在國際金融風潮下，金融自由化、國際化及科技化之盛行，使得銀行競爭日益激烈，面臨之風險更是與日遽增。銀行產業之首要課題，即是有效管理風險、提升資產品質，以強化銀行競爭力。

    國際清算銀行(BIS)所屬之巴塞爾銀行監理委員會(Basel Committee on Banking Supervision, BCBS)於2004年6月26日頒佈了最新之資本國際規範，通稱「新巴塞爾資本協定」(International Convergence of Capital Measurement and Capital Standards)，簡稱BaselⅡ。協定包含三大支柱，第一支柱「最低資本要求」提供衡量信用風險、作業風險，及市場風險等三種風險衡量方法；第二支柱「監理覆審」提示監理機關監管銀行之審查程序與原則；第三支柱「市場紀律」規範銀行之資訊揭露以受市場制裁。

    本論文首先分析三大支柱之核心意涵，再以推理法研究BaselⅡ之整合性經濟意涵。研究結果顯示，若監管單位對銀行經營風險之監管行動(第二支柱)與市場紀律要求(第三支柱)，其規範落實良好，則監管單位可有效酌降銀行之最低資本比率(第一支柱)。亦即，規範銀行產業經營之BaselⅡ的第二支柱與第三支柱為互補增強，而其與第一支柱則彼此互為替代。

    本文另補充監管機關隨機稽查銀行與信用風險值(CVaR)管制之推理分析。本文之重要發現為，監管機關對不誠實、謊報資訊之銀行，應要求提列較高之最低資本比率，此論証是其他文獻所無，為獨創性之研究；同時，CVaR管制會導致銀行信用配給，此透過信用管道緊縮貨幣政策後，將降低社會福利。

Under the agitation of the international finance, the prevailing of financial liberalization, internationalization and technicalization makes the banking competition much more fierce, the risks faced by banks are increasingly enhanced even more. The primary subject of the banking industry, namely managing the risk, and improving the quality of the assets effectively, is attempted to strengthen the banking competitiveness. 
    
    Basel Committee on Banking Supervision(BCBS), which belongs to the Bank For International Settlements(BIS), issued the latest international norm of capital on June 26 , 2004, generally called the “New Basel Capital Accord”(International Convergence of Capital Measurement and Capital Standards ), abbreviated as BaselⅡ.This accord includes three major pillars .The first pillar－Minimum Capital Requirements, offers the methods of measuring three kinds of risks, such as credit risk, operational risk, and market risk. The second pillar－Supervisory Review Process, provides the procedures and principles of inspection for the supervisors. The third pillar－Market Discipline, regulates the disclosure principles for banks to face the disciplinary sanctions of markets.

    This paper first analyzes the core meanings of the three pillars, then set up a general model to investigate the integrated meanings of BaselⅡ.The result of the study shows that if the supervisor’s supervision actions (the second pillar) and market discipline requirements(the third pillar) for banks are regulated well, the minimum capital requirements ratio(the first pillar) may be lower. Namely, it implys that the second pillar and the third pillar of BaselⅡ strengthen complementarily, but become substitutes with the first pillar.

    The paper also makes an additional remarks on the regulation effects of stochastic auditing of supervisors and the credit value at risk(CVaR). The result of the study shows that the supervisor should require the higher minimum capital ratio for dishonest banks. Meanwhile, CVaR regulation causes credit rationing of banks, which tightens the monetary policy through the credit channel , and reduces the social welfare.

目錄

第一章	導論1
第一節	研究目的                                                            1
第二節	研究方法                                                            2
第三節	研究內容與架構                                                      3
第二章	規範銀行產業經營之BaselⅡ的三大支柱之核心意涵分析5
第一節	前言：由BaselⅠ到BaselⅡ之必要性分析                                 5
第二節	BaselⅡ第一支柱「最低資本要求」之信用風險分析                         8
第三節	BaselⅡ第一支柱「最低資本要求」之作業風險分析                        18
第四節	BaselⅡ第一支柱「最低資本要求」之市場風險分析                        21
第五節	BaselⅡ第一支柱「最低資本要求」之信用風險移轉分析：資產證券化         24
第六節	BaselⅡ第二支柱「監理覆審」之核心意涵分析                            29
第七節	BaselⅡ第三支柱「市場紀律」之核心意涵分析                           32
第八節	結論：BaselⅡ三大支柱核心意涵之評論                                 33
※	本章註釋                                                               34
※	本章參考文獻                                                           36
第三章	規範銀行產業經營之BaselⅡ的三大支柱之整合分析37
第一節	前言：文獻回顧                                                     37
第二節	BaselⅡ三大支柱之學術文獻評論                                        38                   
第三節	銀行經營發生shirking現象(懈怠監管弊端)與倒閉之分析                  39
第四節	規範銀行最低資本比率要求之必要性                                   45
第五節	銀行藉由發行附屬債券，經營需受「市場粹煉」評價之分析               48
第六節	規範銀行經營之市場紀律與監管政策之關係                             52
第七節	銀行淨社會價值受監管單位查核成本之影響                             54
第八節	結論：主要發現與政策意涵                                           55
※	本章註釋                                                               58
※	本章參考文獻                                                           64
第四章	在監管機構隨機稽查銀行經營下，銀行最適自有資本比率之決定模型分析70
第一節	前言：由美國金融弊案史談監管稽核之必要性                           70
第二節	監管機構隨機稽查銀行經營狀況之理論模型                             72
第三節	在監管機構隨機稽查銀行經營下，銀行之最適自有資本比率的決定         76
第四節	結論：主要發現與政策意涵                                           77
※	本章註釋                                                               79
※	本章參考文獻                                                           80
第五章	BaselⅡ之信用風險值(CVaR)管制規範下之信用配給分析81
第一節	前言：文獻回顧                                                      81
第二節	銀行之借貸市場模型分析                                             82
第三節	CVaR信用風險管制下之社會福利分析                                  88
第四節	結論：主要發現與政策意涵                                           92
※ 本章註釋                                                               93
※ 本章參考文獻                                                           96
第六章 本文結論98
第一節 本文主要發現                                                       98
第二節 本文政策性與應用性意涵                                             99
第三節	 本文可進一步研究之方向                                            100
※ 本章參考文獻                                                          102
本文參考文獻                                                                 103
附錄 BaselⅡ對銀行經營之市場風險的五種衡量方法                              112
※ 附錄註釋                                                              125
    ※ 附錄參考文獻                                                          126
表目錄
表2-1  新巴塞爾資本協定組織架構                                                8
表2-2  外部信用評等與風險權數之彙整                                           11
表2-3  作業風險之分類與內涵                                                   18
表2-4  營業項目的B 因子                                                       20
表2-5  信用債務之風險權數因子                                                 22
圖目錄
圖1-1  本碩士論文之研究架構流程圖                                             4
圖2-1  標準法下法定資本之計算過程                                            10
圖3-1  銀行之社會價值，內含清算之實質賣出選擇權                              42
圖3-2  1.銀行股東權益淨值E與銀行資產價值A之關係                            
               2.銀行經營之shirking 現象                                              45
圖3-3  金管單位為防止銀行shirking，查核銀行資產之門檻值AL 與
清算銀行資產之門檻值AR ，兩者之組合關係                               53
圖4-1  銀行自籌資本比率k(p) 函數，為銀行貸放投資失敗機率p之增函數            73
圖4-2  銀行貸放投資失敗之損失函數，為銀行自籌資本額k(p) 之減函數，
        以及為銀行貸放投資失敗機率p之增函數                                  74
圖5-1  銀行借貸市場均衡                                                       87
圖5-2  銀行貸款市場與CVaR信用風險管制                                       89
圖5-3  CVaR管制下之存款市場                                                  91

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