The Transition of Bank Risk with BASEL II and Application of Markov-Switching Model─Evidence from Hong Kong listed Banks

• Main Authors: Yu-Sin Huang, 黃育鑫
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/38545456806103385045

碩士 === 國立高雄第一科技大學 === 金融研究所 === 100 === In 2001, The Basel Committee on Banking Supervision published New Basel Capital Accord (Basel II, conducted from 2006). Basel II has been took effect over five years；In the meantime, Basel III─the new banking supervision criteria and Basel II would be conducted separately. This paper would investigate the transition of risk for the banks in Hong Kong after adopting Basel II. Hong Kong is one of the major trading regions for Taiwan and international financial center. This study takes Markov-switching model as foundation that Hamilton (1989) builds and employs the model that Kuo and Lu (2005) modify. We take the price return of Hong Kong listed banks into Markov-switching model to explore the changes of risk level for Hong Kong listed banks after carrying out Basel II. The empirical results show that there’s a significant reduction for the risk of all Hong Kong listed banks, but there’s not for return. From the viewpoint of risk management, this phenomenon could be attributed to the increase of supervision capacity for Hong Kong listed banks after the conduction of Basel II, and it is a beneficial message for the stable development of banks.