| 摘要(英) |
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. |
| 參考文獻 |
中文部分
1. 丁冠光（1995）,「資訊系統在銀行利率風險管理應用之研究」,國立政治大學資訊管理學系碩士論文
2. 王甡（1999）,「證券商對市場風險之內部控管初探」,證交所資料文章第441期
3. 白露（2001）,「STP應用於本國證券市場之探討」,台灣證交所研究報告
4. 李進生、謝文良等人（2001）,《風險管理－風險值理論與應用》,清蔚科技出版
5. 呂自勇（1997）,「金融資產投資組合風險值衡量－以台灣股市債市投資組合為例」,中央大學財務管理研究所碩士論文
6. 吳俊賢（2000）,「市場風險與銀行資本適足性之研究－風險值模型之應用」,東吳大學企業管理學研究所碩士論文
7. 周治邦（1998）, 「我國外匯市場人力供需現況及未來之展望」,台北外匯市場發展委員會研究報告
8. 林順民（1998）,「風險管理資訊系統發展之研究─以企業流程再造風險評估為例」,國防管理學院國防資訊研究所碩士論文
9. 陳木在、陳錦村（2001）,《商業銀行風險管理》,新陸書局出版
10. 陳星琿（2000）,「綜合證券商建構風險管理系統之探討」,政治大學企業管理學系研究所碩士論文
11. 曾令寧、黃仁德（2000）,《從我國加入WTO談銀行的風險管理趨勢》,金融研訓院季刊【第一期】
12. 劉傑禮（2001）,「影響債券電腦成交系統使用者滿意度因素之研究」,國立中央大學資訊管理學系碩士論文
英文部分
13. Basel Committee on Banking Supervision（2001）,“The New Basel Capital Accord：an explanatory note” .
14. Basel Committee on Banking Supervision（2001）, “The New Basel Capital Accord”.
15. Basel Committee on Banking Supervision（2001）,“The Standardised Approach to Credit Risk”.
16. Basel Committee on Banking Supervision（2001）,“The Internal Ratings-Based Approach”.
17. Basel Committee on Banking Supervision（2001）,“Operational Risk”.
18. Basel Committee on Banking Supervision（2001）,“Pillar 2-Supervisory Review Process”.
19. Basel Committee on Banking Supervision（2001）,“Pillar 3-Market Discipline.”
20. Global Straight Through Processing Association（1999）,“Institutional Trading Technology”, Water Information Service Inc.
21. J. P. Morgan /Reuters（1996）, “Risk Metrics-Technical Document Fourth Edition”.
22. Kumar, V., G. David（2000）, Global Straight Through Processing, Electronic Data System Publication.
23. Kirby Anthony W.（2000）,“Global Straight-Through Processing is this Year’s Imperative for Custodian Banks and their Clients”.
24. Linsmeier,Thomas J., Neil D. Pearson（1996）,“Risk Measurement：An Introduction to Value at Risk”,Working Paper, Washington University.
25. Reuters（2001）Kondor+ User Guide
26. STP Information Services Ltd.（2000）, Straight Through Processing
27. Trivedi, A.K.,S.M. Hasan（2000）, ”Treasury operations and risk management”
28. The Tower Group（1998）, “Role of Electronic Trade Confirmation (ETC) Systems in Cross-Border Trades”
網站部分
29. http://www.riskmetrics.com/products/system/risk/tour/
30. http://rmisweb.com/rmisartc.htm
31. http://www.garp.com/public/calcrisk.doc
32. http://www.euroclear.com
33. http://www.pfs.com/toc.asp
34. http://www.gstpa.org
35. http://www.eds.com
36. http://www.reuters.com（路透社）
37. http://www.bis.org（國際清算銀行）
38. http://www.boma.gov..tw（財政部金融局）
39. http://www.udndata.com（聯合知識庫） |
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