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題名 Basel III和Solvency II 對法國銀行系統的影響
The impact of Basel III and Solvency II on the French banking system
作者 董坤騰
Quentin, Duquesne
貢獻者 郭維裕
Kuo, George
董坤騰
Quentin, Duquesne
關鍵詞 巴塞爾協議III
Solvency II
銀行系統
Basel III
Solvency II
banking system
日期 2014
上傳時間 1-Jun-2015 11:03:20 (UTC+8)
摘要 Basel III和Solvency II 對法國銀行系統的影響
Following the 2008 financial crisis and the 2010 European Sovereign crisis, regulators and supervisors were urged to improve and reinforce the regulation of the banking system in order to prevent and assist banks from failing and provoking a system-wide crisis. Similarly some measures have been taken to regulate and reinforce the insurance industry in the EU.
     Basel III accords have been set up as an emergency measure and response to the financial crisis that hit the world in 2008 following a liquidity crisis that has started in 2007. Basel II framework had never been made to resist a system wide crisis and was not anymore effective in regulating the banking industry following the important deregulations that happened in the 2000s.
     Similarly to Basel, the primary goal of Solvency II is to prevent (with a 99.5% probability or 1 chance over 200) a company from ceasing payments and/or going bankruptcy. It has therefore introduced a complete framework relying as well on three pillars which have been adapted to the constraints and specificities of the insurance industry.
     Bank-insurances which are companies offering both insurance and banking services are therefore subject to both regulations. Moreover despite increasing their offerings, bank-insurer have to adapt to a complex maturing environment. The future of their business strongly depends upon their strategic choices regarding growth, profitability and mandatory compliance to regulation. They need to start and/or accelerate their transformation strategy in order to take into account this changing environment. The regulations are becoming more binding and therefore questioning the model of a global bank (as the banks have to increase their level of required capital). Despite these challenges, they still have an important role to play on the French Market.
1. INTRODUCTION 1
     2. BASEL – THEORETICAL FRAMEWORK 3
     2.1. BASEL COMMITTEE AND ACCORD 3
     2.1.1. General introduction 3
     2.1.2. A brief history 3
     2.1.3. Structure and roles 4
     2.1.4. Basel 1 6
     2.1.4.1. The Cooke Ratio 6
     2.1.4.2. Application of the accord 7
     2.1.4.3. Appearance of new practices and instruments 8
     2.1.4.4. Critics of Basel 1 9
     2.1.5. Basel II 9
     2.1.5.1. Pillar I 11
     2.1.5.2. Pillar II 13
     2.1.5.3. Pillar III 14
     2.1.5.4. Application of the accord 15
     2.1.5.5. Critics of Basel II 16
     2.2. BASEL III FRAMEWORK 18
     2.2.1. Motivation underlying Basel III 18
     2.2.2. Capital requirements, Leverage and Liquidity ratio 20
     2.2.2.1. Improving quality and homogeneity of equity capital 20
     2.2.2.2. Risk Coverage 23
     2.2.2.3. Leverage Ratio 24
     2.2.2.4. Liquidity ratio 25
     2.2.3. Counterparty Credit Risk 30
     2.2.3.1. Credit Value Adjustment 30
     2.2.3.2. Default Value Adjustment 31
     2.2.3.3. Funding Value Adjustment 32
     2.2.3.4. Big impacts 33
     2.2.4. Comparison of Basel II and Basel III 34
     2.2.5. Limitations and Summary of Basel III 36
     3. SOLVENCY – THEORETICAL FRAMEWORK 38
     3.1. SOLVENCY EU DIRECTIVE 38
     3.1.1. Motivation underlying Solvency II 38
     3.1.2. Structure 38
     3.1.2.1. Three Pillars 38
     3.1.2.2. A Layered Process 41
     3.1.3. Pillar I – Quantitative requirements 42
     3.1.3.1. Technical Provision 43
     3.1.3.1.1. Best Estimates Value 43
     3.1.3.1.2. Risk Margin 44
     3.1.3.2. Economic capital requirements 45
     3.1.3.2.1. Minimum Capital Requirement (MCR) 45
     3.1.3.2.2. Solvency Capital Requirements (SCR) 46
     3.1.3.3. Eligible Capital 49
     3.1.4. Pillar II – Qualitative requirements 50
     3.1.5. Pillar III – Financial Reporting 51
     3.2. FOCUS 52
     3.2.1. QIS 52
     3.2.1.1. QIS 1 to 4 53
     3.2.1.2. QIS 5 54
     3.2.2. Comparison with Basel III 55
     3.2.2.1. Pillar I 55
     3.2.2.2. Pillar II 56
     3.2.2.3. Pillar III 56
     4. FRENCH BANK CASE STUDY 57
     4.1. FRENCH BANKING SYSTEM 57
     4.1.1. Overview of the system 57
     4.1.2. European Directive on Financial Conglomerates (FICOD) 59
     4.1.2.1. Conglomerate Identification 60
     4.1.2.2. Capital Requirement 61
     4.1.2.3. Risk Concentrations and transactions 62
     4.1.2.4. Risk Management and Internal Control 62
     4.1.2.5. Regulators designation 63
     4.2. BANKS PRESENTATION 63
     4.2.1. Sample 63
     4.2.2. Activity Outlook Comparison 65
     4.2.2.1. International Segmentation 65
     4.2.2.2. Business Segmentation 66
     4.2.2.3. Capital Structure 68
     4.3. INSURANCE ACTIVITY 69
     4.3.1. BNPP 69
     4.3.2. Crédit Agricole 70
     4.3.3. Société Générale 71
     4.4. RISK EXPOSURE 71
     4.4.1. Sovereign Debt Exposure in European Union 71
     4.4.2. Result of 2014 EBA Stress Test 72
     4.5. EVOLUTION OF BUSINESS 75
     4.5.1. Geographical Segmentation 75
     4.5.2. Activity Segmentation 77
     4.5.3. Evolution of Profitability 78
     4.6. FUTURE ACTIONS AND IMPACTS 79
     4.6.1. BNP Paribas 79
     4.6.2. Credit Agricole 80
     4.6.3. Societe Generale 81
     5. SUMMARY AND CONCLUSION 83
     REFERENCE 86
     APPENDIX 91
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     BIS, (2015). The Group of Governors and Heads of Supervision reach broad agreement on Basel Committee capital and liquidity reform package - Annex. [online] Available at: http://www.bis.org/press/p100726/annex.pdf [Accessed 31 Mar. 2015].
     BNP Paribas 2007, Document de référence et rapport financier annuel 2007, BNP Paribas, [online] Available at :
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     Blundell-Wignall, A. and Atkinson, P. (2010). Thinking Beyond Basel III: Necessary Solutions for Capital and Liquidity. [online] Paris: OECD Journal: Financial Market Trends. Available at: http://www.oecd.org/finance/financial-markets/45314422.pdf [Accessed 28 Mar. 2015].
     Deloitte, (2010). Solvency II Technical Provision. Deloitte Insurance. Deloitte.
     Deutsche Bank Research, (2011). Solvency II and Basel III Reciprocal effects should not be ignored. dbresearch. [online] Francfort. Available at:
      http://www.dbresearch.com/PROD/DBR_INTERNET_EN-PROD/PROD0000000000278734.PDF [Accessed 7 Apr. 2015].
     EBA (European Banking Authority) (2014), Results of 2014 EU‐wide stress test – Aggregate results. [online] London: EBA. Available at:
     https://www.eba.europa.eu/documents/10180/669262/2014+EU-wide+ST-aggregate+results.pdf [Accessed 14 Apr 2015]
     EBA (European Banking Authority) (2014), Results of 2014 EU‐wide stress test – BNP Paribas. [online] London: EBA. Available at:
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     EBA (European Banking Authority) (2014), Results of 2014 EU‐wide stress test – Groupe Crédit Agricole [online] London: EBA. Available at:
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     EBA (European Banking Authority) (2014), Results of 2014 EU‐wide stress test – Société Générale S.A.. [online] London: EBA. Available at:
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     EIOPA, (2011). EIOPA Report on the fifth Quantitative Impact Study (QIS5) for Solvency II. [online] Francfort: EIOPA. Available at:
     https://eiopa.europa.eu/Publications/Reports/QIS5_Report_Final.pdf [Accessed 6 Apr. 2015].
     
     Ernst & Young, (2014). European Solvency II Survey 2014. [online] Luxembourg: EY. Available at:
     http://www.ey.com/Publication/vwLUAssets/EY-european-solvency-ii-survey-2014/$FILE/EY-european-solvency-ii-survey-2014.pdf [Accessed 6 Apr. 2015].
     European Commission, (2014). Economic Review of the Financial Regulation Agenda. [online] Brussels: European Commission. Available at: http://ec.europa.eu/internal_market/finances/docs/general/20140515-erfra-working-document_en.pdf [Accessed 23 Apr. 2015].
     European Commision, (2010). Technical specifications for QIS 5 - draft. Brussels: European Commission.
     European Commission, (2007). `SOLVENCY II`: Frequently Asked Questions (FAQs). Brussels: Internal Market and Services DG.
     European Commission, (2010). Annexes to the QIS5 Technical Specifications. Brussels: European Commission.
     European Commission, (2010). Errata to the QIS5 Technical Specifications - Version of 27 September 2010. Brussels: European Commission.
     European Commission, (2010). QIS5 Technical Specifications - Annex to Call for Advice from CEIOPS on QIS5. Brussels: European Commission.
     European Parliament and the council of the European Union, (2009). DIRECTIVE 2009/138/EC OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 25 November 2009 on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II). Brussels.
     FSB - Financial Stability Board, (2011). Policy Measures to Address Systemically Important Financial Institutions. [online] FSB. Available at: http://www.financialstabilityboard.org/wp-content/uploads/r_111104bb.pdf?page_moved=1 [Accessed 24 Mar. 2015].
     Groupe Crédit Agricole 2007, Document de référence 2007, Groupe Crédit Agricole, [online] Available at :
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     Groupe Crédit Agricole 2014, Document de référence 2014, Groupe Crédit Agricole, [online] Available at :
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     KPMG, (2011). Solvency II A closer look at the evolving process transforming the global insurance industry. [online] KPMG. Available at:
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     Nematrian, (2013). Basel III versus Solvency II. Presentation to Hungarian Actuarial Society. Nematrian.
     Quignon, L. (2015). Basel III: no Achilles’ spear. Paris: BNP Paribas economic research department.
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     University of St. Gallen, (2015). Basel III versus Solvency II: An Analysis of Regulatory Consistency Under The New Capital Standards. Working Papers on Risk Management and Insurance No. 132. Institute of Insurance Economics.
     Wang, L.(2013). The Implications of Solvency II to Insurance Companies. (Master`s thesis). Retrieved from:
     http://scholarcommons.sc.edu/etd/480
描述 碩士
國立政治大學
國際經營管理英語碩士學位學程(IMBA)
103933062
103
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103933062
資料類型 thesis
dc.contributor.advisor 郭維裕zh_TW
dc.contributor.advisor Kuo, Georgeen_US
dc.contributor.author (Authors) 董坤騰zh_TW
dc.contributor.author (Authors) Quentin, Duquesneen_US
dc.creator (作者) 董坤騰zh_TW
dc.creator (作者) Quentin, Duquesneen_US
dc.date (日期) 2014en_US
dc.date.accessioned 1-Jun-2015 11:03:20 (UTC+8)-
dc.date.available 1-Jun-2015 11:03:20 (UTC+8)-
dc.date.issued (上傳時間) 1-Jun-2015 11:03:20 (UTC+8)-
dc.identifier (Other Identifiers) G0103933062en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/75423-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營管理英語碩士學位學程(IMBA)zh_TW
dc.description (描述) 103933062zh_TW
dc.description (描述) 103zh_TW
dc.description.abstract (摘要) Basel III和Solvency II 對法國銀行系統的影響zh_TW
dc.description.abstract (摘要) Following the 2008 financial crisis and the 2010 European Sovereign crisis, regulators and supervisors were urged to improve and reinforce the regulation of the banking system in order to prevent and assist banks from failing and provoking a system-wide crisis. Similarly some measures have been taken to regulate and reinforce the insurance industry in the EU.
     Basel III accords have been set up as an emergency measure and response to the financial crisis that hit the world in 2008 following a liquidity crisis that has started in 2007. Basel II framework had never been made to resist a system wide crisis and was not anymore effective in regulating the banking industry following the important deregulations that happened in the 2000s.
     Similarly to Basel, the primary goal of Solvency II is to prevent (with a 99.5% probability or 1 chance over 200) a company from ceasing payments and/or going bankruptcy. It has therefore introduced a complete framework relying as well on three pillars which have been adapted to the constraints and specificities of the insurance industry.
     Bank-insurances which are companies offering both insurance and banking services are therefore subject to both regulations. Moreover despite increasing their offerings, bank-insurer have to adapt to a complex maturing environment. The future of their business strongly depends upon their strategic choices regarding growth, profitability and mandatory compliance to regulation. They need to start and/or accelerate their transformation strategy in order to take into account this changing environment. The regulations are becoming more binding and therefore questioning the model of a global bank (as the banks have to increase their level of required capital). Despite these challenges, they still have an important role to play on the French Market.		en_US
dc.description.abstract (摘要) 1. INTRODUCTION 1
     2. BASEL – THEORETICAL FRAMEWORK 3
     2.1. BASEL COMMITTEE AND ACCORD 3
     2.1.1. General introduction 3
     2.1.2. A brief history 3
     2.1.3. Structure and roles 4
     2.1.4. Basel 1 6
     2.1.4.1. The Cooke Ratio 6
     2.1.4.2. Application of the accord 7
     2.1.4.3. Appearance of new practices and instruments 8
     2.1.4.4. Critics of Basel 1 9
     2.1.5. Basel II 9
     2.1.5.1. Pillar I 11
     2.1.5.2. Pillar II 13
     2.1.5.3. Pillar III 14
     2.1.5.4. Application of the accord 15
     2.1.5.5. Critics of Basel II 16
     2.2. BASEL III FRAMEWORK 18
     2.2.1. Motivation underlying Basel III 18
     2.2.2. Capital requirements, Leverage and Liquidity ratio 20
     2.2.2.1. Improving quality and homogeneity of equity capital 20
     2.2.2.2. Risk Coverage 23
     2.2.2.3. Leverage Ratio 24
     2.2.2.4. Liquidity ratio 25
     2.2.3. Counterparty Credit Risk 30
     2.2.3.1. Credit Value Adjustment 30
     2.2.3.2. Default Value Adjustment 31
     2.2.3.3. Funding Value Adjustment 32
     2.2.3.4. Big impacts 33
     2.2.4. Comparison of Basel II and Basel III 34
     2.2.5. Limitations and Summary of Basel III 36
     3. SOLVENCY – THEORETICAL FRAMEWORK 38
     3.1. SOLVENCY EU DIRECTIVE 38
     3.1.1. Motivation underlying Solvency II 38
     3.1.2. Structure 38
     3.1.2.1. Three Pillars 38
     3.1.2.2. A Layered Process 41
     3.1.3. Pillar I – Quantitative requirements 42
     3.1.3.1. Technical Provision 43
     3.1.3.1.1. Best Estimates Value 43
     3.1.3.1.2. Risk Margin 44
     3.1.3.2. Economic capital requirements 45
     3.1.3.2.1. Minimum Capital Requirement (MCR) 45
     3.1.3.2.2. Solvency Capital Requirements (SCR) 46
     3.1.3.3. Eligible Capital 49
     3.1.4. Pillar II – Qualitative requirements 50
     3.1.5. Pillar III – Financial Reporting 51
     3.2. FOCUS 52
     3.2.1. QIS 52
     3.2.1.1. QIS 1 to 4 53
     3.2.1.2. QIS 5 54
     3.2.2. Comparison with Basel III 55
     3.2.2.1. Pillar I 55
     3.2.2.2. Pillar II 56
     3.2.2.3. Pillar III 56
     4. FRENCH BANK CASE STUDY 57
     4.1. FRENCH BANKING SYSTEM 57
     4.1.1. Overview of the system 57
     4.1.2. European Directive on Financial Conglomerates (FICOD) 59
     4.1.2.1. Conglomerate Identification 60
     4.1.2.2. Capital Requirement 61
     4.1.2.3. Risk Concentrations and transactions 62
     4.1.2.4. Risk Management and Internal Control 62
     4.1.2.5. Regulators designation 63
     4.2. BANKS PRESENTATION 63
     4.2.1. Sample 63
     4.2.2. Activity Outlook Comparison 65
     4.2.2.1. International Segmentation 65
     4.2.2.2. Business Segmentation 66
     4.2.2.3. Capital Structure 68
     4.3. INSURANCE ACTIVITY 69
     4.3.1. BNPP 69
     4.3.2. Crédit Agricole 70
     4.3.3. Société Générale 71
     4.4. RISK EXPOSURE 71
     4.4.1. Sovereign Debt Exposure in European Union 71
     4.4.2. Result of 2014 EBA Stress Test 72
     4.5. EVOLUTION OF BUSINESS 75
     4.5.1. Geographical Segmentation 75
     4.5.2. Activity Segmentation 77
     4.5.3. Evolution of Profitability 78
     4.6. FUTURE ACTIONS AND IMPACTS 79
     4.6.1. BNP Paribas 79
     4.6.2. Credit Agricole 80
     4.6.3. Societe Generale 81
     5. SUMMARY AND CONCLUSION 83
     REFERENCE 86
     APPENDIX 91		-
dc.description.tableofcontents 1. INTRODUCTION 1
     2. BASEL – THEORETICAL FRAMEWORK 3
     2.1. BASEL COMMITTEE AND ACCORD 3
     2.1.1. General introduction 3
     2.1.2. A brief history 3
     2.1.3. Structure and roles 4
     2.1.4. Basel 1 6
     2.1.4.1. The Cooke Ratio 6
     2.1.4.2. Application of the accord 7
     2.1.4.3. Appearance of new practices and instruments 8
     2.1.4.4. Critics of Basel 1 9
     2.1.5. Basel II 9
     2.1.5.1. Pillar I 11
     2.1.5.2. Pillar II 13
     2.1.5.3. Pillar III 14
     2.1.5.4. Application of the accord 15
     2.1.5.5. Critics of Basel II 16
     2.2. BASEL III FRAMEWORK 18
     2.2.1. Motivation underlying Basel III 18
     2.2.2. Capital requirements, Leverage and Liquidity ratio 20
     2.2.2.1. Improving quality and homogeneity of equity capital 20
     2.2.2.2. Risk Coverage 23
     2.2.2.3. Leverage Ratio 24
     2.2.2.4. Liquidity ratio 25
     2.2.3. Counterparty Credit Risk 30
     2.2.3.1. Credit Value Adjustment 30
     2.2.3.2. Default Value Adjustment 31
     2.2.3.3. Funding Value Adjustment 32
     2.2.3.4. Big impacts 33
     2.2.4. Comparison of Basel II and Basel III 34
     2.2.5. Limitations and Summary of Basel III 36
     3. SOLVENCY – THEORETICAL FRAMEWORK 38
     3.1. SOLVENCY EU DIRECTIVE 38
     3.1.1. Motivation underlying Solvency II 38
     3.1.2. Structure 38
     3.1.2.1. Three Pillars 38
     3.1.2.2. A Layered Process 41
     3.1.3. Pillar I – Quantitative requirements 42
     3.1.3.1. Technical Provision 43
     3.1.3.1.1. Best Estimates Value 43
     3.1.3.1.2. Risk Margin 44
     3.1.3.2. Economic capital requirements 45
     3.1.3.2.1. Minimum Capital Requirement (MCR) 45
     3.1.3.2.2. Solvency Capital Requirements (SCR) 46
     3.1.3.3. Eligible Capital 49
     3.1.4. Pillar II – Qualitative requirements 50
     3.1.5. Pillar III – Financial Reporting 51
     3.2. FOCUS 52
     3.2.1. QIS 52
     3.2.1.1. QIS 1 to 4 53
     3.2.1.2. QIS 5 54
     3.2.2. Comparison with Basel III 55
     3.2.2.1. Pillar I 55
     3.2.2.2. Pillar II 56
     3.2.2.3. Pillar III 56
     4. FRENCH BANK CASE STUDY 57
     4.1. FRENCH BANKING SYSTEM 57
     4.1.1. Overview of the system 57
     4.1.2. European Directive on Financial Conglomerates (FICOD) 59
     4.1.2.1. Conglomerate Identification 60
     4.1.2.2. Capital Requirement 61
     4.1.2.3. Risk Concentrations and transactions 62
     4.1.2.4. Risk Management and Internal Control 62
     4.1.2.5. Regulators designation 63
     4.2. BANKS PRESENTATION 63
     4.2.1. Sample 63
     4.2.2. Activity Outlook Comparison 65
     4.2.2.1. International Segmentation 65
     4.2.2.2. Business Segmentation 66
     4.2.2.3. Capital Structure 68
     4.3. INSURANCE ACTIVITY 69
     4.3.1. BNPP 69
     4.3.2. Crédit Agricole 70
     4.3.3. Société Générale 71
     4.4. RISK EXPOSURE 71
     4.4.1. Sovereign Debt Exposure in European Union 71
     4.4.2. Result of 2014 EBA Stress Test 72
     4.5. EVOLUTION OF BUSINESS 75
     4.5.1. Geographical Segmentation 75
     4.5.2. Activity Segmentation 77
     4.5.3. Evolution of Profitability 78
     4.6. FUTURE ACTIONS AND IMPACTS 79
     4.6.1. BNP Paribas 79
     4.6.2. Credit Agricole 80
     4.6.3. Societe Generale 81
     5. SUMMARY AND CONCLUSION 83
     REFERENCE 86
     APPENDIX 91		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103933062en_US
dc.subject (關鍵詞) 巴塞爾協議IIIzh_TW
dc.subject (關鍵詞) Solvency IIzh_TW
dc.subject (關鍵詞) 銀行系統zh_TW
dc.subject (關鍵詞) Basel IIIen_US
dc.subject (關鍵詞) Solvency IIen_US
dc.subject (關鍵詞) banking systemen_US
dc.title (題名) Basel III和Solvency II 對法國銀行系統的影響zh_TW
dc.title (題名) The impact of Basel III and Solvency II on the French banking systemen_US
dc.type (資料類型) thesisen
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