| Summary: | 碩士 === 國立臺灣大學 === 會計學研究所 === 84 === In April 1993, The Basle Committee on Banking Supervisory set
forth a packet of proposals indicating the way to incorporate
market risks into risk-based capital standards for banks. The
market risk referred to in the proposal includes three items---
exchange rate, interest rate, and equity price risks. There are
separate and seemingly different measurement procedures across
these three risk categories. What this paper wish to
demonstrate is a common measurement structure among them. This
structure is an approach weighting practical net aggregation
position and gross aggregation into a simple theme adequate to
evaluate risk of an investment portfolio. One can think of a
simple theoretical model to show that such an aggregate
position can be regarded as a simple and, specifically, affine
approximation to a investment portfolio variance calculated by
the variance-covariance matrix of market returns. Based on such
a relationship, this approach can be considered to be a
reasonable method for a practical approach to capital
standards. The proposal for exchange rate risk, shows that the
approximation may be very accurate: the proposed Basle approach
captures over eighty percent of the variation in foreign
exchange risk; and about ninety percent in equity price risk;
while in the interest rate risk portfolio, it appears not to be
suitable. The deviation may be caused by restrictions from
empirical hypothesis and percentages defined in the proposed
risk weights table. On the other hand, eight percent of capital
ratio seems too conservative with respect to exchange risk
rated trading. While to stock prices, it turns out to be
optimistic. As regard to interest rate, more research is needed.
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