李賢源臺灣大學：財務金融學研究所王芝芳Wang, Chih-FangChih-FangWang2007-11-282018-07-092007-11-282018-07-092004http://ntur.lib.ntu.edu.tw//handle/246246/60891本研究是因近年來主管機關因應加入WTO，在財務從嚴業務從寬的原則下，積極開放國內各項金融商品，至92年底，本國銀行衍生性金融商品餘額高達4.07兆；再者，部份新銀行積極從事財務投資業務，因此對銀行而言，在一般的授信額度之外，更增加給予交易對手交易額度的重要課題。而且在 Basel Ⅱ中已規定金融機構從事此類交易所需計提的風險性資本，並要求其應針對交易對手建置整體信用風險限額，並必須監控實際產生的風險限額與原始所設訂限額的差異，但如何將理論轉為實務上的運用為本研究所欲達成的目標。 在研究架構上分為四部份，一為財務指標評等以作為客戶信用風險的分類標準，針對客戶建立評等分級，透過單變量分析(即變數的篩選)，多變量分析(找具有解釋能力及相關性的變數)，找出可解釋的財務變數，完成模型的建立。 二利用所計算的客戶評等資料，參與本身淨值的考量，算出一給予交易對手的總額度上限（Limit Line），即交易雙方的風險可承受度上限，而在資本資源有限的壓力下所能給出的額度總數應有其限制，以及考量信用額度具有較高風險，在給交易對手總額度上限中必須予以設限。 三為計算所有金融商品的風險值，區分如一般授信、同業拆款、附條件交易等傳統的商品，和如利率選擇權（Interest Rate Option；IRO）、外匯選擇權（FX Option）等衍生金融商品然後逐一計算各種金融商品所可能產生的財務損失。 四依前述三項所得之結果，設算出交易對手之額度上限；即是將這些金融商品透過風險係數轉換為暴險額，當交易產生後能合理地自交易對手的總額度上限扣除，來計算金融契約存續期間可能的違約，以達管理所謂交易對手的風險（Counterparty Risk）的目的。After the principal of “liberalizing for business but tightening for financial control” being made by the supervision institutinos which aims at participating in WTO, the free-up has resulted in increasingly adding derivative financial products; at the end of 2003, the accumulated volume of derivative products in domestic banking businesses has reached NT$4.07 trillion. Due to the fact that banking businesses become much more aggressive in reaching out financial investment, it becomes even more important as to set up the counterparty trading limit out of the general credit line. On the other hand, the Basel II agreements regulate the way that the financial institutions should reserve the risky assets when trading on the derivative products, it also regulates to set up the total credit line of the counterparties, as well as to monitor the differences between the real risky limit and the original set-up risky limit. Hence, this paper is focusing on applying these theories into practice to help solve for a much better financial-healthy business environment, and greet for a sounder and more liberalized future. This paper is divided in four parts. The first part is to rate various financial indexes, and the ratings will therefore be linked to the group standards of credit risk of the clients. First of all, we have to set up the rating system of our clients; through unilateral regression (the choosing of variables) and mutilteral regression (the determination of explainable and related variables), we will find out the explainable financial variables, and thus build up the model. The second part is to cross calculate the credit rating result and the client’s net worth, thus gives the counterparty a limit line, which determines the risk limit of both sides. The total limit line for counterparty is also subject to the limitation of assets as well as the risky nature of credit line. The third part is to calculate the risk measures of different financial products, which are divided by the traditional products such as general mortgage、 interbank loan、 RP and the derivative products such as Interest Rate Option and FX Option, all the potential financial losses of all the financial products should be measured carefully. In the fourth part we deal with the counterparty’s limit line which is derived from the above three parts. A explosure of each financial product will be calculated by risky coefficient, when a deal is done, the explosure will be reasonably deducted from counterparty’s limit line. This will help to find out the possible default during the existing time of financial contracts, thus help to accomplish the ultimate goal as to manage the counterparty risk.謝 詞 ………………………………………………………………………… 四 中文摘要 ………………………………………………………………………… 五 英文摘要 ………………………………………………………………………… 六 目 錄 ………………………………………………………………………… 八 表 次 ……………………………………………………………………..….. 十 圖1447358 bytesapplication/pdfen-US信用風險限額財務指標單變量分析衍生性金融商品多變量分析暴險額交易對手的風險credit linederivativefinancial indexescounterparty riskmutilteral regressionunilateral regressionexplosurethesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/60891/1/ntu-93-R90723011-1.pdf