| Summary: | 碩士 === 東吳大學 === 會計學系 === 91 === For the management of risk is materially important to the financial industry, Basel Committee issued continually amendment new capital adequacy accord or consultation paper to improve the risk sensitivity and incentive compatibility. In the second consultation paper on the new capital adequacy framework, the committee introduced the granularity adjustment for idiosyncratic risk to the Internal Ratings-Based Approach initially. By the amendment, does the outcome of bank’s value at risk calculations and preferred selection of loanee be changed? In this sequel article I analyzed the granularity adjustment’s effects.
As follows are the objectives of this research:
1.To introduce the function of the granularity adjustment and to explore the effects of the concentration level of risk and probability of default to the adjustment.
2.To explore the adjustment results of different industries in Taiwan those have different redit risk rating portfolio.
3.To generalize the analyzed result, expect to be the reference for the interested parties.
The findings of this research were as follows:
1.Under constraints of this research, the value at risk of the loan portfolio is heavily depended on the value of probability of default and the concentration level of risk.
2.When the loan portfolios’ concentration levels of risk are the same, the granularity adjustment value will get negative value easily, as the value of probability of default gets increasingly. But this adjustment doesn’t cause the value of adjusted risk weighed assets change obviously; the level of aggregate probability of default still corresponds to the degree of adjusted risk weighed assets.
3.When some aggregate probability of default level are maintained by banks, select obligors who distribute proportionally across different credit risk ratings, and make exposures’ concentration level in all ratings be low as possible, that will get better adjustment effect, and get lower legal capital needed.
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