A knowledge-based decision support system for managing financial risk of bank

• Main Authors: Yi-Hui Lu, 呂怡慧
• Other Authors: 王維康
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/35550826836899590348

碩士 === 元智大學 === 會計學系 === 96 === When the financial institutions faced the internationalization and liberalization, governments around the world also gradually relaxes or relieves the limit. Then, the development of economics and markets is encouraged, and the practice barrier has been gradually dissolved. At this competitive moment, many financial institutions exist in the form of financial holding companies, so that the banks’ practices are more diversified and changing. Due to the changing financial environment, the need for new financial instruments and analytical tools for risk management has emerged. Because of the advancement of information technology and the development of financial engineering, many kinds of tools to confirm, quantify and manage risk are created. One tool for risk management is the value-at-risk (VaR). Since the VaR models are easy and exoteric and provided quantitative and objective standards to administrants, it can be accepted in seconds. The calculation of VaR models is complicated so it’s not popular in Taiwanese banks. There are many countries using VaR models. Then, to promote the use of use VaR models is important. Therefore, this study presents a knowledge-based decision support system in helping decision makers choose which internal model is optimal. This system mainly consists of three bases: the first base is model base which cited Jorion (2007) and Financial Supervisory Commission that broached three ordinary internal models- Delta-Normal method, historical simulation method and monte carlo simulation method. The second one is knowledge base which comprised the laws of Basel П and 「The Calculation and form of regulatory capital and risk-weighted assets in bank」. The final one is data base which contained the risk factors of bank’s portfolio. Finally, this paper apply one Taiwanese bank’s portfolio to implement this system.