臺灣博碩士論文加值系統

由於風險基準資本比率是國際上最新的金融監理之趨勢,並已於1992年正式實施,過去學者對於銀行資本適足性之探討,偏重在簡單的資本比率管制上,有關於風險基準資本比率之研究則著墨不多,且對於國內銀行之相關實證更是缺乏,目前正有待努力研究.本研究即針對國際清算銀行(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.本研究將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,風險權數之配置是否合宜.本研究之實證結果發現;民國八十四年度樣本銀行之平均倒閉機率均較民國八十三年度及民國八十五年度高.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, it has been implemented by Bank for International Settlements since 1992. However, most of the literatures focused on the regulation of simple capital ratio in the field of banking capital. As to the risk-based capital ratio, there are not only a few studies in regards, but also serious lack of respective empirical reports. We think it should be put to a further studying. For studying of the risk-based capital ratio, it would be proceeded via the models integrating commercial bank risk-weight and deposit insurance premium. By that, we will have an analysis on Taiwan''s financial data with BIS regulation,and it will tell us proper or improper figures including risk assets classification and risk-weight. Accordingly, we found that the average bankrupt probability of commercial bank in Taiwan in 1995 is higher than the ones in 1994 and 1996. Meanwhile the risk-weight of assets in baskets 0%,10% and 20% was underestimated by regulator, however, baskets 50% and 100% was overestimated. Besides we found that the risk-weight capital ratio figured by our studying model was highter than the one figured by the regulation.