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系統識別號 U0002-1607200721065400
中文論文名稱 新巴塞爾資本協定下消費金融營運風險管理 之探討 – 以台灣 "S" 外商銀行為例
英文論文名稱 A Study of Consumer Banking Operational Risk Management under The New Basel Capital Accord –An Example From A "S" Foreign Bank In Taiwan
校院名稱 淡江大學
系所名稱(中) 國際商學碩士在職專班
系所名稱(英) Executive Master's Program of Business Administration (EMBA) in International Commerce
學年度 95
學期 2
出版年 96
研究生中文姓名 張素碧
研究生英文姓名 Su-Pi Chang
學號 793400184
學位類別 碩士
語文別 英文
口試日期 2007-06-06
論文頁數 66頁
口試委員 指導教授-蔡政言
委員-陳財家
委員-林江峰
中文關鍵字 新巴塞爾資本協定  營運風險管理  作業風險管理  內部控管 
英文關鍵字 The New Basel Capital Accord  Operational Risk Management  Internal Control 
學科別分類 學科別社會科學商學
中文摘要 近年來由於國際間金融環境瞬息萬變,金融自由化與全球化整合的趨勢正方興未艾。隨著資訊科技技術日新月異,金融產品多樣化,促使金融業頓時面臨前所未有的激烈競爭。台灣自1989年以來,政府為因應金融自由化潮流,採行一系列的金融改革措施,陸續解除各項金融管制,諸如「價格自由化」,造成存放款利率差距降低,金融機構利率、匯率等價格風險提高。「市場自由化」,開放民營銀行的設立,金融機構分支機構大幅增加,競爭程度提高。「業務自由化」彈性放寬銀行之業務範圍,打破以往「市場區隔」之規劃。益以於 2000 年公佈「金融機構合併法」及 2001 年公佈「金融控股公司法」,金融機構總分支機構因此如雨後春筍般紛紛設立,業務量成長迅速,業務内容日趨複雜,金融業除了面臨激烈的競爭及獲利率降低外,相對地亦造成金融機構的經營風險隨之增加及突顯出其內部控制與風險管理之重要性。

近觀國內外的重大金融弊端,如1995年國際票券弊案,交易員楊瑞仁盜開商業本票賣給台銀,另方面利用人頭戶進行附買回,待台銀匯入買票款項時,順利的轉入人頭戶帳上;國票損失台幣一佰多億元。又如英國頗具歷史盛名之霸菱銀行(Barings Bank),於1995年2月26日一夕之間倒閉,其原因是一位名為尼克•李森(Nick Leeson)的交易員在投資衍生性金融商品的超額交易時,投機失敗,導致損失14億美元。霸菱銀行在倒閉後,以1英鎊的象徵價格賣給荷蘭的ING集團。由此可見金融業內部控管不當所導致的嚴重損失。

巴塞爾委員會有鑑於內部控制與風險管理之重要性, 於1999年6月發布一個更具風險敏感度的「新資本協定」(The New Basel Capital Accord,以下簡稱Basel II),用以取代1988年所公布之銀行資本適足協定。並於2001年1月發布第二版咨詢文件、2003年4月發布第三版咨詢文件,多次尋求業界意見後,於2004年6月發布「新巴塞爾資本協定」定案版本,預計自2006年底起實施。巴塞爾銀行監理委員會(Basel Committee on Banking Supervision)將「作業風險」定義為「肇因於不適當或失敗的內部作業流程、人員與系統、或由外部事件而造成損失之風險」。 該定義包括法律風險,但排除策略及聲譽風險。

Basel II 首度將「營運風險」又稱「作業風險」(Operational Risk) 納入整體資本適足率 (Capital adequacy) 的計算中。並藉由「最低資本需求」(Minimum Capital Requirement)、 「監理審查」(Supervisory Review Process) 及「市場制約」(Market Discipline) 等三大支柱,期強化金融機構風險管理制度。「監理審查」即主管機關依據法律,發布各項業務法規,並藉由監督、檢查、處分等作業,督促金融機構健全經營。 所謂「市場制約」的前提為金融機構必須將其財務業務資訊公開揭露。 新協定要求金融機構必須建置一套可以辨識、衡量、監視和控管的風險管理系統,不僅衝擊著國內金融業者本身的資訊技術能力,更攸關甫經歷金融金融改革後的國內金融業者,所面臨的國際市場的競爭力。

因此,本研究除了探討「新版巴塞爾資本協定」對「營運風險」的定義、「資
本適足率」的計算方法、「監理審查」及「市場制約」三大支柱規範外、主要針
對 ″S″ 外商銀行對於因應「新版巴塞爾資本協定」所採行的策略研究。由於 ″
S″ 外商銀行之總行實施新巴塞爾資本協定已臻成熟階段, 且在台灣分行風險
管理政策的執行上, 除了風險管理人才之培訓,在內部控管機制上也遵循總行
政策頗有所成,值得本國金融機構參考。尤其 ″S″ 外商銀行於2006 年10 月宣
佈購併了台灣 ″H″ 銀行,本研究亦將以營運風險管理的角度進一步探討 ″H″
銀行執行「新版巴塞爾資本協定」的狀況,並提出″S″ 外商銀行在兩家銀行融
合階段在風險管理政策執行上所面臨的問題與,以作為″S″ 外商銀行總行將來
在其他海外地區購併投資的參考,以及其他外商銀行將來購併本國金融機構之參
考。
關鍵字:新巴塞爾資本協定、營運風險管理、作業風險管理、內部控管
英文摘要 With the integration of global financial market and relative reformation of financial policies adopted in respective countries aiming to achieve the degree of globalization and liberation, financial industries face not only more and more challenging of market competitiveness but also increasing of managing risks.

Having observed several well-known financial events occurred due to the failure of internal processes, people and system such as Barlings Bank bankruptcy event in 1995. Another famous financial crimes like dealer ‘Yang Ruei-Ren’ of International Bills Financial Corporation (hereafter IBFC) which resulting in IBFC lost more than NTD100 billion in 1995. These failures of corporate governance were identified due to a lack of proper internal control.

Further, in view of Taiwan’s recent banking environment since 1990, government proactively promoted financial liberation and globalization by relieving respective financial restraints consecutively and by conducting a series of financial reforming measures. In relation to financial market liberation, the numbers of financial institutions and branches in Taiwan increased substantially due to government loosened the limitation of private banks and branches establishment since 1990. Taiwan’s financial market has since moved forward to be a monopolistic competitive market from being a oligopsonistic market over past decades. Additionally, due to the booming of similar nature of competitors in a short time while the banking products diversification were not developed simultaneously, which leads to aggravating competition among banking industries and increasing of risk incidents accordingly.

The Basel Committee on Banking Supervision (hereafter BCBS) is a committee of banking supervisory authorities that was established by the central bank governors of the Group of Ten countries in 1975. It consists of senior representatives of bank supervisory authorities and central banks from Belgium, Canada, France, Germany, Italy, Japan, Luxembourg, the Netherlands, Spain, Sweden, Switzerland, the United Kingdom, and the United States. Basel Committee on Banking Supervision considered the criticality of risk management and introduced “The New Basel Capital Accord” (hereafter the Basel II) in January of 2001 which aimed to strengthen risk management system among financial market under three pillars of “Minimum Capital Requirements”, “Supervisory Review Process” and “Market Discipline” in view of most financial institutions were not well structured to deal with Operational Risk. The Basel II will require banks to establish a comprehensive Risk Management System which is capable to identify, measure, monitoring and control internal operational risks which is not only impact on domestic financial institutions technical system capability but also on the upcoming competitiveness of global financial market.

Therefore, this paper will focus on the research of “Operational Risk” under the New Basel II, the study of three pillars: the calculation methodology of “Minimum Capital Requirement”, “Supervisory Review Process” and “Market Discipline” and how the “S” bank implemented the requirements of the New Basel II and the strategies taken locally. It is observed that the Group of “ S ” bank has followed the Basel II to a mature state and the top-down approach has rolled out to its subsidiaries in Taiwan not only on risk management know-how training, system & MIS support but also comprehensive risk management system establishment as well. Additionally, the “S” bank announced the acquisition of “H” bank locally since October 2006, this paper will further conduct gap analysis between the “S” and “H” bank in relation to the Operational Risk Management. The recommendation will be made to “ S ” bank’s Group for reference in future acquisition investment in other countries or other foreign banks future acquisition of local banks in Taiwan.
論文目次 CONTENTS
CONTENTS-------------------------------------------------------------------------------------I
CHARTS---------------------------------------------------------------------------------------III
TABLES----------------------------------------------------------------------------------------IV

CHAPTER 1: INTRODUCTION-----------------------------------------------------------1
1.1 RESEARCH BACKGROUND AND MOTIVATION---------------------------------------------1
1.2 OBJECTIVES OF RESEARCH-----------------------------------------------------------------------3
1.3 STRUCTURE OF RESEARCH-----------------------------------------------------------------------4

CHAPTER 2: LITERATURE REVIEW--------------------------------------------------5
2.1 HISTORY OF THE NEW BASEL CAPITAL ACCORD-----------------------------------------5
2.2 DEFINITION OF OPERATIONAL RISK-----------------------------------------------------------5
2.3 OPERATIONAL RISK MANAGEMENT---------------------------------------------------------11
2.4 COMPARISON OF BASEL I AND BASEL II----------------------------------------------------14

CHAPTER 3: THEORETIC BACKGROUND OF OPERATIONAL RISK-----16
3.1 DEFINITION OF RISK UNDER BASEL II-------------------------------------------------------16
3.2 STRUCTURE OF THE NEW BASEL ACCORD-------------------------------------------------17
3.2.1 THE FIRST PILLAR – MINIMUM CAPITAL REQUIREMENT---------------------19
3.2.2 THE SECOND PILLAR – SUPERVISORY REVIEW PROCESS---------------------43
3.2.3 THE THIRD PILLAR – MARKET DISCIPLINE----------------------------------------46

CHAPTER 4: EMPIRICAL STUDY ON THE BANK OPERATIONAL
RISK MEASUREMENT AND MANAGEMENT------------------50
4.1 STANDARDIZED APPROACH QUALIFYING CRITERIA OF THE BANK--------------50
4.2 REVIEW THE IMPLEMENTATION STATUS OF THE BANK------------------------------50
4.3 OPERATIONAL RISK MANAGEMENT AND ASSURANCE FRAMEWORK-----------51
4.4 OPERATIONAL RISK GOVERNANCE----------------------------------------------------------54
4.4.1 FUNCTION AND ROLES--------------------------------------------------------------------54
4.4.2 PROCESS AND TOOLS----------------------------------------------------------------------55
4.5 SWOT ANALYSIS ON THE “S” BANK’S IMPLEMENTATION STATUS OF OR
MANAGEMENT UNDER BASEL II--------------------------------------------------------------57
4.5.1 SUMMARY OF SWOT ANALYSIS-------------------------------------------------------58

CHAPTER 5: CONCLUSION AND REMARKS--------------------------------------60
5.1 RESEARCH CONCLUSION-------------------------------------------------------------------------60
5.2 RESEARCH LIMITATION--------------------------------------------------------------------------62
REFERENCES--------------------------------------------------------------------------------63

APPENDIX-------------------------------------------------------------------------------------66

CHARTS

CHART 1-1 : Structure of Research--------------------------------------------------------4

CHART 3-1 : Structure of Basel II--------------------------------------------------------18

CHART 4-1 : CB Operational Risk Management Scope-------------------------------52

CHART 4-2 : Three Lines of Defence----------------------------------------------------53


TABLES

TABLE 2-1 : Loss Event Type Classifications-------------------------------------------7

TABLE 2-2 : Examples of Operational Risk Financial Events-----------------------10

TABLE 3-1 : Calculation of the Capital Charge for Operational Risk
(Basic Indicator Approach)------------------------------------------------20

TABLE 3-2 : Definition of Business Lines under Standardized Approach---------23

TABLE 3-3 : Calculation of Gross Income----------------------------------------------27

TABLE 3-4 : Calculation of the Capital Charge for Operational Risk
(Standardized Approach)--------------------------------------------------30

TABLE 3-5 : Banking Business Lines and Beta Factors------------------------------31

TABLE 3-6 : Calculation of the Capital Charge for Operational Risk
(Alternative Standardized Approach – 1)--------------------------------32

TABLE 3-7 : Calculation of the Capital Charge for Operational Risk
(Alternative Standardized Approach – 2)--------------------------------34

TABLE 3-8 : Calculation of the Capital Charge for Operational Risk
(Alternative Standardized Approach – 3)--------------------------------36

TABLE 4-1 : SWOT Analysis-------------------------------------------------------------57

TABLE 5-1 : Gap Analysis on the “S” & “H” Bank’s Implementation of OR under
Basel II-----------------------------------------------------------------------60

參考文獻 A. English Reference:
1. Christopher Marshall (2000), “Measuring and Managing Operational Risks in Financial Institutions – Tools, Techniques and Other Resources”

2. “Consumer Bank Operational Risk Management Manual” 2004, SCB

3. Douglas G. Hoffman (2002), “Managing Operational Risk – 20 Firmwide Best Strategies”

4. “International Convergence of Capital Measurement and Capital Standards” (2004), Basel Committee on Banking Supervision

5. Jan Smets (2004. ), “Basel II and Operational Risk: Implication for Risk Measurement and Management in the financial sector”, National Bank of Belgium, Working Papers No. 51 – Research Series

6. “Operational Risk Management and Assurance (ORMA) Framework Procedures (2006), ver 5.0, SCB

7. “Sound practices for the management and supervision of operational risk" (2003b), Basel Committee on Banking Supervision

8. “The New Basel Capital Accord," Consultative Document (2003a), Basel Committee on Banking Supervision

9. Bank for International Settlements website: http://www.bis.org

10. Financial Supervisory Commission, Executive Yuan website: http://www.fscey.gov.tw

11. Joint Credit Information Center website: http://www.jcic.org.tw

12. SCB Bank website: http://www.standardchatered.com.tw

B. Chinese Reference


1. 「Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework – Comprehensive Version, June 2006

2. Lee Pei Chi Translated (2005),「Measuring and Managing Operational Risks in Financial Institutions – Tools, Techniques and Other Resources」,Taiwan Academy of Banking & Finances。

3. Chen Ching Tsun (2004),「Essentials of Bank Management」,Shinlou Bookstore Inc.。

4. Liang Jong Hui (2005),「Financial Institutions Management The New Basel Capital Accord」,
Chi Yuan Publisher。

5. Ho Chau Chien (2004 ),「Bank Internal Control And Risk Management 」,Taiwan Academy of Banking and Finance。

6. Yang Chang –Lieh (2005),「Study Of The Relationship Between Implementing Corporate Governance System And Risk Control In Taiwan Financial Industry」,Master Thesis, Institute of Management Dayeh University。

7. Huang Hsien-Chang (2002),「The Impact of The New Basel Capital Accord On The Operational Risk Management of Financial Institutions in Taiwan」,Master Thesis, Institute of Management Yuan-Ze University。

8. Chih-Hung Hu (2002),「The Impact of The New Basel Capital Accord on The Credit Risk Management of Financial Institutions in Taiwan」,Master Thesis, Institute of Management Yuan-Ze University。

9. Chien-Lung Chen (2005),「A Probe on Effect of New Basel Capital Accord (Basel II) on Bank’s Retail Financial Crediting Practices」,Master Thesis, Institute of Management Yuan-Ze University。

10. Li-Wen Cheng (2004),「Assessment of Operational Risk Management Under New Basel II – A Foreign Bank’s Case in Taiwan」,Master Thesis,Institute of Management Yuan-Ze University。
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