兆豐國際商業銀行109年 年報
Annual Report 2020 134 財 務 概 況 134 f. ⊖⦼ᶝᮟബ ר ⋱⊖⦼ᶝᮟȯ g. ⸅ᄮʑബ ר ⋱⊖⦼⸅ᄮȯ h. ࢊᅺᆹΒᮢ⥫ᾀᾀ₤ᣅ D ≛ȯ i. ૾ӱᅜരᄊӬΒᮢᛧံȯ (3) ᗢ⺨ᄎᾋ ⠗ ד ઈ⠗ᅠଃ ߊ ᄇ⸉➄⫏ᮟʠᄮ㋤ⵒӠᤀᘍㅷቅᆹŊᗢ⺨⥿⸉➄⫏ᮟʠᄮ㋤ⵒӠȯ ᤀᘍㅷቅ૽ ߊ ᄇʠ྆ᐻծؐŘ A. Ⲳ€ᙙՒϟᔋȯ B. ⥫̒ζᓰːᤀ⭁च⫏ᮟᄇҘ͗˫ᄄˡỬᓜᓰㅮȯ ⠗ ד ઈ⠗ᗢ⺨ʠ⸉➄⫏ᮟ ר ⋱˜ሷⳖ⠗ʑʠⲲ€ᙙՒŊʏྃ↲ͩሷ〦ᄎᾋⳖ⠗⥔ⲲỄȯ (4) ㅷቅΒᮢံदʠ⠣⸇ ⠗ ד ઈ⠗⸒ଃ⎊׆আ⦓ӬരΒᮢㆺるʏቍㆴ┮࣑Խʠ⸉➄డңŊྈ 12 ΤሶㅷቅΒᮢံद⸉㆜⠣⸇⥿⸉➄డңʠЈཌ ံदř⸒ଃ⎊׆আ⦓ӬരΒᮢㆺるㆴ┮࣑ԽΒᮢᛧံʠ⸉➄డңŊԅྈએ↲ቅ⿵ㅷቅΒᮢံद⸉㆜⠣⸇ȯ A. ࿙ΒᏈՖ ㅷቅΒᮢံदʙ⣬˫ⳮ₎ᑨ᪓ (PD) Ȯⳮ₎ံद᪓ (LGD) ד ⳮ₎ሀる㆜ (EAD) ᾀɿㅮⳖ⠗̒ᾰȯ a. ⳮ₎ᑨ᪓ (PD) Ř ͩ⠗ңҙⵒ⥫ᾀ ד ᤀ⥫ᾀⵒ̤Ⳗ⠗Ӡ∌ŊӠӲ̒ᾰȵ 12 Τሶ PD א ᄲȶ ד ȵએ↲ቅ⿵ PD א ᄲȶȯ (a) 12 Τሶ PD א ᄲŘⲿ⳧⠗ɺ౺ቅ૪もⳮ₎᪓ᔕ⫏ᅆŊԊᵌඖ⫏⤻⦲ዮŊㅷ̒ቍ͗ 12 Τሶ ר ⋱ⳮ₎ʠᑨ ᪓ȯ (b) એ↲ቅ⿵ PD א ᄲŘᮢ㈸ ר ड⼍ (Markov Chain) ᅞೣŊⲿ⳧⥫ᾀⱧ⇦ᵪせʠᵪせʧᅞೣŊ˫̒ᾰએ↲ቅ⿵ ⳮ₎ᑨ᪓ȯ נ ңकⵒ⥫ᾀⵒ̤ʠⳮ₎ᑨ᪓ᮢ⎞ȵЙӾ༼⫏ ד ˅ᆞଃ༆ㆩࠣ˅ᆞȶʠ̒ᾰᅞೣȯ b. ⳮ₎ံद᪓ (LGD) Ř ͩჇ˺Ȯᚉ⸉ ד ჂΎᤀჂㅮᲿᾀጻ˴Ⳗ⠗Ӡ∌Ŋʏͩ׳Ӡ∌ʁʠᔕ ߊ ᄇ㊹̒ⳮ₎ံद᪓ȯ c. ⳮ₎ሀる㆜ (EAD) Ř (a) ⠧ҙŘ˫ࢊᅺⅶ్ㄇ⸉㆜ ( ్ؐʀະᄇӴ ) ⤺ᾰȯ (b) ⠧कŘ⠧क⸉㆜ʧ˫ΒᮢⱧဘᄲ (CCF) ŊҢʑΒᮢⱧဘᄲ א ≙ȵ⠗⎊ሷ⫏⎞ㆺるඖ⫏ᮟʠ⤺ᾰᅞᘍ ⦦ᆙ ד ⠧ጁŋΒᮢㆺるᐻᘍȶʑଃᅠΒᮢⱧဘᄲʠ⣳̒ᾰȯ B. ṠЙӾ༼⫏ ד ˅ᆞଃ༆ㆩࠣ˅ᆞ a. ⳮ₎᪓ᮢकⵒΒᮢ⥫ᾀ⫏ᅆŊʏʈₗҘԊᵌඖ≙⸇ȯ b. ⳮ₎ံद᪓ᮢकⵒΒᮢ⥫ᾀʠ౹ ࠀ ⳮ₎ံद᪓ȯ c. ⳮ₎ሀる㆜Ř (a) Stage 1 ᮢⅶ్ㄇ⸉㆜ ( ؐະᄇӴ ) ȯ (b) Stage 2 ד Stage 3 ᮢṠЙӾᅠએ↲ቅ⿵⸉ᙟ⸇ȯ (5) Ԋᵌඖ⫏⤻ʠ≙⸇ A. ࿙ΒᏈՖ ⠗ ד ઈ⠗ᅠӱᅜ⸉➄⫏ᮟ⎊׆আ⦓ӬരΒᮢㆺるᆯ ؋ ㆴ┮࣑Խ ד ⠣⸇ㅷቅΒᮢံदᆹŊᲀ૽Ԋᵌඖ⫏⤻ₗҘ≙ ⸇ȯ a. Βᮢㆺるᆯ ؋ ㆴ┮࣑Խ ⲿ⳧⥫ᾀ⩐Ւ ד Ң˟˅ᆞദ͗⫏⤻Ŋ૽઼ʠ⪮ՖᨊᗼȮѥЙ⋱ԻȮҝᗶ ד ᮟᏈଭቃᾀңԊᵌඖʠ⫏⤻ₗҘ ≙⸇ȯ b. ⠣⸇ㅷቅΒᮢံद ⲿ⳧ PD ד LGD ו ᆤԊᵌඖ⫏⤻≙⸇Ŋ PD Ԋᵌඖ⫏⤻ʠ≙⸇ͩ࿙Βⵒ̤֒Ӡ (a) ңकⵒ⥫ᾀⵒ̤ř (b) Хңҙⵒ ⥫ᾀⵒ̤ř (c) ᤀ⥫ᾀⵒ̤Ř (a) ңकⵒ⥫ᾀⵒ̤Řᮢ⎞ȵЙӾ༼⫏ ד ˅ᆞଃ༆ㆩࠣ˅ᆞȶʠԊᵌඖ⫏⤻≙⸇ᅞೣȯ (b) Хңҙⵒ⥫ᾀⵒ̤Řͩ˺⸉ ד ᚉ⸉ᏈՖⳖ⠗⥫̒Ŋⲿ⳧ א ≙׳ ߡ ણ⠛ᄽ᪇ ד ⳥ᮢ⃥⤺ᅞᘍŊⲅ⨯ഛㅨ⠗ᔕ ⳮ₎᪓ʠᄉ〦ⅶ㋤ᠰ ߌ ઈ ( ॖᠰໞ᪓ȮदᏈ᪓Ȯъ྆ᄲȮӴ᪓Ȯֈ᪓ ד ъ྆ᄲᾀ ) Ŋʏ☼˫⥫̒ⅶ㋤ ᠰ⩐ջଃ׳⥫ᾀᾀ₤ʠഛㅨŊϝᣅ̒ᾰቍ͗ⳮ₎ᑨ᪓ʠԊᵌඖ⫏⤻⦲ዮȯᔍकŊ⠗Ԋᵌඖ⫏⤻⦲ዮծؐ⸒ ଃʃⅶ㋤ᠰࣀ⩐ջⳖ⠗ӠኔŊʏྈᤫࣀᱹᮝ᱿ ר ⋱ඖӠⶪᓏ⸅ŊᮟӛघỚࣀʠⳮ₎ᑨ᪓Խᓏ౹ ࠀ ϊŊ˫ ו ᆤʃⅶ㋤ᠰࣀᱹᮝ᱿ᑨ᪓⎞Βᮢံदએ߱ʠℬඖ〦ȯ
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