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Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/72785
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| Title: | 從美國監管資本評估計畫談我國銀行壓力測試之規劃 |
| Other Titles: | Developing Stress Testing Programs for Taiwan`s Banking Industry from the Lessons of the U.S. ";Supervisory Capital Assessment Program" |
| Authors: | 林劭杰
Lin, Shao-Chieh |
| Contributors: | 財務管理學系 |
| Keywords: | 壓力測試;監管資本評估計畫;新巴塞爾資本協定;監理審查
Stress test;Supervisory Capital Assessment Program;Basel II;Supervisory Review |
| Date: | 2009-12 |
| Issue Date: | 2015-01-12 11:11:39 (UTC+8) |
| Abstract: | 透過重新檢視壓力測試之目的、範圍、方法論、資料、執行方式與資訊揭露，本文首先針對美國「監管資本評估計畫(SCAP)」與我國因應新巴塞爾資本協定第二支柱所實施之壓力測試進行比較研究。從中發現我國目前最大的問題是壓力測試的實施經驗相對不足。因此，本文參考英國、美國及歐洲銀行監管委員會(CEBS)之壓力測試實施方式，並回顧國內相關模型發展，據以進行探索性研究，嘗試研提我國銀行業在短期內針對金融風暴與新型流感事件，進行金融監理壓力測試之可行方案。在方案中，最重要的建議是要結合相關監理資源與銀行同業，成立壓力測試專案工作小組，做為溝通情境設定與整合相關研究的平台，俾利發展出用以評估銀行風險管理能力的標竿模型，並盡量降低壓力測試所涉及之模型風險。其次，本文並不建議將測試結果進行如美國SCAP般之詳細公開揭露。最後則建議主管機關即使在此次壓力測試工作完成後，仍應維持壓力測試工作小組的運作機制，以利後續壓力情境與模型之更新，以及測試結果之績效評估。
By reviewing the objectives, scope, methodologies, data, implementation, and disclosure of stress testing programs, this paper first compared the U.S. "Supervisory Capital Assessment Program (SCAP)" with the stress testing program that had been implemented in Taiwan`s banking industry under Pillar 2 of Basel II. From the comparisons, this paper found that the most challenging problem facing Taiwan’s financial sector and supervisors was that they had no sufficient experience in implementing macro stress tests. Therefore, this paper analyzed the stress test cases implemented in the UK, US, and Committee of European Banking Supervisors (CEBS), reviewed the relevant stress testing models developed for Taiwan`s banking industry, and then, tried to conduct an exploratory research to draft a workable stress testing proposal that could be implemented in the near future to examine the financial soundness of Taiwan`s banks under the possible stress events of financial crises and the Influenza A (H1N1) outbreak. In the proposal, the most important suggestion was to set up a "Stress Testing Program Task Force" to integrate all the relevant financial supervisory resources and bank practitioners. With a platform to communicate and exchange the ideas about scenario and model settings, the Task Force could develop benchmark models to help assess banks` stress test results and try its best to minimize the model risks involved in the stress testing. Second, it was not recommended to disclose results to the public in such detail as the case in the SCAP. Finally, the proposal suggested making the Task Force keep functioning so as to regularly update the stress scenarios and models and evaluate the performance of the stress tests. |
| Relation: | 台灣金融財務季刊, 10(4), 159-206 |
| Data Type: | article |
| Appears in Collections: | [財務管理學系] 期刊論文
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Files in This Item:
| File |
Description |
Size | Format | |
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| 159-206.pdf | | 4249Kb | Adobe PDF2 | 699 | View/Open |
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