政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/35322

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/35322

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政大典藏 > College of Commerce > Executive Master of Business Administration > Theses > Item 140.119/35322

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/35322

Title:	本國商業銀行風險性資產管理之研究
Authors:	林鼎堯 Lin, Ting-yao
Contributors:	林基煌林鼎堯 Lin, Ting-yao
Keywords:	風險值市場風險蒙地卡羅法歷史模擬法資本適足
Date:	2003
Issue Date:	2009-09-18 14:44:26 (UTC+8)
Abstract:	有關銀行風險管理之研究多著重於信用風險的範疇，但隨著市場波動性之加劇，市場風險所可能對銀行造成的衝擊已不容忽視。VaR受到巴塞爾銀行監理委員會、美國財務會計準則委員會及美國證券管理委員會的認可並推薦使用。現今，VaR 已被許多著名的國際金融機構實際運用在其市場風險的管理。本研究旨在模擬本國商業銀行資產組合資料，分別使用（一）Delta-Normal Model、（二）歷史資料模擬法以及（三）蒙地卡羅模擬法等三種內部模型來衡量其市場風險，依新法規範計算該部分所需計提之自有資本額度，藉以比較在採用不同的市場風險衡量方法下，對於各類型銀行資本計提所造成之影響。而由本研究之實證結果可知，各類型銀行在採用上述三種內部模型時，其所需計提的資本額度均低於標準法下之結果。國內現行資本適足性規範參照巴賽爾銀行監理委員會之規定，將乘數因子的最小值訂為3，其將使得內部模型所衡量出之資本計提高於標準法。建議管理當局可針對該乘數因子之規定進行檢討，以免因此扼殺國內銀行自行發展內部模型之誘因。
Reference:	參考文獻一、英文部份： Alexander, C. O. and C. T. Leigh, “On the Covariance Matrices Used in Value at Risk Models.” The Journal of Derivatives, (Spring1997), pp.50-61. Basle Committee on Banking Supervision, “Supervisory Frame-work for the Use of ‘Backtesting’ in Conjunction with the Internal Models Approach to Market Risk Capital Requirements.”, (January 1996). Basle Committee on Banking Supervision, “Amendment to The Capital Accord to Incorporate Market Risks.”, (January 1996). Beder, Tanya Styblo, “VaR : Seductive but Dangerous.” Financial Analysts Journal, (September-October 1995), pp.12-24. Chris Marshall and Michael Siegel, “ Value at Risk : Implementing a Risk Measurement Standard”, The Journal of Derivatives, fall 1997. Efron, B. M. and R. J. Tibshirani, An Introduction to the Bootstrap, Chapman and Hall, 1993. Figlewski, Stephen, “Forecasting Volatility Using Historical Data.” New York University, Working Paper, S-94-13, (1994). Fong, Gifford and Oldrich A. Vasicek, “A Multidimensional Framework for Risk Analysis.” Financial Analysts Journal, (July-August 1997), pp.51-57. Garman, M. B., “Making VaR Proactive.” Financial Engineering Associate, Inc., (1996). Golub, B. W. and L. M. Tilman, “Measuring Yield Curve Risk Using Principal Components Analysis, Value at Risk, and Key Rate Durations,” Journal of Portfolio Management, 23(4), (Summer 1997), pp.72-84. Hendricks, Darryll, “Evaluation of Value-at-Risk Models Using Historical Data.” Economic Policy Review, (April 1996), pp.39-70. Ho, T. S. Y., M. Z. H. Chen and F. H. T. Eng, “VAR Analytics: Portfolio Structure, Key Rate Convexities, and VAR Betas: A New Approach to Determining the VAR of a Portfolio.” Journal of Portfolio Management, 23(1), (Fall 1996), pp.89-98. Hsieh, D. A., “Implications of Nonlinear Dynamics for Financial Risk Management.” Journal of Financial and Quantitative Analysis, 28, (1993), pp.41-64. Hsieh, D. A., “Assessing the Market and Credit Risks of Long-Term Interest Rate and Foreign Currency Products.” Financial Analysts Journal, (July-August 1993), pp.75-79. Hull, John and Alan White, “Value at Risk when Daily Changes in Market Variables Are Not Normally Distributed,” The Journal of Derivatives, (Spring 1998), pp.9-19. Jorion, Philippe, “Predicting Volatility in the Foreign Exchange Market.” Journal of Finance, 2. (June 1995), pp.507-528. Jorion, Philippe, “Risk2 : Measuring the Risk in Value at Risk.” Financial Analysts Journal, (November 1996), pp.47-56. Jorion, Philippe, “Value at Risk: the New Benchmark for Control-ling Marker Risk.” IRWIN, (1997). J. P. Morgan/Reuters, “RiskMetrics-Technical Document.” Fourth Edition, (1996). Kupiec, Paul H., “Techniques for Verifying the Accuracy of Risk Measurement Models.” The Journal of Derivatives, (Winter 1995), pp.73-84. Kupiec Paul H., “Risk Capital and VaR”, The Journal of Derivatives, Winter(1999) , pp.41-52. 二、中文部份：王佳真，「風險值觀念的介紹與應用－以台灣股票市場為例」，國立台灣大學商學研究所碩士論文，民國八十七年六月。王德仁，「風險值評估之統計方法與實證研究」，台北大學統計學系碩士論文，民國八十九年六月。吳壽山、王甡(2000)，「金融機構資產組合力測試之文獻回顧、執行方法與管理意涵」，台灣金融財務季刊。呂自勇，「金融資產投資組合風險值衡量－以台灣股市債市投資組合為例」，中央大學財務管理研究所碩士論文，民國八十六年。李政輝，「風險值運用在債券投資組合之研究」，東吳大學企業管理學系碩士論文，民國八十九年六月。唐正儀，「銀行風險性資產之市場風險值估側－以自有模型法分析」，暨南大學經濟學研究所碩士論文，民國八十七年。翁俊煜，「VaR 在建立市場風險管理系統上的實行步驟與作用」，輔仁大學金融學系碩士論文，民國八十六年六月。財政部金融局，「銀行自有資本與風險性資產之範圍、計算方法及未達標準之限制盈餘分配辦法」，民國八十一年。財政部金融局，「銀行自有資本與風險性資產之範圍計算方法及未達標準之限制盈餘分配辦法修正條文」，民國八十七年。財政部金融局儲委會金融研究小組，「銀行自有資本與風險性資產計算方法說明」，民國八十八年。財務金融研究中心(銘傳大學) ，「投資分析+Matlab 應用」，民國八十八年。郭秋怡，「風險值運用在國內銀行資本適足性的研究」，國立中央大學財務管理研究所碩士論文，民國八十八年六月。陳文華、王佳真、吳壽山(1998)，「風險值方法之比較」，證券市場季刊。陳若鈺，「風險值(Value at Risk)的衡量與驗證：台灣股匯市之實證」，國立台灣大學財務金融學系碩士論文，民國八十七年六月。程佩瑜，「納入市場風險之銀行自有資本與風險性資產比率」，存款保險資訊季刊，第十二卷第三期，民國八十八年。黃少華，「市場風險對資本適足率之影響」，產業金融，第九十六期，民國八十六年。蕭媚月，「VaR 模型與台灣商業銀行之風險：九十年代亞洲金融風暴之研究」，東吳大學經濟學系碩士論文，民國八十九年六月。
Description:	碩士國立政治大學經營管理碩士學程(EMBA) 89932144 92
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0089932144
Data Type:	thesis
Appears in Collections:	[Executive Master of Business Administration] Theses

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