服務業-信用風險管理

2008-11-012024-05-18https://scholars.lib.ntu.edu.tw/handle/123456789/711831摘要：自1990年代初期以來，信用衍生性商品在數量上與複雜度上經歷爆發性成長。隨著此產品的擴增，不當使用該金融工具的情形與造成金融危機的可能性也隨之增加，美國次級房貸所形成的金融危機即是一個鮮明的例子。當台灣的金融機構與製造業廠商大量擴充其海外業務與投資時，其與國際信用市場的整合程度亦隨之提高。因此，瞭解結構信用商品與信用風險管理不僅對金融機構具有重要性，亦是各產業廠商所需關切者，發展一套具備有效工具與企業模式的信用風險管理機制對台灣經濟進一步成長是非常重要的。開發中國家的金融機構往往在信用相關的投資，尤其是處理複雜的信用商品時容易受傷。此外，相對於它們的營運規模，它們無法承擔執行Basel II所需的昂貴成本。若我們能夠發展與建構適合的方法與模型準確的評估投資風險，並提供該資訊給那些金融機構，則不僅可以降低它們的投資風險亦可增加其資本配置的效率性。本研究計畫的主要目的是發展更為準確評估風險的方法與模型，來降低中小型金融機構的投資風險，研究成果亦可協助監管機構訂定管理辦法的依據。在本計畫中，我們將發展一套考慮台灣與遠東地區金融機構所面臨的風險特色與滿足Basel II協議所規範之有效風險管理機制。計畫的內容涵蓋傳統的信用評分到極端關聯性且兼顧數理模型與實際的應用。我們的研究者來自會計、資訊工程、經濟、財務、數學與統計等領域。最後，本研究計畫成果亦可應用到東南亞地區的金融機構，並為設立一個比Moody或Standard &Poor’s更具專業性與區域特色的信用評等服務機構建立基礎。<br> Abstract: Since early 1990s credit derivatives have experienced an explosive growth both in quantity and sophistication. Unfortunately, the rapid expansion has also significantly increased the possibility of misusing such financial instruments, or even resulted in financial crises. The recent subprime mortgage crisis of the U.S. is a vivid example. When Taiwanese financial institutions and manufacturing companies expand their operations/investments overseas, they become much more integrated into the global credit markets. Understanding structured credit products and credit risk management have become important not only for financial institutions but also for firms in other sectors in Taiwan. Developing a credit risk management program with effective tools and business processes is thus of great significance to the further growth of the Taiwan economy. Financial institutions in developing countries are vulnerable to credit-related investments, especially when dealing with complex credit products. Furthermore, the costs of implementing Basel II are high relative to the size of their operations. If we can develop and generate useful methods, models and information relevant to the financial institutions, their business risk can be hopefully lowered and capital allocation efficiency improved. The main purpose of this project is to develop methods and models that can be used to evaluate financial risks more accurately so as to lower investment risk of small and medium financial institutions. In addition, the research results may be used to assist regulatory authorities in setting guidelines. In this proposal, we intend to develop an effective credit risk management program that satisfies the requirements of Basel II Accord and takes into considerations the unique risk features of financial institutions in Taiwan and the Far East. Our approach addresses important aspects of credit risk management, ranging from traditional credit scoring to extreme correlations, and from mathematical modeling to practical implementation. It involves researchers and scientists from accounting, computer science, economics, finance, mathematics, and statistics. Finally, the results developed in this project should also be applicable to financial institutions in the Far East. They may serve as the basis to develop a Taiwan-based rating service that is with a regional specialization and thus more focused than Moody or Standard & Poor’s.信用風險信用衍生性商品風險管&#63972新巴賽爾資本協定Credit RiskCredit DerivativesRisk ManagementBasel II服務業-信用風險管理