| dc.contributor.advisor | 黃仁德 | zh_TW |
| dc.contributor.advisor | Hwang, Jen Te | en_US |
| dc.contributor.author (Authors) | 陸珊珊 | zh_TW |
| dc.contributor.author (Authors) | Luh, Shan Shan | en_US |
| dc.creator (作者) | 陸珊珊 | zh_TW |
| dc.creator (作者) | Luh, Shan Shan | en_US |
| dc.date (日期) | 2006 | en_US |
| dc.date.accessioned | 14-Sep-2009 12:45:56 (UTC+8) | - |
| dc.date.available | 14-Sep-2009 12:45:56 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Sep-2009 12:45:56 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0929210401 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/32028 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 行政管理碩士學程 | zh_TW |
| dc.description (描述) | 92921040 | zh_TW |
| dc.description (描述) | 95 | zh_TW |
| dc.description.abstract (摘要) | 風險管理為辨識、衡量、監控、及控制風險的過程，本研究除了對於這四項作業風險管理的核心內容予以逐項探討外，另分析近年來國內外作業風險個案發生的原因，介紹巴塞爾銀行監理委員會與先進國家的作業風險監理指南，及作業風險管理實務調查報告並進行分析。 作業風險的特徵為分布範圍很廣、類型多樣化、難以預測、且可能造成銀行重大損失。國內外曾發生的作業風險個案顯示，作業風險的重要性不亞於市場及信用風險，銀行應積極強化作業風險管理，透過落實公司治理與內部控制的執行，將有助於降低作業風險，建立作業風險損失資料庫將是量化作業風險所不可或缺的。國際的作業風險管理趨勢顯示，雖然目前各國對於作業風險的管理已有進展，但仍不及其他領域的風險管理成熟。銀行應建立作業風險管理架構，成立專責部門負責作業風險管理，量化作業風險為目前國外大型銀行的趨勢，惟尚未出現一些標準的模型；結合使用質化與量化風險評估工具可達較佳的管理效果，高階管理人員積極參與及支持作業風險管理活動，經由調整銀行風險文化及創造適當的誘因以執行風險控制策略，則為有效管理作業風險的關鍵。 在作業風險的管理策略方面，對於無法控制或部分可控的風險，實務上可採行保險、委外、透過資本市場等方式來移轉風險，或是以緊急應變及持續營運計畫來降低作業風險所帶來的衝擊。先進國家的監理機關及銀行，無論在作業風險管理上的經驗、方法、及技術，均明顯較我國進步。由於各國的經濟金融情況不同，不同銀行間也有明顯的差異，在參考先進國家的做法時，監理機關及銀行仍應根據我國的實際情況加以調整，重點在於銀行應在成本—效益的考量下，視金融機構的營運規模、業務性質、及風險概況發展適合本身的作業風險管理制度。 | zh_TW |
| dc.description.abstract (摘要) | Risk management is a process of indentify, assess, monitor and control/mitigate of risks. The study discuss these four core elements in operational risk management. Analysing the reason of operational risk management failure by introducing the loss events in which domestic and overseas financial institutions. Besides, in order to assist financial institutions in understanding the international trends in reinforcing operational risk management. The study introduce the papers of survey of industry practice in the management operational risk and the supervision guideline for operational risk management in the USA, the UK, Japan, and Hong Kong. Operational risks is everywhere in the business environment. As such, they will vary significantly from organization to organization. The most important types of operational risk involve breakdowns in internal controls and corporate governance. The loss event database is the most helpful tool. In general, qualitative assessment is simpler but no use for capital allocation. The best results have been obtained in applying both qualitative and quantitative techniques. Operational risk management must have the support and involvement of senior managers. They can send the message that operational risks are important, that they deserve attention, and management will allocate resources accordingly. In addition, a separate head office operational risk function has emerged, responsible for developing the operational risk management framework, consolidating information, consulting with the business units, and monitoring the enterprise-wide effectiveness of operational risk management. The risk management strategies execute to uncontrollable or part of controllable risks, except use risk capital to retain some amount of risk, some way for transferring risk involve hedging, insurance, outsouring, use financial derivatives to offset losses. Contingency planning aims to prevent a business disaster from occurring when a very rare event strikes the institution. It should be noted that risk profiles vary among financial institutions, indicating that the most effective method of risk management also may differ among institutions. Financial institution should endeavor to develop operational risk management system after considering its cost-benefit according to their own scale, nature, and risk profile. | en_US |
| dc.description.tableofcontents | 第一章 導論 1 第一節 研究動機與目的 1 第二節 研究內容及方法 3 第二章 作業風險的演進與案例分析 8 第一節 作業風險的定義、範圍及損失型態 9 一、作業風險的定義 9 二、作業風險的範圍 13 三、作業風險的損失型態 16 第二節 作業風險的來源分析 16 一、人為因素與作業風險 16 二、技術因素與作業風險 20 三、流程因素與作業風險 21 四、外部事件因素與作業風險 23 五、作業風險來源的綜合分析 24 第三節 作業風險的演進 28 一、銀行經營環境與經營策略的變化 28 二、銀行營運的改變與作業風險 30 第四節 作業風險的演變與新巴塞爾資本協定 34 第五節 結語 36 第三章 作業風險的辨識與評估 39 第一節 方法與工具 40 一、巴塞爾委員會的作業風險管理工具 42 二、其他的作業風險管理工具 51 第二節 作業風險辨識與評估工具的比較 57 一、作業風險管理工具的應用及限制 57 二、作業風險管理工具的使用情形 60 第三節 結語 63 第四章 作業風險的衡量 66 第一節 由上而下衡量法 67 一、單一指標法 67 二、多重指標法 68 三、資本資產訂價模型 68 四、同儕比較法 70 第二節 由下而上衡量法 70 一、專家判斷法 70 二、內部衡量法 71 三、統計方法 71 四、自我評估結果評等法 72 第三節 其他風險衡量方法 73 一、極端值理論的作業風險衡量 73 二、貝氏理論的作業風險衡量 76 三、情境分析的作業風險衡量 81 第四節 新巴塞爾資本協定的作業風險衡量方法 83 一、基本指標法 84 二、標準法 85 三、進階衡量法 88 第五節 作業風險衡量方法的選擇 96 一、風險衡量方法考量因素 96 二、進階衡量法下作業風險衡量模型的選擇 98 第六節 結語 109 第五章 作業風險的監控與控制 112 第一節 作業風險監控與報告 113 一、作業風險監控 113 二、作業風險管理報告 114 三、聯邦金融機構檢查委員會的資訊科技作業檢查手册 122 第二節 作業風險管理策略 124 一、風險管理策略的四項原則 124 二、風險管理的成本―效益分析 126 第三節 作業風險控制與公司治理 128 第四節 作業風險控制與內部控制 130 一、可薩報告 131 二、巴塞爾委員會的金融機構內部控制制度架構 132 第五節 結語 134 第六章 作業風險管理架構與實務 136 第一節 可薩的企業風險管理——整合架構 137 一、企業風險管理的定義 138 二、企業的目標 138 三、企業風險管理的組成要素 139 四、目標與企業風險管理組成要素的關係 140 第二節 英國金融服務管理局建構作業風險管理架構的觀點 140 一、主要的研究內容及結果 141 二、建立作業風險架構時需考量的問題 145 三、調查的主要結論 147 四、建制作業風險管理架構的挑戰 148 第三節 巴塞爾委員會的作業風險管理報告 149 第四節 巴塞爾委員會的進階衡量法關鍵要素的實務觀察範圍 153 一、董事會及高階管理人員的投入與瞭解 153 二、組織結構——獨立的作業風險管理功能 154 三、內部/外部稽核人員的挑戰 155 四、營業環境與內控因子 156 第五節 英國金融服務管理局的作業風險管理實務 157 第六節 日本銀行的進階作業風險管理 161 一、進階作業風險管理機制概要 161 二、作業風險管理部門的建制 162 第七節 我國金管會的銀行作業風險管理實務範本 163 第八節 結語 165 第七章 作業風險融通 167 第一節 作業風險融通的策略 167 第二節 作業風險保險 173 一、保險的作業風險減輕效果 173 二、購買保險的優點 174 三、保險的限制與例外 175 四、保險的成本—效益分析 180 五、投保決策的制定與銀行差異 181 六、常用的作業風險保險 184 第三節 作業風險衍生性金融商品 189 一、作業風險連結債券 190 二、作業風險互換 191 三、一觸生效損失賣權 192 四、權益作業風險巨災賣權 193 五、作業風險衍生性商品的限制 194 第四節 作業風險與銀行作業委外 195 一、委外動機 195 二、委外主要利益 198 第五節 最適化資本架構整合風險融通 200 一、作業風險分配與作業風險融通 201 二、作業風險融通的決策 202 三、整合資本管理與風險管理——衍生性保險商品模型 205 第六節 結語 208 第八章 緊急應變及持續營運計畫 211 第一節 巴塞爾委員會的持續營運高標準原則 212 第二節 聯準會的強化美國金融體系應變能力穩健實務機構間文件 214 第三節 聯邦金融機構檢查委員會的持續營運計畫檢查手册 216 第四節 日本的金融機構持續營運計畫 219 第五節 英國金融服務管理局的持續營運管理 225 一、應變能力基準計畫 226 二、持續營運管理實務指南 230 第六節 結語 231 第九章 作業風險的監理 234 第一節 巴塞爾的作業風險監理指南 235 一、作業風險管理與監理的健全實務原則 235 二、作業風險衡量法適用的資格標準 240 第二節 英國的作業風險監理指南 244 一、作業風險——系統與控制 245 二、作業風險——系統與控制審慎原則 253 第三節 美國的作業風險監理指南 257 第四節 日本的作業風險監理指南 262 第五節 香港的作業風險監理指南 271 第六節 我國的作業風險監理規範 279 一、主管機關的配套措施 280 二、作業風險標準法 (選擇性標準法) 的適用標準 283 第七節 結語 286 第十章 結論與建議 289 第一節 研究結論 290 第二節 政策建議 293 參考文獻 301 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0929210401 | en_US |
| dc.subject (關鍵詞) | 作業風險 | zh_TW |
| dc.subject (關鍵詞) | 風險管理 | zh_TW |
| dc.subject (關鍵詞) | operational risk | en_US |
| dc.subject (關鍵詞) | risk management | en_US |
| dc.title (題名) | 銀行作業風險的監理與管理 | zh_TW |
| dc.title (題名) | The Supervision and Management of Banking Operational Risk | en_US |
| dc.type (資料類型) | thesis | en |
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