金融控股公司之整合性風險管理與資本適足

Integrated Risk Management and Capital Adequacy in Financial Holding Company

陳燕琪(Yan-Chi, Chen)

指導教授 ： 林筠

國立臺灣大學/管理學院/財務金融學研究所/碩士(2004年)

https://doi.org/10.6342/NTU.2004.10172

摘要

當前的世界金融趨勢是朝「跨業經營、組織金融集團」的方向發展，其成果包括早期德國的綜合銀行，及近年美、日兩國新興之金融控股公司。而我國也在順應國際潮流之下，於民國九十年通過了「金融控股公司法」，解除對銀行、證券、保險業「跨業經營」之限制；截至民國九十二年底為止，我國總共成立了十四家金控公司。然而，此三類不同型態的金融機構，其核心業務、主要風險均不同；將此三類金融機構納入金融控股公司體系下，更創造了新的風險來源。因此，「如何建立完整的風險管理機制」便成了金融控股公司成立後，最重要的議題。
在風險管理機制中，金融控股公司首先必須要先能辨識其面臨的風險。參考本國特殊的金融環境後發現，不僅國內的三大類金融機構之核心業務及主要風險與國外同業存有差異，金控公司所面臨的風險與國外金融集團亦有程度上之不同。國內的金控公司，其「風險集中」、「信譽風險」、「風險擴散」、「監理風險」、「雙重槓杆」等問題較為嚴重，而「利益衝突」的問題，在業者進行「整合同類型子公司」及「以客戶為單位對子公司組織進行重整」的方式下，應可獲得改善。
「如何衡量風險曝額」則是風險管理流程中的第二項課題；惟有正確地衡量金控公司及其子公司之風險曝額，接下來才能適切地控管風險。目前國內外的產、官、學界大量採用「經濟資本」來衡量風險曝額，如巴塞爾資本協定便為世界各國之監理機構及金融業者所採納，以計算各種風險之經濟資本。我國亦參考該委員會所公佈之新巴塞爾資本協定諮詢文件，針對金控公司設計了資本適足率管理辦法，結合經濟資本的概念來訂定法定資本，除藉以維持國內金融穩定之外，更期待加速金控公司及早建構完整的風險管理機制。然由於國內外之金融環境不同，本國若欲全盤採用新巴塞爾資本協定來規範國內金控公司之資本適足性，勢必產生衝突。本文最後便分析這些實施上之衝突與困難，並提出建議，期待對未來資本適足性管理辦法之修正有所貢獻。

關鍵字

金融控股公司 ； 整合性風險管理 ； 資本適足

並列摘要

The current financial trend is toward the cross-sectoral operation and establishment of financial holding companies; two of the achievements are the foundation of universal banks in Germany and the creation of financial holding companies in the United States of America. Similarly, the Financial Holding Company Act was eventually promulgated in Taiwan on July 9 2001, following the global tendency toward financial integration, so as to remove the restrictions on the cross-sectoral operation among banks, securities firms and insurance companies. By the end of 2003, there were 14 financial holding companies in our country. Notwithstanding, the core business and risk profiles of the three major types of financial institutions vary, and affiliating these three types of financial institutions with a financial holding company brings about new risks. As a result, the establishment of a comprehensive and integrated risk management mechanism becomes the most important issue following the foundation of a financial holding company.
The first step of the risk management process is to identify risks. Focusing on domestic financial environments, not only do the core business and risk profiles differ between domestic and foreign financial institutions, but also the magnitude of the effect of the risk differs between domestic and foreign financial institutions. The effect of “risk concentrations”, “reputation risk”, “spillover risk”, “supervision risk” and “double gearing” is intensified in domestic financial holding companies. On the other hand, the problem from conflicts of interest is likely to be solved, after the merger between subsidiaries within the same industry as well as the restructuring across subsidiaries from the perspective of customers.
The second step of the risk management process is risk measurement, which is essential to monitor and manage risk. “Economic Capital” is widely utilized by contemporary practitioners, supervisors and researchers in the field of finance. For example, the majority of countries around the world use the Basel Capital Accord proposed by the Basel Committee to measure economic capital against risks. Rules governing capital adequacy in financial holding companies in Taiwan also use the New Basel Capital Accord Consultative Documents to determine regulatory capital, in the hope of aggrandizing financial stability and further encouraging financial holding companies to establish integrated risk management processes as soon as possible.
In accordance with the character of domestic financial environments, conflicts and barriers arise from implementing the guidelines of the New Basel Capital Accord without adjustments to supervise the capital adequacy of domestic financial holding companies. In the last section of this thesis, these barriers, as well as suggestions, will be described in the hope of contributing to future amendments to existing regulations.

並列關鍵字

Financial Holding Company ； Integrated Risk Manageme

參考文獻

新巴塞爾工作小組進度報告，財政部金融局。

林文隆，2002，「金控公司跨業經營與風險控管」，內部稽核第四十期。

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