| 摘要: | 中文摘要 在國際金融交易需求日益增加及金融商品日益擴增的情況下，交易室的地位漸漸也因整個環境的需要而漸漸獲得重視，在未來銀行之前、後台與中台風險管理系統的整合逐漸成為一股潮流的趨勢下，每日面對瞬息萬變的金融市場，銀行風險管理的需求也越來越重要。有鑑於此，本研究將針對銀行交易室之風險管理進行探討。首先，本文於第二章介紹銀行前/中/後台之分工與作業，以及交易室之環境概觀與系統配置，並探討整合前/中/後台自動化作業之STP（Straight Through Processing）環境之發展趨勢。第三章則針對風險管理之相關議題進行討論，分析銀行所面臨之經營風險與管理方式，並根據文獻風險管理之架構與風險衡量方法。此外，將介紹風險管理系統之現況，並以路透社之風控系統Kondor+為主軸，利用本研究於Kondor+所建立之認購權證避險投資組合為範例，介紹系統之弁鉬P特色。除了路透社之Kondor+以外，目前市場上的風控系統還有FNX Limited所發展的Sierra以及RiskMetrics Group之Market/Credit Manager。 本文第四章則以巴塞爾銀行監理委員會所發佈之資本適足協定為中心，介紹其發展與演進，並利用Kondor+做為範例，評估投資組合市場風險之風險值分析與資本適足分析。其次，並針對2001年1月所提出的新版資本適足協定（New Basel Capital Accord, Basel II），比較其與現行版本之資本規定與風險衡量方法。結論則以使用者的角度，進行Kondor+風險管理系統之評估。最後並於附錄附上一份整理自國內某銀行之風控系統評估報告，提供欲著手進行整體性風險管理系統的金融業者，在進行系統之評估時能有一實際參考的依據。 With the increasing need of international financial trade and the expanded scope of financial tools, the status of dealing room is becoming more and more important. And faced with prompt changes in the financial market, the financial institutions demand for more sophisticated risk management system to assist risk managers in the practices of risk management. In virtue of the situation and market trend, this thesis probes into the risk management of dealing room. Firstly, the thesis introduce the processes and functions of front office, Middle office, and Back office and give an overview of dealing room environment. Besides, the construction of STP（Straight Through Processing）environment in the financial industry is also involved in the research. Second, the coordination of reference regarding risk management is in the Chapter 3 of this thesis, including the analysis of risk sources financial institutions are faced with, the framework of risk management, and methodology for measuring risk. In addition, the topic for discussion is the development process and current market condition of the risk management system. Among the various risk management systems, Kondor+ of Reuters is the most popular in the local market. This thesis builds up a portfolio in Kondor+, runs a case simulation with Kondor+, and evaluate the system in views of an user. The Chapter 4 of this thesis focuses on the“Basel Capital Accord”proposed by Basel Committee and discusses how Kondor+ can fit the requirement of the capital requirement of the Accord. This thesis runs a case simulation with Kondor+ and proceeds some risk analysis for the established portfolio, including the calculation of VaR and capital requirement analysis. In the end of the Chapter 4, the“New Basle Capital Accord” proposed by Basel Committee in Jan. 2001 is under discussion and compared with the current version. Lastly, this thesis evaluates the whole risk management system ( Kondor+ ) and makes some conclusions for reference. Most importantly, the Appendix is an evaluation report of risk management system provided by a certain local bank, which offers some valuable consultation for banks preparing for importing a risk management system. |
