壽險業風險資本額之研究-利率.匯率衍生性商品

Abstract

財務會計第三十四號公報施行後，衍生性商品入帳且開始有避險會計，但現行監理上表達保險公司經營風險的RBC制度，卻未針對衍生性商品之風險有相對應設計，急須提出求算其風險資本額之方法。但衍生性商品因交易時點經濟環境、契約條件等不同，不易有標準化契約，不適合訂定一固定係數。故本論文提出統一公式與計提流程，計算各商品之個別風險、一般市場風險與交易對手風險，再由個別公司依實際持有之衍生性商品計算其風險資本額。 本論文針對壽險業持有衍生性商品比重最高之匯率、利率衍生性商品，參酌2005提出之Basel市場風險計提方法之修正報告計算其風險資本額，於特定商品：外幣計價商品、外匯期貨(或遠期契約)之外匯風險與交換契約，則修正為運用風險值概念計算一般市場風險。希望能改善些許Basel制度非針對我國經濟體設計之缺點。同時舉例子細述計提流程，以便實務上個別公司依實際持有之衍生性商品計算其風險資本額運用之。 另外亦考量到避險會計的形式要件相當完備，故視符合該條件的衍生性商品，免於計提其一般市場風險與個別風險資本額，而被避險項目亦可就其已計提之風險資本額與以扣除。

Due to the No. 34 Financial Accounting Statement, the derivatives start to be reported and hedge accounting is practiced. The RBC system conveying the risk borne by insurers has not considered the risk related to derivatives yet. Proposing the methods to calculate the required capital becomes urgent. However, the character of customization for derivatives results in various conditions different from case to case. This makes the fixed coefficients improper. For this reason, this study creates a formula and calculating process to determine individual risk, general market risk and counterparty risk of derivative products. The required capital can be settled according to actual holding positions of each insurance company. The focus is on the derivatives of foreign exchange rate and interest rate which account for the insurers’ books most. Furthermore, Basel regulation is referenced and a few examples are presented as illustrations. Insurance companies can utilize this article and its examples to figure out the required capital.