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    Title: 實施新巴賽爾資本協定及我國採行建議
    Authors: 潘雅慧
    Contributors: 沈中華
    潘雅慧
    Keywords: 資本協定
    信用風險
    金融監理
    資本管理
    作業風險
    Capital Accord
    credit risk
    Banking Supervision
    Capital Management
    operational risk
    Date: 2003
    Issue Date: 2009-09-18 14:41:13 (UTC+8)
    Abstract: 為因應金融環境及經營風險日益複雜化,改進現行資本協定缺點,及鼓勵銀行加強風險管理,巴賽爾銀行監理委員會(以下簡稱巴賽爾委員會)於1999年6月發布「新巴賽爾資本協定」(The New Basel Capital Accord)第一版草案,在歷經2001年1月第二版修訂草案及三次量化影響評估後,2003年4月29日發布第三版修訂草案,預計2004年中正式定案,自2006年開始實施。
    「新巴賽爾資本協定」主要修訂內容包括:1.強調「最低資本需求」、「監理審查程序」及「市場制約機能」等三大支柱;2.除原有信用風險及市場風險外,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一步規範。本次修訂幅度頗大,預期對我國銀行業及金融監理機關均將產生重大影響。
    美國實施新資本協定預計採雙軌制,亦即國際性大型銀行採用信用風險IRB法及作業風險AMA法,其他銀行則沿用現行資本計提方法,惟其強調原有之槓桿比率及立即導正措施(PCA)仍將繼續適用,將進行量化影響評估以分析公平競爭議題,並已陸續發布企業授信內部評等系統及作業風險進階衡量法之監理準則。英國則採不強迫、不禁止原則,由銀行自行衡酌成本效益,決定是否採用進階方法,並將進一步研擬相關規範。我國係由財政部金融局及銀行公會組成共同研究小組,其下分六組:信用風險標準法組、信用風險IRB法組、作業風險組、市場紀律及資產證券化組、監理審查組、市場風險組,分四階段研究與現行規範之差異、可能衝擊、我國可採行內容及研擬法規修訂。依據中央銀行金檢處92年12月對49家本國銀行進行調查,6家銀行計畫採用內部評等基礎法計提信用風險所需資本,43家銀行則採標準法或簡化標準法;作業風險則19家將採標準法,30家採基本指標法。
    為協助我國順利推動新資本協定,研擬實施建議如下:
    一、 成立監理機關專責小組,統籌實施事宜及彙整各界建議形成決策
    二、 評估確定實施範圍及時程
    三、 實施第一支柱
    (一) 進行量化影響評估
    (二) 儘早研擬監理機關裁量項目
    (三) 瞭解銀行風險管理實務及準備狀況
    (四) 鼓勵銀行檢視資料庫,增進風險管理資訊系統
    (五) 建置全國性信用資料庫,建立我國信用風險指標
    (六) 研擬我國適用之新資本協定草案及監理審查原則
    (七) 加強監理機關間資訊共享
    四、 實施第二支柱
    (一) 要求銀行加強資本適足性自我評估
    (二) 訂定銀行資本適足性審查標準及建立溝通機制
    (三) 提高銀行資本適足性目標比率,建立資本緩衝
    (四) 採行及早干預及立即導正措施
    五、 實施第三支柱
    (一) 評估我國揭露現況及銀行產生新資本協定揭露資訊之可行性
    (二) 採兩層次揭露,並定期評估銀行揭露情形
    六、 檢視我國資本適足性有關法規及計算方法說明
    七、 其他監理議題
    (一) 成立風險模型評估小組,加強監理人員專業能力訓練
    (二) 金融監理架構改以風險為導向
    Reference: 1.財政部金融局與中華民國銀行公會,「新巴賽爾資本協定共同研究小組第一階段修正研究報告」,92年8月。
    2.財政部金融局與中華民國銀行公會,「新巴賽爾資本協定共同研究小組第二階段研究工作報告」,92年12月。
    3.潘雅慧,「美國實施新巴賽爾資本協定現況及我國採行建議」,行政院及所屬各機關出國報告,93年1月14日。
    4.潘雅慧,「新巴賽爾資本協定及信用風險模型化之研析」,中央銀行季刊第24卷第2期。
    5.潘雅慧,「以風險為重心之金融監理」,行政院所屬各機關因公出國人員報告書,87年12月2日。
    6.American Banker, 「D.C. Speaks: Basel Battle Begins for OCC, Fed, Congress」, 28 February 2003.
    7.Basel Committee on Banking Supervision, ”International Convergence of Capital Measurement and Capital Standards”, July 1988.
    8.Basel Committee on Banking Supervision, ”Amendment to the Capital Accord to Incorporate Market Risks”, January 1996.
    9.Basel Committee on Banking Supervision, ”The New Basel Capital Accord”, the third consultative document, April 2003.
    10.Basel Committee on Banking Supervision, ”Implementation of Basel II: Practical Considerations” Draft, August 2003.
    11.Basel Committee on Banking Supervision, ”Basel II: Significant Progress on major Issues”, Press Release, 11 October 2003.
    12.Basel Committee on Banking Supervision, ”Modifications to the Capital Treatment for Expected and Unexpected Credit Losses in the New Basel Accord”, 30 January 2004.
    13.Board of Governors of the Federal Reserve System, “Risk-focused Safety and Soundness Examination and Inspections”, SR96-14, May 24, 1996.
    14.Board of Governors of the Federal Reserve System, “Rating the Adequacy of Risk Management Processes and Internal Controls at State Member Banks and Bank Holding Companies”, SR95-51, November 14, 1995.
    15.Board of Governors of the Federal Reserve System, “Framework for Risk-Focused Supervision of Large Complex Institutions”, August 8, 1997.
    16.Board of Governors of the Federal Reserve System, “Assessment of Capital Adequacy”, Commercial Bank Examination Manual, May 2000.
    17.Board of Governors of the Federal Reserve System, “Potential Competitive Effects of Basel II on Banks in SME Credit Markets in the United States”, February 2004.
    18.Board of Governors of the Federal Reserve System, “Will the Proposed Application of Basel II in the United States Encourage Increased Bank Merger Activity? Evidence from Past Merger Activity”, February 2004.
    19.Board of Governors of the Federal Reserve System, “Banking” Remarks by Mr. Alan Greenspan, Chairman of the Board of Governors of the US Federal Reserve System, before the Independent Community Bankers of America Convention, San Diego, 17 March 2004.
    20.Board of Governors of the Federal Reserve System, 「Basel II」, Testimony of Vice Chairman Roger W. Ferguson, Jr. Before the Subcommittee on Domestic and International Monetary Policy, Trade, and Technology, Committee on Financial Services, U.S. House of Representatives, 27 February 2003.
    21.Board of Governors of the Federal Reserve System, 「Basel II: A Realist’s Perspective」, Remark by Vice Chairman Roger W. Ferguson, Jr. At the Risk Manage
    22.Board of Governors of the Federal Reserve System, 「Risk-Based Capital Guidelines: Implementation of New Basel Capital Accord」, 4 August 2003.
    23.Board of Governors of the Federal Reserve System, 「Draft Supervisory Guidance on Internal Ratings-based Systems for Corporate Credit」, 4 August 2003.
    24.Board of Governors of the Federal Reserve System, 「Draft Supervisory Guidelines on Operational Risk Advanced Measurement Approaches for Regulatory Capital」, 4 August 2003.
    25.Federal Reserve Bank of New York, “Risk-Focused Examination Manual”, 1997.
    26.Financial Services Authority, 「Integrated Prudential Sourcebook」, newsletter, June 2001.
    27.Financial Services Authority, 「Integrated Prudential Sourcebook: Feedback on CP115 and CP97」, newsletter, June 2001.
    28.Financial Services Authority, 「Individual Capital Adequacy Standards」Consultation Paper, May 2002.
    29.Financial Services Authority, 「UK implementation of the new Basel and EU capital adequacy standards」, newsletter, July 2002.
    30.Financial Services Authority, 「The FSA’s approach to supervision」, FSA handbook, Chapter 1, March 2003.
    31.Financial Services Authority, 「Report and First Consultation on the Implementation of the New Basel and EU Capital Adequacy Standards」, July 2003.
    32.Euromoney,「Basel gives banks the whip hand」, March 2001.
    33.Office of the Comptroller of the Currency (OCC); Board of Governors of the Federal Reserve System (Board); Federal Deposit Insurance Corporation (FDIC); Office of Thrift Supervision (OTS), “Risk-Based Capital Guidelines; Implementation of New Base Capital Accord”, 4 August 2003.
    34.Office of the Comptroller of the Currency (OCC); Board of Governors of the Federal Reserve System (Board); Federal Deposit Insurance Corporation (FDIC); Office of Thrift Supervision (OTS), “Draft Supervisory Guidance on Internal Ratings-Based Systems for Corporate Credit”, 4 August 2003.
    35.Office of the Comptroller of the Currency (OCC); Board of Governors of the Federal Reserve System (Board); Federal Deposit Insurance Corporation (FDIC); Office of Thrift Supervision (OTS), “Draft Supervisory Guidance on Operational Risk Advanced Measurement Approaches for Regulatory Capital”, 4 August 2003.
    36.The Federal Deposit Insurance Corporation, ”Basel and the Evolution of Capital Regulation: Moving Forward, Looking Back”, 14 January 2003.
    37.The Federal Deposit Insurance Corporation, “Risk-Based Capital Requirements for Commercial Lending: The Impact of Basel II”, 21 April 2003.
    38.The Federal Deposit Insurance Corporation, “Estimating the Capital Impact of Basel II in the United States”, 8 December 2003.
    39.The Office of the Comptroller of the Currency , 「The Road to Basel II: Good Intentions and Imposing Challenges」, Remark by Comptroller Mr. John D. Hawke At the Risk Management Association’s conference on Capital Management, Washington, D.C., 6 June 2002.
    Description: 碩士
    國立政治大學
    經營管理碩士學程(EMBA)
    89932026
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0089932026
    Data Type: thesis
    Appears in Collections:[經營管理碩士學程EMBA] 學位論文

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