| Summary: | 碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 94 === Abstract
The disciplined implementation of risk management practices by securities firms is an issue our securities authority pays considerable attention to. This study aims to examine the effectiveness of regulatory guidelines designed to help securities firms implement risk management, including 「Regulations for the Internal Control System of Securities Firms」, 「Taiwan Security Firms Equity Capital Adequacy Ratio」, and 「Early Warning System of Overall Managing Risk」. Furthermore, the study investigates the abilities of securities firms to execute the 「Risk Management Best-Practice Principles For Securities Firms」 and the results of execution to see whether there is realistic gap between the guidelines and the actual practices.
The study finds that (1) a few securities firms treat their internal audit operation as a matter of formality, and there were incidences of violation against the internal control and securities regulations; (2) the risk management systems of the majority of securities firms are still in building stage; (3) some securities firms have established solid market risk management mechanism and are in the process of strengthening their credit risk and market risk management systems; (4) the majority of securities firms have undergone the validation of their market risk quantification models but adopting different testing standards; and (5) a few securities firms have yet to establish a risk management information system.
The study suggests the securities authority to: (1) amend the capital adequacy requirements for securities firms in reference to the Basel II requirements, Japan’s capital adequacy ratio requirements for securities firms, and relevant banking regulations; (2) draw up operational rules for securities firms to use internal model for risk measurements, and revise some clauses or description part of the 「Risk Management Best-Practice Principles For Securities Firms」 to link up the two parts; (3) set up an unit to take charge of risk management review and rating: and (4) weigh the feasibility of establishing a risk management review system for securities firms in line with supervisory needs.
Keywords:Value-at-Risk(VAR);Variance-Covariance method; Historical Simulation Method; Monte Carlos simulation method; Risk Management Best-Practice Principles For Securities Firms
|
|---|
