隨著全球金融市場波動加劇與交易商品日趨複雜，巴塞爾銀行監理委員會（BCBS）於金融海嘯後提出「交易簿基礎原則審視」（Fundamental Review of the Trading Book, FRTB），透過敏感性分析基礎法（SBM）、違約風險資本（DRC）及殘餘風險附加金額（RRAO）三大計提資本，全面提升市場風險資本計提之風險敏感度。我國金融監督管理委員會配合此一國際監理趨勢，於民國114年1月修正發布「銀行自有資本與風險性資產之計算方法說明及表格」，並自114年7月1日起正式完整實施 FRTB 標準法（SA），台灣銀行業正式進入新制框架。
針對此次制度變革對我國銀行業之影響，本研究首先以公股與民營銀行做區分計算，並參考葉家易、林朝陽（2020）之計算方法，建立公股銀行模擬資產組合（參考台灣銀行、第一銀行資產配置，以主權債券與金融債為主）及民營銀行模擬資產組合（參考國泰世華銀行、玉山銀行資產配置，納入較高比重之公司債、個股及外匯部位），兩組合均以新台幣1億元為統一規模，依現行法規計算其在 FRTB 標準法與簡易標準法（SSA）下之應計提資本，並於高、中、低三種相關性情境下取最高值作為最終結果。
實證結果顯示，公股銀行模擬資產組合 FRTB 標準法應計提資本為14,320千元，其中一般利率風險（GIRR）與外匯風險合計佔比約74%，為主要資本來源；民營銀行模擬資產組合應計提資本則達35,124千元，約為公股組合之2.50倍，其中信用價差風險（CSR）與權益風險合計佔比約65%。進一步比較新舊制差異，民營組合由簡易標準法換軌至標準法後，資本要求增加約37.72%%，而公股組合僅增加約3.5%，顯示 FRTB 新制對信用敏感性資產及多元化配置造成較顯著之資本壓力，而以持有政府公債為主之資產組合受新制衝擊相對輕微。此外，研究亦發現權益風險在新制下之計提反較簡易標準法為低，顯示 FRTB 透過更精細之風險權數分類，並非全面提升資本要求，而係依商品風險特性進行差異化計提，充分體現其風險敏感性設計之核心精神。
本研究之計算結果可作為我國銀行業評估資產配置調整、資本規劃及風險管理策略之量化參考，亦可供監理機關評估制度換軌對不同經營模式銀行影響之研究基礎。

As global financial markets experience increasing volatility and trading instruments grow more complex, the Basel Committee on Banking Supervision (BCBS) introduced the Fundamental Review of the Trading Book (FRTB) in the aftermath of the global financial crisis, comprehensively enhancing the risk sensitivity of market risk capital requirements through three capital charge components: the Sensitivities-Based Method (SBM), the Default Risk Charge (DRC), and the Residual Risk Add-On (RRAO). In line with this international regulatory trend, Taiwan's Financial Supervisory Commission (FSC) revised and promulgated the "Explanation and Tables of the Calculation Method for Banks' Own Capital and Risk-Weighted Assets" in January 2025 (ROC year 114), with the FRTB Standardised Approach (SA) fully taking effect on July 1, 2025, formally bringing Taiwan's banking industry into the new regulatory framework.
To assess the impact of this regulatory transition on Taiwan's banking sector, this study distinguishes between public-sector and private-sector banks, constructs two simulated portfolios: a public-sector bank portfolio (modeled on the asset allocation of Bank of Taiwan and First Commercial Bank, dominated by sovereign bonds and financial bonds) and a private-sector bank portfolio (modeled on the asset allocation of Cathay United Bank and E.SUN Bank, incorporating a higher proportion of corporate bonds, individual equities, and foreign exchange positions). Both portfolios are uniformly scaled at NTD 100 million, and their required capital under both the FRTB Standardised Approach and the Simplified Standardised Approach (SSA) is calculated in accordance with current regulations, with the highest value among the high, medium, and low correlation scenarios taken as the final result.
The empirical results show that the public-sector bank portfolio's required capital under the FRTB Standardised Approach is NTD 14,320 thousand, with General Interest Rate Risk (GIRR) and Foreign Exchange Risk together accounting for approximately 74% of the total, representing the primary sources of capital requirement. The private-sector bank portfolio's required capital reaches NTD 35,124 thousand, approximately 2.50 times that of the public-sector portfolio, with Credit Spread Risk (CSR) and Equity Risk together accounting for approximately 65%. A further comparison between the new and former regimes reveals that the private-sector portfolio's capital requirement increases by approximately 37.72% when transitioning from the SSA to the SA, whereas the public-sector portfolio increases by only approximately 3.5%, indicating that the new FRTB regime imposes significantly greater capital pressure on portfolios with credit-sensitive assets and diversified allocations, while portfolios dominated by government bonds are relatively less affected. In addition, the study finds that the capital charge for equity risk under the new regime is, conversely, lower than under the SSA, demonstrating that FRTB does not uniformly increase capital requirements but instead applies differentiated capital charges according to the risk characteristics of each instrument through more refined risk-weight classifications—fully embodying the core spirit of its risk-sensitive design.
The findings of this study can serve as a quantitative reference for Taiwan's banking industry in evaluating asset allocation adjustments, capital planning, and risk management strategies, and can also provide a research basis for regulators in assessing the differential impact of the regulatory transition on banks with different business models.

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