發展一流程導向分析法評估電子銀行商 品之作業性風險

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謝禎國(Zhin-Guo Xia ) 查詢紙本館藏

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論文名稱

發展一流程導向分析法評估電子銀行商品之作業性風險
(Development of A Process-Oriented Method for Assessing the Operational Risk of e-Banking Products)

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摘要(中)

隨著網際網路及電子商務的興起，各產業紛紛開始e化的動作，不論是如ERP/SCM/CRM等系統的導入或企業流程的合理化及自身資訊系統的更新或建立。各種跨產業的電子市集也紛紛建立。然而在各種電子商務欣欣向榮的同時，作為自由經濟磐石及產業後盾的銀行，除了其本身也必須同步e化以支持前端產業的交易作業外，其自身所面臨的風險也隨著產業電子化所造成交易時間的大幅下降、交易對象種類的增加、交易大量依賴資訊系統及交易縱深的延長等現象而較傳統作業有著更高的潛在作業性風險。在以往的風險研究中，銀行作業性風險是比較缺乏著墨的領域，除了作業面牽動的組織、流程、資料並不是銀行風險計算的標的之外，作業風險也不同於以投資組合、日期長短、利率變動等計算參數所建立的風險計算方式。也因此某些作業風險的定義擴大到凡是不屬於『信用風險』及『市場風險』的風險，都稱為作業風險。雖然近年來作業風險的研究才逐漸受到重視，但實務上已有對風險的評估及計算提出了某些方法。其中有由上而下及由下而上的兩種主流計算方式，由下而上的方式較偏重於以風險事件導向的衡量方式，以各個造成損失的風險事件在流程中的發生機率及其所造成的損失程度，彙總成為該作業的風險損失。然而，由於作業風險著重的是銀行在流程中處理業務時所面臨的風險，所以一個具體而微且詳盡確實的『流程建模』便左右了作業風險的準確性。目前的評估方法雖然考慮了以事件為主及相關機率和統計分配等相關因子，卻無法非常詳盡地描述流程的各個環節、情境及可能出現的結果，更遑論反應『流程建模』的某些特性，如流程中的同步作業、多重事件等。本文希望以目前『流程建模』研究中所發展出具體且周全的方法論，架構出銀行作業流程，並且辨認其可能出現的風險事件。並且利用工程技術中常見的Fault Tree及FMEA等方法來提供風險事件的因果關係及損失程度。最後透過模擬以分析各種風險事件組合的損失。使在錯綜複雜的流程組合中能較正確地衡量出該流程的風險，並以作為後續風險轉移的參考。

關鍵字(中)

★ 作業性風險

關鍵字(英)

論文目次

Table of Content
Abstract…………………………………………………………………………………..……i
Table of Content……………………………………………………………………….…….ii
List of Tables……..………………………………………………………………………….iii
List of Figures…………………………………………………...…………………………..iv
Glossary…………………………………………………………………………………..v
Chapter I Introduction 1
1.1 Background and Motivations……………..…………………………………………1
1.2 Overview of Internet Banking………………………….……………………………3
1.3 Research Objectives…………………………………………………………………4
1.4 Research Framework and Thesis Organization……………………...………………4
Chapter II Literature Review 6
2.1 Review of Operational Risk Management…………………………..………………6
2.1.1 The Overlap of Operational Risk Management and Other Disciplines…...…6
2.1.2 Character and Category of Operational Risk………………………………...8
2.1.3 Comparison of Operational Risk and Traditional Risk Approach……….....10
2.1.4 Stages and Lifecycle of Operational Risk Management…….…………….11
2.2 State-of-the-art Operational Risk Measurement and Assessment………….…13
2.2.1 Top-down Predictive Mathematical Modeling………….………..…………13
2.2.2 Bottom-up Risk Profiling………………………………………………….13
2.2.3 Current Operational Risk Assessments and Risk Data……………………..15
2.3 Enterprise Engineering and Process Modeling ……………………………………16
Chapter III Architecture and Methods of PORM 21
3.1 Architecture of PORM……………………..………………………………………21
3.1.1 Components in PORM……………………………………………………21
3.1.2 Operational Risk Management Lifecycle………………………………22
3.2 Static Risk Modeling………………………………….……………………………23
3.2.1 Refinement of Risk Events…………………………………………………23
3.2.2 Fault Tree Analysis…………………………………………………..……24
3.2.3 Failure Modes, Effects, Criticality, and Analysis…………………..………26
3.3 Object-oriented Modeling Methods………………………..………………………27
3.3.1 Introduction of Unified Modeling Language……………...………………..28
3.4 Dynamic Risk Process Modeling…………………………………………..………30
3.4.1 The Classical Petri Net Model……………………………………………30
3.4.2 High Level Petri Net with Colour, Time, and Hierarchy…………………...33
3.4.3 Temporal Logic………………………………………..……………………33
3.4.4 Process Design Patterns…………………………………………………….35
3.4.5 Resource Allocation……………………………………………….………..38
3.4.6 Business Rules……………………………………………………………..40
Chapter IV Static and Dynamic Risk Process modeling 44
4.1 UML Modeling Banking Milieus………………………………………………….44
4.1.1 Use Case Diagrams in Internet Banking…………………………………...44
4.1.2 Class Diagrams in Internet Banking…………...…………………………...45
4.1.3 Statechart Diagrams in Internet Banking…………………………………...48
4.1.4 Activity Diagrams in Internet Banking…………...………………………...50
4.1.5 Packages Diagrams in Internet Banking……….…………………………...52
4.2 Establish Static Operational Risk Model…………………………………………..53
4.2.1 Identify Operational Risk Scenario…………….…………………………...53
4.2.2 Build Fault Tree Based Operational Risk Structure……….………………..54
4.2.3 Assess Severity by Failure Mode, Effect, Criticality, and Analysis……….55
4.3 Mapping Risk in High Level Petri-nets………………………………………….57
Chapter V Implementation of PORM 65
5.1 Problem Description……………………………………………………………….65
5.2 Analyze A Normal Scenario By PORM……………..…………………………….66
5.3 Analyze A Abnormal Scenario By PORM……………..………………………….70
5.4 Simulate International Factoring By PORM…………..………………………….73
Chapter VI Conclusions and Recommendations 106
6.1 Conclusion………….…………………………………………………………….106
6.2 Recommendation……...………………………………………………………….106
Reference…………………………………………………………………….108

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指導教授

高信培(Hsin-Pei Kao)

審核日期

2001-7-13

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