| 摘要: | 目前世界各主要先進國家均以新巴塞爾資本協定作為銀行資本是否充足的規範，普遍認爲將對全球金融體系産生重大而深遠的影響，對於推進我國金融體制改革和金融法制建設，增強我國金融業的防禦力，將具有重要的現實意義。本文旨在探討實施新巴塞爾資本協定是否會對台灣金控銀行業之資本適足性造成重大影響。本研究根據新巴塞爾資本協定中主要影響資本適足性分母之信用風險六項資產及作業風險，採用2002年至2006年金控銀行的相關財務報表年資料平均值，並依資產規模、資本適足性及新、舊銀行等三種區分做實證分析，所採用的模型為：信用風險以標準法、作業風險以基本指標法、市場風險以標準法，探討實施新巴塞爾資本協定後資本適足性對金控銀行可能產生的衝擊。實證結果如下：1.實施新巴塞爾資本協定後金控銀行13家之平均資本適足性除中華開發外皆有提升，而其中逾期放款因子雖有負面影響，但不明顯，顯現金控銀行較一般銀行有較佳的授信品質，但經新巴塞爾資本協定調整後，仍有新光、日盛2家銀行資本適足性仍低於10%以下，其營運狀況有待觀察。2.新增之作業風險資本計提對各銀行均有明顯之負面影響，雖將加重銀行財務負擔，惟其正面積極的意義將可促使銀行正視作業風險管理的重要性。3.以一銀、華銀為代表的舊(老)銀行在零售業務(中小企業貸款)具有較多的風險抵減優惠，而新銀行則在消費性貸款上具有較高風險抵減效果，可能致使部分銀行調整營運重心至消金領域，反而易受經濟景氣影響。
At present, many advanced countries in the world are applying the new Basel Capital Accord (Basel II) as the guideline for banks’ capital sufficiency, which is generally considered to have major impacts on the global financial system and is especially important for our country while financial system reforms and financial legal construction are being promoted to further safeguard. This thesis aims at exploring the possibility of major impacts on the capital adequacy of the financial holding industry in Taiwan after implementing Basel II. We follow the primary six assets of credit risk and operational risk as the denominator that determines the capital adequacy in Basel II, adopt the average value of the statistics shown in the annual financial statement of financial holding banks between 2002 and 2006, and use assets scale, capital adequacy, and new/old banks, the three distinctions, to carry out the empirical analysis. The models used are the standard approach for credit risk, basic indicator approach for operational risk, and standard approach for market risk. The empirical results are as follows: 1. The average capital adequacy of 13 financial holding banks, except for China Development, is enhanced after implementing Basel II. Although there is negative influence on the past due loan factor, it iv is not obvious, showing that the loan quality of financial holding banks is better than ordinary banks. However, after adjusted by Basel II, there are still two banks, namely Shin Kong Commercial Bank and Jih Sun International Bank, whose capital adequacy continues to be lower than 10%. 2. The newly added operational risk capital requirement has an obvious negative influence on all banks. Although it will add the financial burden to banks, its positive implications will make banks take operational risk management more seriously. 3. Old banks like the First Bank and Hua Nan Bank offer more risk mitigation options, but new banks can offset more risks in consumer loans. It may lead some banks to adjust their operational priorities to custom loans and become more vulnerable to economic fluctuations. |
