中 文 摘 要
自2004年新巴塞爾資本協定公佈以來，建立具風險敏感性的風險管理架構與如何在新制度下衡量資本計提成為當務之急。本文提出結合住宅抵押貸款違約機率(PD)與違約損失率(LGD)，目的在衡量住宅抵押貸款之資本計提。本研究以multinomial logit模型分別探討各解釋變數對條件違約率之影響，同時估計違約機率，在合理的違約損失率的假設下，為住宅抵押貸款計算承擔信用風險所需之經濟資本。

研究結果指出，傳統的最低資本適足率要求對於已做好風險管理的資產組合而言已經不夠精準，新巴塞爾制度的實施，將法定資本要求更貼近實際資產所需的經濟資本，可提供銀行誘因做好內部風險控管。本文貢獻在於協助建立合適的風險準備，在不同的風險下為衡量資本計提建立完整的流程架構，為持有住宅抵押貸款之銀行提供風險管理的建議。

關鍵字: 新巴塞爾制度,資本計提，住宅抵押貸款

Abstract
Since the release of New Basel Capital Accord in 2004, it’s urgent to establish a risk-based framework under Basel II and realize the process of measuring the economic capital for mortgage loans now. This article connects the probability of default (PD) and loss given default (LGD) of residential mortgages under Basel II after 2004. We measure PD with multinomial logit regression model, given the LGD assumption, to assess economic capital to cover credit risk on a portfolio of residential mortgages.

Our results suggest that traditional minimum capital adequacy generally is not accurate enough for banks with risk managed portfolios. Tying regulatory capital requirements more closely to economic risks for mortgage assets would likely increase incentives for such institutions to engage in internal risk management.

Contributions to help establish appropriate loss reserves, build a complete process to compare capital requirement with different LGD, and support advice for credit risk management for mortgage loans.

Key words: Mortgage, Basel II, Capital Requirement

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