透過您的圖書館登入
IP:3.89.116.152
  • 學位論文

銀行資產負債表外業務與巴賽爾三大風險關係之實證研究

On the Relationship of the Off-balance Sheet Activities and Three Risk Types of New Basel Accord

指導教授 : 趙莊敏

摘要


國際金融變化快速,國內銀行競爭日趨激烈,基於財務操作、避稅動機等需求,表外業務遂成為銀行追求的利基業務之一,且成長迅速。 巴賽爾協定視表外業務活動會增加銀行經營的風險,故在計提風險性資本比率時給予0%~100%的風險權數,但學者對表外業務活動與銀行風險關係的許多實證研究卻發現其反而會降低銀行的總風險。所以唯有釐清資產負債表外風險管理上的角色與功能,使其避免污名化,才能令資產負債表外業務成為銀行風險管理及資本管理的新利器,因而本文研究主旨如下:一、探討新巴塞爾三大風險定義、標準法與基本指標法之計提方式。二、探討本國銀行資產負債表外業務承作項目。三、探討資產負債表外業務對標準法下之信用風險、市場風險以及基本指標法下之作業風險的影響。 實證結果顯示放款承諾、保證責任以及信用狀責任對作業風險以及市場風險皆為不顯著性;而衍生性金融商品對作業風險以及市場風險為顯著正相關,此表示銀行持有越多的衍生性金融商品,作業風險以及市場風險也會隨之增加,亦即符合國內政府根據國際清算銀行的規則於民國87年修正銀行法,也認為資產負債表外業務會增加銀行風險。金融主管機關在訂定風險性資產對自有資本比率時,應重新思考各項資產負債表外業務風險來源的真正原因,正本清源地加強對銀行從事資產負債表外業務的監理與資訊充分的揭露及建立公正的市場紀律。

並列摘要


The international financial environment is fast changing and the local banks compete intensively. The demand for financial manipulation and hedging causes off-balance sheet to become one of niche businesses of the banks. The Basel Accord assumes the off-balance-sheet activities to increase the bank risk and gives the weights. The rates of the weights range from 0﹪to 100﹪to risk-based capital. However, the findings of many empirical studies on the relation of off-balance-sheet activities and bank risk reveal their negative relationship instead. Therefore, the first purpose of this research is to define three risk types of the New Basel Accord and the regulatory capital requirements, including the standardized approach and Basic indicator approach. The second purpose of this research is to investigate the off-balance sheet activities. Thirdly, this study is going to investigate the relationship between the off-balance sheet activities and three risk types of the New Basel Accord, i.e., the market risk, the credit risk, and the operational risk. When calculating the risks, standardized approach is used to calculate the credit risk and the market risk, and basic indicator approach is used to calculate the operational risks. As a result, bank regulators should rethink the effects of off-balance sheet on bank risk when assigning the weights to risk-based capital.

參考文獻


2.沈中華,Basel II的缺點及改進建議,台灣金融財務季刊,第4輯,第1期,92年3月,頁1-18
5.張修齊,從新巴塞爾資本協定看作業風險管理,台灣金融財務季刊,第4輯,第1期,2003年,55-58頁。
1.蘇明發與徐士勛,風險性資產自有資本比率規定對我國銀行業影響之研究,台北:台北銀行經濟研究室經濟研究叢書,87。
6.Angbazo, L., "Commercial bank net interest margins, default risk, interest-rate risk, and off-balance sheet banking ", Journal of Banking and Finance, vol.21, 1997, pp. 55-87.
8.Avery, R.B. and Berger, A. N., "Loan commitment and bank risk exposure", Journal of Banking and Finance,vol.15, 1991, pp.173-192.

被引用紀錄


蔡吉益(2013)。表外衍生性金融商品與銀行風險之研究〔碩士論文,國立臺北大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0023-2706201316335800
林怡茹(2016)。表外資產負債表業務活動對銀行風險的研究〔碩士論文,國立臺北大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0023-1005201615102203

延伸閱讀