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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 李賢源 | zh_TW |
dc.contributor.advisor | Sian-Yuan Lee | en |
dc.contributor.author | 李浚瑋 | zh_TW |
dc.contributor.author | Chun-Wei Lee | en |
dc.date.accessioned | 2023-11-28T16:07:57Z | - |
dc.date.available | 2023-11-29 | - |
dc.date.copyright | 2023-11-28 | - |
dc.date.issued | 2023 | - |
dc.date.submitted | 2023-11-08 | - |
dc.identifier.citation | 台灣經濟新報 (2021)。新巴塞爾協定2023上路3大風險變革,取自:https://www.tejwin.com/news/%E6%96%B0%E5%B7%B4%E5%A1%9E%E7%88%BE%E5%8D%94%E5%AE%9A2023%E4%B8%8A%E8%B7%AF_3%E5%A4%A7%E9%A2%A8%E9%9A%AA%E8%AE%8A%E9%9D%A9/
沈中華 (2014)。BASEL III 新風險管理概念與對我國銀行業未來可能衝擊結案報告。台灣金融研訓院自提研究計畫。 周大慶(2011)。巴塞爾協定(Basel)對金融體系的影響。台灣信用評等協會,未出版。 林朝陽 (2019)。新市場風險資本計提--交易簿基礎原則審視(FRTB)之方法說明與整理。台灣經濟新報風險管理專題。 徐如慧 (2014)。後危機時代銀行風險管理。中華民國銀行公會會訊第七十九期。 潘雅慧 (2004)。新巴塞爾資本協定與我國因應之道。中央銀行季刊第二十六卷第二期。 葉家易、林朝陽 (2020)。新市場風險FRTB標準法試算與說明。台灣經濟新報風險管理專題。 蔡宜珊 (2022)。 主權債與信用違約交換投組於實施FRTB標準法前後之資本計提比較。國立台灣大學,台北市。 Basel Committee on Banking Supervision (1996). Amendment to the capital accord to incorporate market risks. Basel Committee on Banking Supervision (2004). International Convergence of Capital Measurement and Capital Standards: A Revised Framework - Revised Version. Basel Committee on Banking Supervision (2009). Revisions to the Basel II market risk framework. Basel Committee on Banking Supervision (2015). Fundamental review of the trading book - interim impact analysis Basel Committee on Banking Supervision (2016). Explanatory note on the revised minimum capital requirements for market risk. Basel Committee on Banking Supervision (2019). Minimum Capital Requirements for Market Risk. Basel Committee on Banking Supervision (2019). The market risk framework in brief. Best, Stefan (2021). Minimum capital requirements for market risk: An overview and critical analysis of the standardized approaches under Basel III. | - |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/91181 | - |
dc.description.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。 | zh_TW |
dc.description.abstract | 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. | en |
dc.description.provenance | Submitted by admin ntu (admin@lib.ntu.edu.tw) on 2023-11-28T16:07:57Z No. of bitstreams: 0 | en |
dc.description.provenance | Made available in DSpace on 2023-11-28T16:07:57Z (GMT). No. of bitstreams: 0 | en |
dc.description.tableofcontents | 謝辭 i
中文摘要 ii Abtract iii 表目錄 v 圖目錄 vi 第壹章 緒論 1 第一節 研究動機 1 第二節 論文架構 3 第貳章 文獻回顧 4 第一節 巴賽爾協定 4 第二節 FRTB市場風險影響程度 9 第參章 標準法架構 11 第一節 Basel 2.5標準法 11 第二節 FRTB標準法 14 第肆章 標準法資本計提試算 20 第一節 FRTB標準法資本計提試算 20 第二節 Basel 2.5標準法資本計提試算 39 第三節 資本計提試算結果分析 40 第伍章 結論與建議 46 第陸章 參考文獻 48 | - |
dc.language.iso | zh_TW | - |
dc.title | 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 | zh_TW |
dc.title | Impact assessment of the new FRTB regulations on market risk by comparing capital requirements of the sovereign bond and CDS portfolio with the corporate bond | en |
dc.type | Thesis | - |
dc.date.schoolyear | 112-1 | - |
dc.description.degree | 碩士 | - |
dc.contributor.oralexamcommittee | 鍾懿芳;姜堯民 | zh_TW |
dc.contributor.oralexamcommittee | Yi-Fang Zhong;Yao-Min Chiang | en |
dc.subject.keyword | 巴賽爾協定,市場風險,市場風險計提,標準法, | zh_TW |
dc.subject.keyword | Basel Accords,FRTB,Market Risk,Market Risk Capital Requirement,Standardized Approach,Basel, | en |
dc.relation.page | 49 | - |
dc.identifier.doi | 10.6342/NTU202304394 | - |
dc.rights.note | 未授權 | - |
dc.date.accepted | 2023-11-09 | - |
dc.contributor.author-college | 管理學院 | - |
dc.contributor.author-dept | 財務金融學系 | - |
顯示於系所單位: | 財務金融學系 |
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