商业银行资产风险权数之研究
Asset Risk Weights and Commercial Banks
摘要
由于风险基准资本比率是国际上最新的金融监理之趋势，并已于1992年正式实施，过去学者对于银行资本适足性之探讨，偏重在简单的资本比率管制上,有关于风险基准资本比率之研究则着墨不多，且对于国内银行之相关实证更是缺乏，目前正有待努力研究。本研究即针对国际清算银行(BIS)有关银行自有资本占风险性资产之比率规定作深入探讨。本研究将透过整合风险权数与存款保险之订价模型的方式，以国内银行财务资料进行实证研究，分析BIS规范之资产分类，风险权数之配置是否合宜。本文之实证结果发现;民国八十四年度样本银行之平均倒闭机率均较民国八十三年度及民国八十五年度高；其次,国际清算银行(BIS)所规定之(0%)，(10%)及(20%)类资产之风险权数被低估；而(50%)，(100%)类资产风险权数则被高估。此外，本究所求得国内银行之风险基准资本比率较原规定之计算法所得之风险基准资本比率高。
关键词：风险权数，风险基准资本，资本适足性，存款保险，银行监理
Abstract
Risk-based capital ratio is the latest criteria of banking supervision in the world, it has been implemented by Bank for International Settlements since 1992. However, most of the literatures focused on the regulation of simple capital ratio in the field of banking capital. As to the risk-based capital ratio, there are not only a few studies in regards, but also serious lack of respective empirical reports. We think it should be put to a further studying. For studying of the risk-based capital ratio, it would be proceeded via the models integrating commercial bank risk-weight and deposit insurance premium. By that, we will have an analysis on Taiwan's financial data with BIS regulation, and it will tell us proper or improper figures including risk assets classification and risk-weight. Accordingly, we found that the average bankrupt probability of commercial bank in Taiwan in 1995 is higher than the ones in 1994 and 1996. Meanwhile the risk-weight of assets in baskets 0%,10% a无忧论文 【http://www.uklunwen.com】nd 20% was underestimated by regulator, however, baskets 50% and 100% was overestimated. Besides we found that the risk-weight capital ratio figured by our studying model was higher than the one figured by the regulation.
Keywords: risk weights, risk-based capital, capital adequacy, deposit insurance, banking supervision
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