臺灣博碩士論文加值系統

在全球金融朝向國際化、自由化發展的同時，各國政府亦逐漸放寬或解除限制，進而促使市場活絡、加快經濟的發展，金融業務間的隔閡日漸模糊。且金融機構在競爭激烈的情況下，漸以金融控股公司的型態來經營，導致所經營的業務更加多元化，卻也添加了更多的不確定性。財務市場變數的劇烈波動，使得市場風險的衡量日漸重要，由於資訊科技的進步與財務工程的發展，各式各樣風險之確認、量化及管理，已在理論與實務上漸趨成熟，而風險值的就是近年來金融界風險管理的工具。由於風險值模型淺顯易懂，且有客觀及量化的風險管理基礎，因此風險值模型已成為當今風險管理的重要工具之ㄧ。　
　　由於台灣地區的銀行尚未完全普遍使用風險值模型來衡量風險值，且衡量風險值模型計算繁瑣，相較上較不易被普遍運用，因此提升銀行使用風險值模型衡量風險值的效率更顯得重要，固本研究之目的在於整合模式庫、法則庫與資料庫建構一套能有效支援風險值模型選擇之智慧型決策支援系統，協助銀行風險人員在計算風險值上內部模型的選擇決策建議；本系統主要分為三大庫，「模式庫」中係採用Jorion(2007)與我國金管會所提出三種常見的內部模型－Delta-Normal法、歷史模擬法與蒙地卡羅模擬法當作本系統模式庫中之模型，而「法則庫」則採用巴塞爾銀行監理委員會所發表之Besel П與我國金管會所發布之「銀行自有資本與風險性資產之計算方法說明與表格」的相關規定，並利用if…then…的推導機制，提供決策者資訊與建議，進而提升決策之品質；「資料庫」係根據銀行投資部位的風險因子所建立；最後，本研究將以台灣某銀行實際投資組合為個案來探討。

When the financial institutions faced the internationalization and liberalization, governments around the world also gradually relaxes or relieves the limit. Then, the development of economics and markets is encouraged, and the practice barrier has been gradually dissolved. At this competitive moment, many financial institutions exist in the form of financial holding companies, so that the banks’ practices are more diversified and changing. Due to the changing financial environment, the need for new financial instruments and analytical tools for risk management has emerged.
Because of the advancement of information technology and the development of financial engineering, many kinds of tools to confirm, quantify and manage risk are created. One tool for risk management is the value-at-risk (VaR). Since the VaR models are easy and exoteric and provided quantitative and objective standards to administrants, it can be accepted in seconds.
The calculation of VaR models is complicated so it’s not popular in Taiwanese banks. There are many countries using VaR models. Then, to promote the use of use VaR models is important. Therefore, this study presents a knowledge-based decision support system in helping decision makers choose which internal model is optimal. This system mainly consists of three bases: the first base is model base which cited Jorion (2007) and Financial Supervisory Commission that broached three ordinary internal models- Delta-Normal method, historical simulation method and monte carlo simulation method. The second one is knowledge base which comprised the laws of Basel П and 「The Calculation and form of regulatory capital and risk-weighted assets in bank」. The final one is data base which contained the risk factors of bank’s portfolio. Finally, this paper apply one Taiwanese bank’s portfolio to implement this system.

摘要......................................................Ⅰ
Abstract..................................................Ⅱ
誌謝......................................................Ⅲ
目錄......................................................Ⅳ
圖目錄....................................................Ⅵ
表目錄....................................................Ⅷ
第一章 緒論................................................1
1.1 研究背景與動機..............................................................................................1
1.2 研究目的..........................................................................................................4
1.3 研究架構..........................................................................................................5
1.4 研究流程..........................................................................................................6
第二章 文獻探討............................................7
2.1 風險值..............................................................................................................7
2.1.1 風險的意義...........................................................................................7
2.1.2 風險管理之發展...................................................................................8
2.1.3 風險值之定義.......................................................................................9
2.1.4 風險值之衡量方法.............................................................................11
2.1.5 風險值之相關文獻.............................................................................13
2.2 決策支援系統................................................................................................17
2.2.1 決策支援系統之定義與特徵.............................................................17
2.2.2 決策支援流程.....................................................................................19
2.2.3 決策支援系統的構成單位.................................................................20
2.2.4 智慧型決策支援系統(Intelligent DSS) .............................................22
2.2.5 決策支援系統相關文獻.....................................................................24
第三章 風險值衡量與驗證...................................27
3.1 風險值衡量方法..............................................................................................27
3.1.1 局部評價法－Delta-Normal法.............................................................27
3.1.2 完全評價法－歷史模擬法(Historical Simulation Method )................30
3.1.3 完全評價法－蒙地卡羅模擬法(Monte Carlo Simulation Method)....33
3.2 風險值之測試與檢定......................................................................................36
3.2.1 回顧測試(Back Test) ............................................................................37
3.2.2 概似比檢定.........................................................................................38
第四章 系統架構...........................................39
4.1 系統架構........................................................................................................39
4.1.1 系統建構環境.......................................................................................39
4.1.2 系統流程.............................................................................................39
4.2 系統規劃........................................................................................................42
4.2.1 資料庫...................................................................................................42
4.2.2 模式庫...................................................................................................42
4.2.3 知識庫...................................................................................................46
第五章 系統建構...........................................51
5.1 系統簡介..........................................................................................................51
5.2 系統展示..........................................................................................................52
5.3 實際個案分析..................................................................................................71
5.3.1 個案分析系統操作過程.......................................................................71
5.3.2 個案結果分析.......................................................................................73
第六章　結論與建議........................................76
6.1 結論..................................................................................................................76
6.2 未來研究建議..................................................................................................77
參考文獻..................................................78

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