國際清算銀行(BIS)所屬之巴塞爾銀行監理委員會(Basel Committee on Banking Supervision, BCBS)於2004年6月26日頒佈了最新之資本國際規範，通稱「新巴塞爾資本協定」(International Convergence of Capital Measurement and Capital Standards)，簡稱BaselⅡ。協定包含三大支柱，第一支柱「最低資本要求」提供衡量信用風險、作業風險，及市場風險等三種風險衡量方法；第二支柱「監理覆審」提示監理機關監管銀行之審查程序與原則；第三支柱「市場紀律」規範銀行之資訊揭露以受市場制裁。
Under the agitation of the international finance, the prevailing of financial liberalization, internationalization and technicalization makes the banking competition much more fierce, the risks faced by banks are increasingly enhanced even more. The primary subject of the banking industry, namely managing the risk, and improving the quality of the assets effectively, is attempted to strengthen the banking competitiveness.
Basel Committee on Banking Supervision(BCBS), which belongs to the Bank For International Settlements(BIS), issued the latest international norm of capital on June 26 , 2004, generally called the “New Basel Capital Accord”(International Convergence of Capital Measurement and Capital Standards ), abbreviated as BaselⅡ.This accord includes three major pillars .The first pillar－Minimum Capital Requirements, offers the methods of measuring three kinds of risks, such as credit risk, operational risk, and market risk. The second pillar－Supervisory Review Process, provides the procedures and principles of inspection for the supervisors. The third pillar－Market Discipline, regulates the disclosure principles for banks to face the disciplinary sanctions of markets.
This paper first analyzes the core meanings of the three pillars, then set up a general model to investigate the integrated meanings of BaselⅡ.The result of the study shows that if the supervisor’s supervision actions (the second pillar) and market discipline requirements(the third pillar) for banks are regulated well, the minimum capital requirements ratio(the first pillar) may be lower. Namely, it implys that the second pillar and the third pillar of BaselⅡ strengthen complementarily, but become substitutes with the first pillar.
The paper also makes an additional remarks on the regulation effects of stochastic auditing of supervisors and the credit value at risk(CVaR). The result of the study shows that the supervisor should require the higher minimum capital ratio for dishonest banks. Meanwhile, CVaR regulation causes credit rationing of banks, which tightens the monetary policy through the credit channel , and reduces the social welfare.