市場風險值限額探討-從新巴塞爾資本協定之觀點

Abstract

金融市場發展的自由化及多元化，雖為金融業帶來蓬勃的生機，也因此衍生出許多震撼全球經濟的金融危機，而風險管理過程亦在風險的辨識、衡量、監控循環中一再被檢討、改進，重心與時點也由以往消極的事後損失管理發展成積極的事前評估，如預期損失之於信用風險、風險值之於市場風險等，故風控機制的建立儼然已成為金融機構刻正面臨的挑戰。 資本適足率(BIS)是目前金融監理機關要求銀行必須針對其所承擔之風險應計提最低資本的主要工具，其定義為合格自有資本占加權風險性資產之比率，本研究將應計提資本視為風險胃納，透過資本適足規範訂定銀行市場風險容忍度，並依據風險值限額管控程序之建立，檢視個案銀行導入機制後之結果及成效。 檢視個案銀行於導入市場風險管理機制後2季之績效，歸納檢討結果與建議如下：(1)透過RAPM(Risk Adjusted Performance Measurement)衡量投資績效可使管理者於風險與報酬間之抉擇更有效率；(2) 透過風險值特性之了解、相關性之評估、限額機制之建立且輔以風險績效衡量協助投資決策之擬定，可有效提升資本應用效率；(3)除市場風險值限額外，亦應建置信用風險限額及作業風險限額，並落實限額管理，以完善銀行風險控管機制；(4)銀行應有一完整的資本計畫，以維持銀行於不利環境下之營運。

Although liberalization and diversification of the market development has made the financial industry burst with vitality, both factors have also created many severe financial crisis. The risk management process is therefore constantly being reviewed and improved, and our emphasis has shifted from loss management to risk appraisal such as anticipated loss for credit risks, value at risk(VaR) for market risk and so on. How to establish the mechanism of Enterprise Risk Management (ERM) has become the challenge for all financial institutions. The financial authorities demand all banking organizations conform to the Basel Ⅱ regime, which determines how much capital banks should be required to hold and taking account into risks that they take. Therefore we will regard the minimum amount of capital a bank must hold as the risk appetite and then use it to set the level of the market’s risk tolerance. By establishing of VaR limits we can obviously see the effect of the case bank. By surveying the results of our case bank after implement of market risk management, we have reach some conclusions：1, Using RAPM(Risk Adjusted Performance Measurement) to measure the investment performance sill make managers make choices between the reward and risk more efficiently. 2, Understanding of the characteristic of VaR, measuring the correlation between products will promote the efficiency of capital use. 3, Besides the VaR limits of market risk, it still takes credit risk limits and operation risk limits to complete the whole risk management regime. 4. The banks must have a complete capital plan to deal with the unexpected risks.