| dc.contributor.advisor | 沈中華 | zh_TW |
| dc.contributor.author (Authors) | 潘雅慧 | zh_TW |
| dc.creator (作者) | 潘雅慧 | zh_TW |
| dc.date (日期) | 2003 | en_US |
| dc.date.accessioned | 18-Sep-2009 14:41:13 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 14:41:13 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 14:41:13 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0089932026 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/35300 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 經營管理碩士學程(EMBA) | zh_TW |
| dc.description (描述) | 89932026 | zh_TW |
| dc.description (描述) | 92 | zh_TW |
| dc.description.abstract (摘要) | 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 | zh_TW |
| dc.description.tableofcontents | 摘要第一章 緒論………………………………………………………………1第一節 研究動機及目的…………………………………………………1第二節 論文架構…………………………………………………………2第二章 現行資本協定規範及其缺失……………………………………3第一節 現行資本協定規範內容…………………………………………3第二節 現行資本協定缺點及改革必要性………………………………5第三章 新巴賽爾資本協定主要修訂內容………………………………8第一節 基本架構…………………………………………………………8第二節 新資本協定主要目標……………………………………………10第三節 適用範圍…………………………………………………………10第四節 最低資本需求內容………………………………………………11第四章 美、英及我國實施新資本協定之實況及可能衝擊……………16第一節 美國………………………………………………………………16第二節 英國………………………………………………………………28第三節 我國………………………………………………………………33第五章 我國法規與監理現況及與新資本協定之差異分析……………36第一節 我國銀行資本適足性管理法規…………………………………36第二節 我國銀行資本適足性監理現況及與新資本協定之差異分析…36第六章 我國實施新資本協定之可能影響………………………………42第一節 對銀行之影響……………………………………………………42第二節 對金融監理之影響………………………………………………43第七章 我國實施新資本協定可採行方法建議…………………………46第八章 結語………………………………………………………………54附錄一：立即導正措施………………………………………………………55附錄二：企業授信內部評等系統之監理準則………………………………56附錄三：作業風險資本計提採進階衡量法之監理準則……………………60參考文獻………………………………………………………………………63 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0089932026 | en_US |
| dc.subject (關鍵詞) | 資本協定 | zh_TW |
| dc.subject (關鍵詞) | 信用風險 | zh_TW |
| dc.subject (關鍵詞) | 金融監理 | zh_TW |
| dc.subject (關鍵詞) | 資本管理 | zh_TW |
| dc.subject (關鍵詞) | 作業風險 | zh_TW |
| dc.subject (關鍵詞) | Capital Accord | en_US |
| dc.subject (關鍵詞) | credit risk | en_US |
| dc.subject (關鍵詞) | Banking Supervision | en_US |
| dc.subject (關鍵詞) | Capital Management | en_US |
| dc.subject (關鍵詞) | operational risk | en_US |
| dc.title (題名) | 實施新巴賽爾資本協定及我國採行建議 | zh_TW |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 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。 | zh_TW |
| dc.relation.reference (參考文獻) | 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。 | zh_TW |
| dc.relation.reference (參考文獻) | 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。 | zh_TW |
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