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研究生:謝淑玲
研究生(外文):Shu-Ling Hsieh
論文名稱:Base1II下具誘因相容之最適罰金監理機制
論文名稱(外文):Optimal Fine Schedules with Incentive Compatibility under Base1 II
指導教授:吳榮振吳榮振引用關係
學位類別:博士
校院名稱:國立雲林科技大學
系所名稱:管理研究所博士班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:中文
論文頁數:85
中文關鍵詞:監理巴塞爾協定
外文關鍵詞:Base1 IIsupervision
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Basel Ⅱ給予銀行信用風險測量標準法與IRB法選擇使用彈性時,使銀行存在隱瞞內部真實狀況的誘因,所以須有一誘因相容之監理機制存在才能處理銀行隱瞞內部信用評等資訊的問題。本研究主要研究動機乃在探討如何在Basel Ⅱ下建立具誘因相容條件的最適罰金監理機制。本研究的主要貢獻有二,其一,將Prescott (1997)的罰金監理觀念加以擴充,增加考量銀行自有資本設定時如Kirstein (2002)所述之中央銀行偵查觀點。其二,將Prescott (2004)建議的金融檢查觀點融入罰金監理機制。因此,本文之研究成果不僅可以支持傳統文獻之結論,同時由於考量了其他的變數,使得經濟意義上包容更多的可能性。
本研究發現在BaselⅡ架構下,金融機構如果沒有採用IRB法衡量信用風險的能力或條件,則必須藉重信譽良好之外部評等機構,才能支持第一及第二支柱之推動,亦即採用標準法時,須確保外部評等機構有高的準確率,並且對採用IRB法者須有一覆核與懲罰機制。至於對採用IRB 法銀行的監理方面有罰金與強迫再增資二種監理手段。如果存在較高的金融檢查成本,則金融檢查頻率受高、低品質應提列自有資本率的差額、銀行誠實揭露內部信用評等訊息的比值、資金機會成本等因素的影響;罰金則受低品質部份的放款報償的影響;再增資的部份則受高、低品質應提列自有資本率的影響。
Under Base1 II, the measurement approaches for credit risk that contains standardized approach and internal-rating based (IRB) approach. Underlying the option is a source of hazard to the banking system. The sole focus of this paper is to conduct a mechanism with incentive compatibility for discoursing internal information of bank. Following the fine schedule of Prescott (1997) and diagnosis skill of Kirstein (2002), my analysis makes use of the insights of auditing theory that is in the research of Prescott (2004).

Four main conclusions emerge from the analysis: (1) the key point of standardized approach is to review the quality of external rating agencies. (2) Under IRB approach, regulators have to impose penalty on financial institutions for hidden the truth of internal rating. The penalty is conducted of fine and recapitalization (3) under the condition of high auditing cost, the frequency of auditing is influenced by capital adequacy rate spread, truth telling probability, and opportunity cost of capital. (4) fine schedule is influenced by the return of low quality credit, and recapitalization level is influenced by capital adequacy rate spread.
中文摘要 i
英文摘要 ii
誌謝 iii
目錄 iv
符號說明 v
第一章 緒論 1
第二章 銀行採用不同信用風險測量法的誘因相容機制 6
第一節 導言 6
一、研究背景與動機 6
二、研究目的 10
第二節 文獻回顧 10
第三節 基本假設 15
第四節 信用風險測量法的誘因相容機制模型 19
一、標準法 19
二、IRB法 26
第五節 自有資本率的誘因相容機制 29
一、自有資本率的下限 29
二、自有資本率的上限 32
第六節 小結 33
第三章 銀行採用IRB信用風險測量法的監理機制 34
第一節 導言 34
一、研究背景與動機 34
二、研究目的 37
第二節 文獻回顧 38
第三節 基本假設 43
第四節 信用風險IRB法銀行的監理機制模型 50
一、防止IRB法銀行的不誠實揭露 50
二、防止IRB法銀行的不誠實揭露與道德危險 55
第五節 模型解的比較分析 66
一、各內生變數的比較靜態分析 66
二、本研究罰金解與過去文獻的罰金解比較 69
第六節 小結 71
第四章 結論 73
參考文獻. 75
參 考 文 獻.
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