本國公營銀行企業金融授信實務與新巴賽爾資本協定規範之比較研究

The Study for the Comparison of corporate loan practices of Taiwan government-owned banks and the New Basel Capital Accord requirements

蕭淑玲(Shu-Lin Hsiao)

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

為因應金融環境及經營風險日益複雜，巴賽爾銀行監理委員會已於2004年6月底公佈定版的新巴賽爾資本協定，新協定主要修定內容包括：1.新協定基本架構由「最低資本適足率」、「監理審查」、「市場紀律」三大支柱組成；2.增加作業風險應計提資本；3.修訂及增訂信用風險及作業風險資本計提方法，除標準法外，允許銀行使用內部風險模型計提信用風險所需資本，並對信用風險抵減及資產證券化作進ㄧ步規範；其目的在於提升銀行風險衡量方式與控管技巧，並促進金融體系之穩健發展與強化市場競爭的本質。
行政院金融監督管理委員會已決定我國將於2007年與國際接軌，正式實施新巴賽爾資本協定，對我國銀行業將產生重大影響，在研究新巴賽爾資本協定和我國公營銀行企業金融授信實務的相關規範後，本研究提出下列建議：
1.應積極培訓自有的信用風險管理人才，才能進行建置自有內部模型。
2.建置內部模型所需資料庫。
3.應朝發展自有內部風險模型方向努力，亦可考慮與其他業者ㄧ同開發以降低成本，由於適應新協定的內部模型需花費龐大的建置費用，且銀行三大風險包括信用、作業、市場風險，不是單靠一個模型就能解決，就算是大型銀行也不可能獨立完成，可集合力量共同開發「基本模型」，在基礎架構建立後，再交由銀行個別修改、調整，一方面大幅降低成本，二方面仍保持銀行區隔化特色。
4.調整授信客戶結構，計價需考慮資本費用在內，不應再以調降利率為手段做價格的惡性競爭。
5.使用風險抵減技術，降低風險資產的風險權數，應提高手續費收入業務比重，可減少資本計提，亦可降低信用風險。

關鍵詞：
新巴賽爾資本協定

關鍵字

新巴賽爾資本協定

並列摘要

Nowadays the financial environment and managing risks are getting more complicate. Therefore, Basel Committee on Banking Supervision released the New Basel Capital Accord on July, 2004 in order to improve the current Capital Accord, and encourage banks to enhance risk management. The content of the New Accord includes: 1.The basic framework of the New Accord is consist of three pillars-minimum capital requirements, supervisory review process, and market disciplines. 2. Adding the capital charge of operational risk. 3. Revising and adding methods for capital charges of credit risk and operational risk; allowing banks to use internal risk models to charge the credit risk capital besides using the standardized approach; Setting guidelines for credit risk mitigation and securitization. The Purposes of these actions are to improve banks’ measuring methods of risks and controlling skills. Hence, banks have ability to use capital as a buffer when losses happen. Furthermore, the development of the financial system and the competition of the market can be improved.

Financial Supervisory Commission, Executive Yuan has decided that Taiwan will implement the New Basel Capital Accord officially in the end of year 2006.This implementation will have big impact to our banking industry. After studying the New Basel Capital Accord and corporate loan practices of Taiwan government-owned banks, I have the following proposal:
1. Actively training bank-owned credit risk managers to build internal models.
2. Build data warehouse for internal models.
3. Put efforts on developing the internal models. Banks should enhance the ability of management to lower credit risks and increase their competitive abilities. The cost of building internal models is huge, so banks should consider cooperating with other banks to build models together. They can build “basic model” together first, and then readjust their difference individually. Therefore, banks can save their cost and still keep their own differentiations.
4. Adjusting the structure of loan for customers, and put capital cost into consideration for pricing, instead of decreasing interest rate.
5. Using CRM (credit risk mitigation) techniques to lower the risk weights of risky assets, and raising the percentage of service fee in the business revenue to decrease the capital charge and lower credit risk.

Key words:
New Basel Capital Accord requirements

並列關鍵字

New Basel Capital Accord requirements

參考文獻

8. 胡志宏（2003），「新版巴賽爾資本協定對我國金融業信用風險管理之衝擊」，未出版碩士論文，元智大學管理研究所。

12.曾令寧、黃仁德（2005），「風險基準資本指南－新巴賽爾資本協定」，金融研訓院。

2 Basel Committee on Banking Supervision (2003),“The New Basel Capital Accord”.

6 Glaster, B., & Strauss, A.(1967),“The discovert of grounded theory: Strategiss for qualitative research”, Chicago: Aldome.

8 The Basel Committee on Banking Supervision（2004），”History of the Basel Committee and its Membership”.