淡江大學機構典藏:Item 987654321/101904
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    题名: 應用無尺度網路模型於台灣商業銀行作業風險之評估
    其它题名: The measurement of Taiwanese commercial banks operational risk based on the scale-free network
    作者: 溫婷婷;Wen, Ting-Ting
    贡献者: 淡江大學財務金融學系碩士班
    李沃牆
    关键词: 作業風險;無尺度網路理論;極值理論;風險值;預期損失;Operational risk;Scale-free Network Theory;Extreme-value Theory;Value at Risk;Expected shortfall
    日期: 2014
    上传时间: 2015-05-04 09:42:42 (UTC+8)
    摘要: 隨著國際金融的發展及政府的管制鬆綁，使得國內金融機構的經營環境改變，各項金融交易活動更趨國際化與自由化，國內銀行所經營的業務種類日漸複雜及多元，所承受的風險種類亦隨之增加。根據巴塞爾銀行監理委員會所提供的資料可知，銀行所面臨的風險中，作業風險所佔比例僅次於信用風險，約佔了30%，這表示作業風險事件對銀行業的影響及損失是不容小覷的，必須嚴謹控管、審慎評估。
    從以往的文獻中可看出大多數的研究皆集中在如何更準確地衡量「作業風險損失」，相對而言，對於作業風險的「傳導機制」及「動態過程」的研究則較為匱乏，因此，本研究建立以無尺度網路理論為基礎之抽象的作業風險傳導模型來探討作業風險的傳導機制、傳導過程及模擬傳導結果，將不同類型的作業風險來源間之關聯性納入考慮，進而去衡量風險值及預期損失，並將其結果與極值理論模型之結果進行比較，經實證結果發現：
    一、無尺度網路模型在考慮了不同類型作業風險事件間的平均關聯性後，其所衡量出的風險值及預期損失皆比極值理論所衡量出的高。
    二、將作業風險進行分類後，第一類損失(內部舞弊)所衡量出的風險值及預期損失最大，因此金融機構必須建立良好的內部控制措施以嚴防此種類型之作業風險事件發生。
    With the development of the international finance and the deregulation of government regulation, making changes in the operating environment of domestic financial institutions, the financial transactions become more internationalization and liberalization, types of business operated by domestic banks increasingly complex and diverse, species also increases for the risk. The Basel Committee on Banking Supervision noted that the risks faced by banks, the operational risk accounted for about 30%, just below the credit risk, which indicates that the impact and losses of operational risk events for the banking sector should not be underestimated and must be strict control and careful assessment .
    From the literature review, we can see that most studies have concentrated on how to measure operational risk loss based on the New Basel Capital Accord. Meanwhile, studies on the conduction mechanism and the dynamic evolution of operational risk are relatively scarce. Therefore, this study attempts to establish an abstract operational risk conduction model to explore operational risk of the conduction mechanism, conduction process and simulation of conduction result, taking the correlation between the sources of different types of operational risk into account to measure VaR and ES, and compare with the results of extreme value theory model. The empirical results as following:
    1.After the scale-free network model considering the average correlation between different types of operational risk events, the results of VaR and ES measured by the scale-free network model are higher than the extreme value theory model.
    2.The largest VaR and ES measured by first class losses (internal fraud) after the operational risk classification, therefore, financial institutions must establish a good internal control measures to prevent this type of operational risk events occur.
    显示于类别:[財務金融學系暨研究所] 學位論文

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