| Summary: | 碩士 === 東吳大學 === 企業管理學系 === 93 === Over-due loan of our banks has been increasing in recent years. Credit quality becomes our social’s focus. After surviving from Y2K crisis, our banks face new challenges from the New Basel Capital Accord that should be fulfilled in 2006. For the purpose of avoiding loss from credit risk, financial organizations have put forth a lot of new estimate credit risk models, those models affiliate the value at risk (VaR) concept.
Coming through global financial crisis and several biggest scandals, people doubt whether The Basel Capital Accord in 1986 can really control the bank credit risk when facing new challenges in the future. The New Basel Capital Accord (BASEL II) specifies three pillars ( 1.Capital Requirements 2.Regulatory Review Process 3.Disclosure and Market Discipline ) to reinforce The Basel Capital Accord.
Here are my conclusions as following:
1. The New Basel Capital Accord concerned with the credit risk regulative The Standardised Approach could only be treated as a method of measuring Capital requirements. It is neither the most standard method nor the best capital requirements/credit risk control method. When calculating The Probability of Default, The Internal Rating-Based Approach should consider its proper characteristic and entire economics circle. Compared with traditional credit risk, it is more effective in managing credit risk than The Standardized Approach.
2. The basic concept of CreditRisk + Measurement Credit Risk model: When Expected Loss of investment portfolio profit occurs, it can use price strategies to control the Loss and offer benefit for Loan Policy/Loan Priced reference beforehand. The bank must prepare extra Capital to react unexpected loss. This modal offers Economic Capital concept to prevent from bankruptcy.
3. Nowadays banking business in Taiwan is over-banking. Price competition could not decrease losses any more. The only thing is to made accurate valuation, decrease vicious competition, and stop cutting down loan premium. The bank should Credit Rating its customers carefully to accurately estimate The Probability of Default .
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