| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 92 === The new capital Accord (i.e. BASEL II ) will be valid in 2006. The main purpose of this study is to predict the effect of business cycly on the ratio of capital requirement under the BASELL II by simulation analysis in Taiwan. We use financial date of domestic fourty banks and standardized approach to compute risk-based assets and then the BIS value by assuming equity capital constant under different degree of business cycle recovery.
Empirical results are founds as follows:
1.Under BASEL II standardized approach, we recompute the ratio of capital requirement in 2002. It is found that the risk-based assets will on average increase little and the BIS value will on average decrease little.
2.Comparing the risk-based assets and the BIS value under different degree business cycle recovery and 2002, we find that the stronger business cycle recovery, the smaller increase in the former on average for all of banks, and the smaller decrease in the latter.
3.Assume that an high degree of business cycle recovery implies an high rate of growth in loan, a more net income and more decrease in non-performance loan for a bank, and an high ratio of unsecured loan to total loan. For all banks, the smaller increase in the risk-based assets on average and then the smaller decrease in the BIS value, when the high rate growth in loan, and more net income and more decrease in non-performance loan exist. But when the high ratio of unsecured loan exist, the increase in the risk-based assets is uncertain and the decrease in the BIS value becomes smaller.
4.Consider the cases for the groups of banks when the high degree of business cycle recovery exists. The bigger the assets of banks, the higher the increase in the risk-based assets, then the bigger the decrease in the BIS value. In addition, the bigger the original BIS value, the higher the increase in the risk-based assets, but the smaller the decrease in the BIS value. The higher the decrease in the non-performance ratio, the smaller increase in the risk-based assets, and then the bigger decrease in the BIS value.
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