FRTB新制市場風險影響探討-以主權債 加上信用違約交換投組與公司債進行比較

Abstract

本文簡介市場風險及市場風險計提發展脈絡並介紹市場風險計提在Basel 2.5及FRTB下之標準法。接著以美國公司債與美國主權債長部位加上公司債信用違約交換短部位所組成的投組為例進行市場風險計提試算，比較新舊標準法之差異，並用上述試算結果對兩種投資方法進行FRTB市場風險計提比較，分析兩投資方法在新標準法下之差異。本研究發現實施FRTB後兩種投資方法之市場風險資本計提分別成長2.8及3.9倍，成長來源主要來自信用價差風險及外匯風險。而兩種投資方法在FRTB實施後購買美國公司債市場風險計提較低，為較好的選擇，然而投資組合較公司債有彈性，可以透過調整信用違約交換期限等方式進一步降低自身市場風險計提。

This research provides a simple introduction to the development of market risk and minimum capital requirements for market risk. It also introduces the standardized approaches for minimum capital requirements for market risk under Basel 2.5 and FRTB. Subsequently, it conducts a market risk capital requirements calculation using the example of a long position in U.S. corporate bonds and a portfolio consisting of U.S. sovereign bonds, along with short positions in corporate bond credit default swaps. The research compares the differences between the new and old standardized approaches based on this calculation and analyzes the market risk capital requirements comparison of the two investment methods under FRTB.This study finds that after implementing FRTB, the market risk capital requirements for the two investment methods increase by 2.8 and 3.9 times, primarily due to credit spread risk and foreign exchange risk. The implementation of FRTB results in lower market risk requirements for the purchase of U.S. corporate bonds, making them preferable choices. However, the portfolio with CDS is more flexible and can further reduce its market risk requirement by adjusting credit default swap tenors.