柯承恩臺灣大學：會計學研究所賀 昊 文HO, Hao-WenHao-WenHO2007-11-282018-06-292007-11-282018-06-292004http://ntur.lib.ntu.edu.tw//handle/246246/61678新版巴塞爾資本協定 對金融機構使用擔保債務憑證影響之探討 摘要 巴賽爾銀行監管委員會（Basel Committee on Banking Supervision）於1988年公布了「關於統一國際資本衡量與資本標準的協定（International Convergence of Capital Measurement and Capital Standard）」，簡稱為「巴賽爾資本協定（Basel Capital Accord or BASELⅠ）」，成為銀行運作與監理標準。 因為銀行業以及金融市場之快速變化，巴賽爾銀行監管委員會遂於1999年提出新的資本協定草案－「新巴賽爾協定（New Basel Capital Accord）」，簡稱「BASEL Ⅱ」。新協定允許金融機構於信用風險、市場風險及作業風險等三種規範下，自行選擇對自己最有利的營運模式。在信用風險方面，新協定允許以二項信用衍生性金融商品（Credit Derivatives）：信用違約交換(Credit Default Swap)、總收益交換(Total Return Swap)以及資產證券化（Asset Securitization）作為信用風險抵減(Credit Risk Mitigation)之工具。 「擔保債權憑證（Collateralized Debt Obligation，簡稱CDO）係「信用風險移轉（Credit Risk Transfer，簡稱CRT）工具」項下之一，該產品兼具信用違約交換、總收益交換以及資產證券化三項特質。本文作者認為「擔保債權憑證」係研究新巴塞爾協定中有關信用風險抵減工具之最佳切入點。故對擔保債權憑證之定義、類型、風險與報酬、信用評等公司之評價模型逐一討論，期望能對該商品建立一相對完整之討論架構。並以我國現有之個案作為補充說明。 本論文最後將由金融監理機關以及金融機構的角度，分別探討資訊揭露、評價模型、標準文件、作業風險及其他重要議題。最後將討論信用風險移轉工具對於金融環境未來可能帶來之衝擊與影響，冀望提供國內金融機構作為建立完整風險管理制度時之參考。 關鍵詞：巴賽爾資本協定、新巴賽爾資本協定、信用風險、信用衍生性金融商品、信用違約交換、總收益交換、資產證券化、信用風險抵減、擔保債權憑證、信用風險移轉工具、信用評等公司、評價模型。THESIS ABSTRACT GRADUATE INSTITUTE OF ACCOUNTING NATIONAL TAIWAN UNIVERSITY NAME: Marina Hao Wen HO JUNE, 2004 ADVISER：Professor Chen-en KO, Ph. D. Topic： Impact Study of the New Basel Capital Accord on the Instrumentations of the Collateralized Debt Obligation for Financial Institutions The Basel committee on Banking Supervision announced the International Convergence of Capital Measurement and Capital Standard (also known as Basel Capital Accord or BASEL I) which is intended to be a standard for bank operations and supervisions in 1988. Due to the rapid transformation of banking and financial market, the Basel committee drafted a new capital agreement – New Basel Capital Accord, also known as BASEL II in 1999. BASEL II allows financial institutions to select their best operation models under the accords of the credit risk, the market risk, and the operation risk. For the credit risk, the new Accord allows the institutions to utilize Credit Derivatives, Credit Default Swap and Total Return Swap, and Asset Securitization as the tools for credit risk mitigations. Collateralized Debt Obligation (CDO) is one of the credit risk transfer (CRT) tools. This product has the properties of the Credit Default Swap, the Total Return Swap, and the Asset Securitization. It is our viewpoint that the study of CDO should be the key point for the study of credit risk mitigations in BASEL II. In this thesis, the definitions, variations, risks and returns, and credit valuations of CDO are discussed so that a framework of the product characteristics can be established. The current cases in Taiwan will be used as examples. Other important issues such as the information disclosure, valuation models, standard documentations, and operation risks will also be discussed from the viewpoint of financial institutions and their supervisors. Finally, the impacts on the future financial environment from the credit risk mitigation tools are studied and hopefully can be used as a reference for the construction of the risk management systems. Keywords：Basel Capital Accord or BASELⅠ、BASEL II、Credit Risk、Credit Derivatives、Credit Default Swap、Total Return Swap、Asset Securitization、Credit Risk Mitigation、Collateralized Debt Obligation、Credit Risk Transfer Instruments、Rating Companies、Rating Models。目 錄 頁數 謝 詞 ……….…………………………………………………………………… 三 中文摘要 …….…………….…………………………………………...…..……… 五英文摘要 …….…………….……………………..………………………..………...六 目 錄 ……………………………..……………… …………………………… 八 表 次 ……………………..……………………………….…………..………十二 圖 次…………………………..……………………..…………...………..…..十四 第一章 緒論 ………………………………………………………………………..1 第一節 研究背景與動機 ………………………………………………………..1 第二節 研究目的……. …………………………………………………………..3 第三節 研究範圍、方法與限制……………………………………..…………..4 第四節 研究流程……………. ……………………………………………..……5 第二章en-US評價模型信用風險移轉工具信用評等公司信用風險抵減總收益交換資產證券化擔保債權憑證巴賽爾資本協定新巴賽爾資本協定信用風險信用衍生性金融商品信用違約交換Basel Capital Accord or BASEL IBASEL IICredit RiskCredit DerivativesCredit Default SwapTotal Return Swap:Asset SecuritizationRating CompaniesCollateralized Debt ObligationCredit Risk Transfer InstrumentsCredit Risk MitigationRating Modelsother