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| Title: | 銀行消費金融壓力測試-以信用卡產品為個案研究
Stress Testing in Consumer Banking-Case Study of Credit Card Portfolio |
| Authors: | 魏安妮
Wei,An Ni |
| Contributors: | 吳文傑
Wu,Jack
魏安妮
Wei,An Ni |
| Keywords: | 銀行消費金融壓力測試 |
| Date: | 2009 |
| Issue Date: | 2010-12-08 01:58:59 (UTC+8) |
| Abstract: | 銀行消費金融壓力測試-以信用卡產品為個案研究
Stress Testing in Consumer Banking- Case Study of Credit Card Portfolio
Financial institutions have grown increasingly complex and diverse in recent years. Hence, financial institutions emphasize more on strengthening their risk management mechanism. The completeness of risk management techniques are regard as the competitive advantages of the institution. One set of risk management techniques that has attracted a great deal of attention is “stress testing”.
Many banks paid a heavy price during the Asian Economic crisis of 1997-98. Prior to the crisis, banks assessed customers’ credit worthiness using their traditional expertise in individual risk assessment. However, this assessment was applicable only to normal business conditions. As long as the exceptional stress event occurred, the entire customers credit-worthy changed, resulting in extreme losses. This illustrates the importance of banks have a sound credit stress testing program.
In this thesis, author takes one commercial bank’s credit card portfolio as an example by applying the stress testing framework introduced in literature. In this stress testing process, the author set up two hypothetical scenarios – worse case and meltdown case - to compare with the base scenario and demonstrate the result of each scenario with the impact of loss, capital adequacy ratio and coverage ratio. In the stress testing result, the bank will generate additional NT$498.9 millions of credit loss in worse case and NT$1859.4 millions of credit loss in meltdown case. The bank can still stay safe in terms of capital adequacy. However, the coverage ratio is insufficient. It is suggested to take remedial actions to increase the provision directly or lower the NPL amount by tightening credit card policies such as stop granting credit limit to customers whose outstanding debt increased recently or lower customers’ credit limit or freeze cash advance transactions to prevent from further losses.
Suggestions for banks which adopt stress testing are: (1) Conduct further portfolio segmentation base upon the portfolio characteristics; (2) Conduct stress testing process on a timely basis; (3) Senior management’s involvement in stress testing process is essential; (4) Document all the rationales; (5) Adjust stress testing based upon the purposes or risk types; (6) The effectiveness and robustness of stress tests should be assessed regularly.
1 Introductions 1
1.1 Background 1
1.2 Methodology 4
1.3 Limitation of the study 4
1.4 Structure of the thesis 7
2 Introduction of Basel Committee on Banking Supervision and BASEL II 8
2.1 Introduction of Basel Committee on Banking Supervision 8
2.2 BASEL II Introduction 9
2.3 Structure of Basel II 9
3 Introduction of Stress Testing 12
3.1 Definition and Regulation 12
3.2 Implementation Steps of Stress Testing 14
4 Case Study 18
4.1 C Bank’s Background 18
4.2 C Bank’s Credit Portfolio and Credit Card Portfolio 19
5 Credit Card Stress Testing Application 21
5.1 Credit Card Related Terminologies 21
5.2 Credit Card Stress Testing Application 24
5.2.1 Identify the Issues Concerned and Define the Scope 24
5.2.2 Choose Implementation Methodology 25
5.2.3 Assumptions - Establish the Scenario 26
5.2.4 Confirm the Data Requirement and Availability 29
5.2.5 Stress Testing Result – Data Estimation and Elaboration 29
5.3 Conclusions and Suggestions 32
Reference 36
Appendix1: Base case calculation spread sheet 37
Appendix2: Worse case calculation spread sheet 38
Appendix3: Meltdown case calculation spread sheet 39 |
| Reference: | 1. Committee on the Global Financial System, April 2000, Stress Testing by Large Financial Institutions: Current Practice and Aggregation Issues
2. Monetary Authority of Singapore, March 2003, Technical Paper on Credit Stress-testing
3. Basel Committee on Banking Supervision, September 2000, Best Practices for Credit Risk Disclosure
4. Basel Committee on Banking Supervision, June 2004, Basel II: International Convergence of Capital Measurement and Capital Standards: a Revised Framework
5. 潘秋梅, 銀行風險管理實務, 民國98年11月
6. Basel Committee on Banking Supervision, September 2000, Principles for the Management of Credit Risk
7. 廖俊男, 金融體系壓力測試之認識與應用，中央銀行季刊第二十七卷第三期，民國94 年9 月
8. Basel Committee on Banking Supervision, January 2009, Consultative Document, Principles for sound stress testing practices and supervision
9. 洪明欽、張揖平、尹晟懿、黃玨茹，台灣銀行業信用風險壓力測試研究，金融聯合徵信雙月刊第十期，民國98年12月
10. Joseph L. Breeden, 2005, Stress Testing Retail Portfolios
11. 林劭杰, 參加英國倫敦Marcus Evans壓力測試研討會報告, 民國96年2月 |
| Description: | 碩士
國立政治大學
國際經營管理英語碩士學位學程(IMBA)
93933008
98 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0093933008 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營管理英語碩士學程IMBA] 學位論文
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