金融業風險調整資本報酬制度之研究

A study for Risk Adjusted Return on Capital System for Financial Service Industry

盧文聰(Wen-Tsong Lu)

指導教授 ： 黃崇興

國立臺灣大學/管理學院/商學研究所/碩士(2004年)

https://doi.org/10.6342/NTU.2004.10293

摘要

隨著金融監理朝向風險管理為主、市場競爭加劇及金融市場國際化程度增加，金融機構需要強化風險管理與資本管理機制。本研究主要目的在於研究金融機構之風險管理作為、風險調整績效衡量以及利用風險管理融入資本管理制度方式。冀望能夠釐清重要關鍵性制度－風險調整資本報酬率－之意義與內容。

本研究區分為三個主要部分。其一、針對資本適足率法規制度變化，進行研究，以分析法規環境發展趨勢，對於金融機構影響方式。其二、分析金融機構風險管理實務發展趨勢，綜整市場、信用與作業等主要風險管理方式。最後，分析風險調整績效衡量與資本管理制度，並釐清創造股東價值之運作邏輯。主要研究方式係透過法規資料、文獻資料以及實務資料之歸納分析而成。

研究結果發現：金融機構將面對更全面性監理制度，必須增加對於風險管理制度之投資。然而，建置風險管理制度後，可以透過風險調整資本報酬率制度建立，發展出一個具備動態性與一致性之管理環境，將被動風險控制作為，化為主動價值創造行為。彙總重要結論如下：
一、金融監理環境朝向更全面方式發展
二、國內金融機構需逐步增加對於資本與風險管理制度投資
三、金融機構風險管理發展趨勢逐步朝向強調具備動態性與前瞻性之
創造股東價值管理制度
四、風險管理制度在於強調金融機構必須能夠清楚定義風險、建立風
險管理組織與政策程序、與透過適當監督機制，置照組織策略掌
控風險。
五、金融機構資本管理核心在於衡量與規劃經濟資本。
六、實施風險調整資本管理制度必須依據金融機構組織方式，按照不
同地區與業務型態，建立適當資本要求率。

關鍵字

金融機構 ； 風險管理 ； 資本管理 ； 市場風險管理 ； 信用風險管理 ； RAROC ； 作業風險管理 ； 資本適足率 ； 風險調整資本報酬率 ； 風險調整績效衡量

並列摘要

Given the current trend on risk based governance, intense competition and the increasing pace of internationalization, there is continuing pressure for financial institutions in Taiwan to strengthen its internal risk management and capital management capabilities. This study attempts to understand the approach adopted by financial institutions in Taiwan on issues such as risk management, risk adjusted performance measurement and risk adjusted return on capital. The study also hopes to clarify the importance of risk adjusted return on capital and its role in an integrated risk management framework.

The study is classified into the following key sections:
1.Changes and trends in regulations governing capital
adequacy
2.Analyze how financial institutions currently manage
credit, market and operational risk as well as the trends
and developments going forward
3.Analyze the linkage between risk adjusted performance
measurement, risk adjusted return on capital and
shareholder value management

The study is based largely on publicly available information and reports as well as practical knowledge and experience.

The study shows that financial institutions need to have a more comprehensive monitoring framework. There is also a need to invest in risk management capabilities. While developing this framework, financial institutions need to consider the impact of risk adjusted return so as to develop a dynamic and consistent management environment. Risk management should be viewed as a shareholder value enhancing activity as compared to a more passive compliance driven activity.

A summary of the key conclusions is as follow:

1.The local financial regulatory environment will continue
to develop both in scope and depth and be more
comprehensive going forward
2.Financial institutions in Taiwan should focus on the
development of capital and risk management capabilities
3.The view on risk management should be geared towards
shareholder value creation rather than mere compliance
4.There should be clear definition, guidelines and
procedures on risk management. These procedures should
also be effectively monitored and reported
5.The ability to measure and manage economic capital should
continue to be the focus of risk management
6.The implementing of risk and capital management policies
should take into account behavioral issues such as
culture, organizational structure, operating environment
etc

並列關鍵字

Financial Institutions ； Risk Management ； Capital Adequacy Management ； Credit Risk Management ； Market Risk Management ； Operational Risk Management ； Capital Adequacy Ratio ； Risk Adjusted Performance Measurement ； Risk Adjusted Return on Capital

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