政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/4166
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/4166


    Title: 我國商業銀行資產風險權數之探討
    Other Titles: Asset Risk Weights in Commercial Banks
    Authors: 杜化宇
    Keywords: 資產風險;風險權數;商業銀行;資產適足性;存款保險;銀行監理
    Asset risk;Risk weight;Commercial bank;Capital adequacy;Deposit insurance;Banking supervision
    Date: 1999
    Issue Date: 2007-04-18 16:42:02 (UTC+8)
    Publisher: 臺北市：國立政治大學財務管理學系
    Abstract: 本研究針對國際清算銀行(BIS)有關銀行自有資本占風險性資產之比率規定作深入探討,透過整合風險權數與存款保險之訂價模型的方式,以國內銀行財務資料進行實證研究,分析BIS規範之資產分類與風險權數之配置是否合宜。實證結果發現民國八十四年度樣本銀行之平均倒閉機率均較八十三年度及八十五年度高;其次,國際清算銀行(BIS)所規定之(0%),(10%)及(20%)類資產之風險權數被低估;而(50%),(100%)類資產風險權數則被高估。此外,本究所求得國內銀行之風險基準資本比率較原規定之計算法所得之風險基準資本比率高。
    Risk-based capital ratio is the latest criteria of banking supervision in the world. In this project, we integrate the commercial bank risk-weight and deposit insurance premium into our risk-based model. We also conduct an empirical analysis with financial data of Taiwan`s commercial banks to test the risk assets classification and risk-weight of BIS regulation. Accordingly, we find that the average bankrupt probability of commercial banks in Taiwan in 1995 is higher than the ones in 1994 and 1996. Meanwhile, the risk weights of bank assets in baskets 0%, 10% and 20% are underestimated by regulator, however, those of baskets 50% and 100% are overestimated. Besides we found that the risk-based capital ratio figured by our model is higher than those imposed by the regulation.
    Description: 核定金額：188100元
    Data Type: report
    Appears in Collections:[Department of Finance] NSC Projects

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