision has taken an active attitude on credit risk management after proposing a revised accord (Basel II) in June 2004. In addition to the original Standardized Model, the Committee has poured in the conception of internal rating model. Through the exterior rating results and internal rating system, it is expected to upgrade the credit risk managing capabilities for financial internal practices rather than passively withdraw the adequate capital.

For the current conditions, domestic financial institutions have not prepared yet for the facilitation of internal rating model; most of them have no way but to adopt the Standardized Model. In the long term, unfortunately, the banks adopting the Standardized Model will greatly decrease their competing power because of higher capital withdrawal. This essay will apply a comparative method for an investigation into the possible influences on banking businesses and supervisory offices respectively in the wake of the implemented Basel II. Some recommendations and conclusions will also be presented herewith for useful reference. Further, the essay will provide suggestions for banking businesses to better facilitate the internal ratings model as early as possible to keep up a long-term competence.

並列關鍵字

新巴塞爾資本協定；零售金融；信用風險

參考文獻

5.李三榮 (2005)，「Basel II」，台灣金融研訓院講義。

10.胡志宏 (2003)，「新版巴塞爾資本協定對我國金融業信用風險管理之衝擊」，元智大管理研究所碩士論文。

18.黃憲章(2003)，「新版巴塞爾資本協定對我國金融業營運風險管理之衝擊」，元智大管理研究所碩士論文。

27.龐中懿 (2004)，「巴塞爾銀行監理委員會對銀行外部稽核規範之探討」，元智大學會計研究所碩士論文。

30. The Basel Committee on Banking Supervision (2001), ”The Standardized Approach to Credit Risk”, Basel Report, January.