| Summary: | 碩士 === 國立臺北科技大學 === 商業自動化與管理研究所 === 97 === The international financial environment is fast changing and the local banks compete intensively. The demand for financial manipulation and hedging causes off-balance sheet to become one of niche businesses of the banks.
The Basel Accord assumes the off-balance-sheet activities to increase the bank risk and gives the weights. The rates of the weights range from 0﹪to 100﹪to risk-based capital. However, the findings of many empirical studies on the relation of off-balance-sheet activities and bank risk reveal their negative relationship instead. Therefore, the first purpose of this research is to define three risk types of the New Basel Accord and the regulatory capital requirements, including the standardized approach and Basic indicator approach. The second purpose of this research is to investigate the off-balance sheet activities. Thirdly, this study is going to investigate the relationship between the off-balance sheet activities and three risk types of the New Basel Accord, i.e., the market risk, the credit risk, and the operational risk. When calculating the risks, standardized approach is used to calculate the credit risk and the market risk, and basic indicator approach is used to calculate the operational risks.
As a result, bank regulators should rethink the effects of off-balance sheet on bank risk when assigning the weights to risk-based capital.
|
|---|
