【正文】 :風(fēng)管部門人員和高階主管選擇建立回溯測(cè)試報(bào)表。Business Rules:l 建立VaR風(fēng)險(xiǎn)值報(bào)表時(shí)，如果風(fēng)險(xiǎn)因子無(wú)歷史資料時(shí)必須自訂風(fēng)險(xiǎn)因子。STEP 3:確認(rèn)欲匯出的報(bào)表。Postcondition:無(wú)Implementation Constraints and Specifications:l 可以同時(shí)匯出多種報(bào)表成為電子檔。(三) 新系統(tǒng)限制l 適用對(duì)象：以銀行風(fēng)險(xiǎn)管理部門及銀行的高階主管為主，期能擴(kuò)及保險(xiǎn)公司或投資公司。透過(guò)VaR風(fēng)險(xiǎn)值報(bào)表，使用者可以得知風(fēng)險(xiǎn)值與現(xiàn)值的比例，進(jìn)而判斷持有部位所暴露的風(fēng)險(xiǎn)程度。，估算隔日投資部位之風(fēng)險(xiǎn)值。(3) 標(biāo)準(zhǔn)法報(bào)表：系統(tǒng)提供符合新巴塞爾資本協(xié)定規(guī)範(fàn)的標(biāo)準(zhǔn)法報(bào)表，依據(jù)規(guī)定將風(fēng)險(xiǎn)報(bào)表分為「利率風(fēng)險(xiǎn)報(bào)表」、「權(quán)益風(fēng)險(xiǎn)報(bào)表」與「外匯風(fēng)險(xiǎn)報(bào)表」。以下將針對(duì)本專案的資料來(lái)源、資料庫(kù)的ER Model和資訊需求規(guī)格做詳細(xì)的列表介紹：. 資料來(lái)源本專案投資組合所涵蓋之金融商品種類如下：外匯(FX)權(quán)益(Equity)固定收益(Fixed Ine)外匯權(quán)益?zhèn)鈪R選擇權(quán)權(quán)益選擇權(quán)附買回外匯遠(yuǎn)期契約權(quán)益期貨附賣回外匯期貨利率交換根據(jù)以上所述之商品，本專案蒐集其所對(duì)應(yīng)的風(fēng)險(xiǎn)因子之歷史資料，其資料來(lái)源列表如下：歷史資料資料來(lái)源附註匯率直接報(bào)價(jià)路透社、Datastream臺(tái)灣經(jīng)濟(jì)新報(bào)資料庫(kù)臺(tái)灣銀行美元對(duì)外幣的匯率間接報(bào)價(jià)外幣對(duì)美元的匯率日經(jīng)225指數(shù)路透社、DatastreamSamp。 投資組合方面Table Name: MR_TB_FX_SPOTAttribute NameData TypePK/FKCommentFK ReferenceNullIDintPK編號(hào)NAMEvarchar(20)名稱AMOUNTfloat金額UNDERLYINGvarchar(3)標(biāo)的物CURRENCYvarchar(3)幣別POSITIONvarchar(5)長(zhǎng)短部位DEPARTMENTintFK風(fēng)險(xiǎn)承擔(dān)部門MR_TB_DEPARTMENTASSET_CLASSintFK資產(chǎn)類別MR_TB_ASSET_CLASSASSET_TYPEintFK金融商品類型MR_TB_ASSET_TYPEPURPOSEintFK交易/避險(xiǎn)部位MR_TB_PURPOSETable Name: MR_TB_FX_OPTIONAttribute NameData TypePK/FKCommentFK ReferenceNullIDintPK編號(hào)NAMEvarchar(20)名稱UNITvarchar(5)商品單位AMOUNTint持有數(shù)量TRADE_UNITint交易單位UNDERLYINGvarchar(3)標(biāo)的物CURRENCYvarchar(3)幣別MARKET_PRICEfloat市價(jià)STRIKE _PRICEfloat履約價(jià)SETTLE_DATEvarchar(11)交易日MATURITY_DATEvarchar(11)到期日TYPEvarchar(4)買賣權(quán)VOLATILITYfloat波動(dòng)率DELTAfloatDeltaGAMMAfloatGammaVEGAfloatVegaPOSITIONvarchar(5)長(zhǎng)短部位DEPARTMENTintFK風(fēng)險(xiǎn)承擔(dān)部門MR_TB_DEPARTMENTASSET_CLASSintFK資產(chǎn)類別MR_TB_ASSET_CLASSASSET_TYPEintFK金融商品類型MR_TB_ASSET_TYPEPURPOSEintFK交易/避險(xiǎn)部位MR_TB_PURPOSETable Name: MR_TB_FX_FORWARDAttribute NameData TypePK/FKCommentFK ReferenceNullIDintPK編號(hào)NAMEvarchar(20)名稱UNITvarchar(5)商品單位AMOUNTfloat訂約金額UNDERLYINGvarchar(3)標(biāo)的物CURRENCYvarchar(3)幣別MATURITY_DATEvarchar(11)到期日POSITIONvarchar(5)長(zhǎng)短部位DEPARTMENTintFK風(fēng)險(xiǎn)承擔(dān)部門MR_TB_DEPARTMENTASSET_CLASSintFK資產(chǎn)類別MR_TB_ASSET_CLASSASSET_TYPEintFK金融商品類型MR_TB_ASSET_TYPEPURPOSEintFK交易/避險(xiǎn)部位MR_TB_PURPOSETable Name: MR_TB_FX_FUTUREAttribute NameData TypePK/FKCommentFK ReferenceNullIDintPK編號(hào)NAMEvarchar(20)名稱UNITvarchar(5)商品單位AMOUNTfloat持有數(shù)量TRADE_UNITint交易單位UNDERLYINGvarchar(3)標(biāo)的物CURRENCYvarchar(3)幣別MATURITY_DATEvarchar(11)到期日POSITIONvarchar(5)長(zhǎng)短部位DEPARTMENTintFK風(fēng)險(xiǎn)承擔(dān)部門MR_TB_DEPARTMENTASSET_CLASSintFK資產(chǎn)類別MR_TB_ASSET_CLASSASSET_TYPEintFK金融商品類型MR_TB_ASSET_TYPEPURPOSEintFK交易/避險(xiǎn)部位MR_TB_PURPOSETable Name: MR_TB_EQT_SPOTAttribute NameData TypePK/FKCommentFK ReferenceNullIDintPK編號(hào)NAMEvarchar(20)名稱UNITvarchar(5)商品單位AMOUNTint持有數(shù)量TRADE_UNITint交易單位UNDERLYINGvarchar(3)標(biāo)的物CURRENCYvarchar(3)幣別MARKET_PRICEfloat市價(jià)STOCK_TYPEintFK股票類別MR_TB_STOCK_TYPEPOSITIONvarchar(5)長(zhǎng)短部位DEPARTMENTintFK風(fēng)險(xiǎn)承擔(dān)部門MR_TB_DEPARTMENTASSET_CLASSintFK資產(chǎn)類別MR_TB_ASSET_CLASSASSET_TYPEintFK金融商品類型MR_TB_ASSET_TYPEPURPOSEintFK交易/避險(xiǎn)部位MR_TB_PURPOSETable Name: MR_TB_EQT_OPTIONAttribute NameData TypePK/FKCommentFK ReferenceNullIDintPK編號(hào)NAMEvarchar(20)名稱UNITvarchar(5)商品單位AMOUNTint持有數(shù)量TRADE_UNITint交易單位UNDERLYINGvarchar(3)標(biāo)的物CURRENCYvarchar(3)幣別STRIKE _PRICEint履約價(jià)DIVIDENDfloat股利率SETTLE_DATEvarchar(11)交易日MATURITY_DATEvarchar(11)到期日TYPEvarchar(4)買賣權(quán)VOLATILITYfloat波動(dòng)率DELTAfloatDeltaGAMMAfloatGammaVEGAfloatVegaPOSITIONvarchar(5)長(zhǎng)短部位DEPARTMENTintFK風(fēng)險(xiǎn)承擔(dān)部門MR_TB_DEPARTMENTASSET_CLASSintFK資產(chǎn)類別MR_TB_ASSET_CLASSASSET_TYPEintFK金融商品類型MR_TB_ASSET_TYPEPURPOSEintFK交易/避險(xiǎn)部位MR_TB_PURPOSETable Name: MR_TB_EQT_FUTUREAttribute NameData TypePK/FKCommentFK ReferenceNullIDintPK編號(hào)NAMEvarchar(20)名稱UNITvarchar(5)商品單位AMOUNTint持有數(shù)量TRADE_UNITint交易單位UNDERLYINGvarchar(3)標(biāo)的物CURRENCYvarchar(3)幣別MARKET_PRICEfloat市價(jià)DIVIDENDfloat股利率SETTLE_DATEvarchar(11)交易日MATURITY_DATEvarchar(11)到期日POSITIONvarchar(5)長(zhǎng)短部位DEPARTMENTintFK風(fēng)險(xiǎn)承擔(dān)部門MR_TB_DEPARTMENTASSET_CLASSintFK資產(chǎn)類別MR_TB_ASSET_CLASSASSET_TYPEintFK金融商品類型MR_TB_ASSET_TYPEPURPOSEintFK交易/避險(xiǎn)部位MR_TB_PURPOSETable Name: MR_TB_BONDAttribute NameData TypePK/FKCommentFK ReferenceNullIDintPK編號(hào)NAMEvarchar(20)名稱UNITvarchar(5)商品單位AMOUNTint持有數(shù)量UNDERLYINGvarchar(3)標(biāo)的物CURRENCYvarchar(3)幣別MARKET_PRICEfloat市價(jià)COUPON_RATEfloat票面利率PERIODint配息週期FACEint面額SETTLE_DATEvarchar(11)交易日MATURITY_DATEvarchar(11)債券到期日DAY_COUNT_BASISint天數(shù)準(zhǔn)則RATEintFK債券評(píng)等MR_TB_BOND_RATEPOSITIONvarchar(5)長(zhǎng)短部位DEPARTMENTintFK風(fēng)險(xiǎn)承擔(dān)部門MR_TB_DEPARTMENTASSET_CLASSintFK資產(chǎn)類別MR_TB_ASSET_CLASSASSET_TYPEintFK金融商品類型MR_TB_ASSET_TYPEPURPOSEintFK交易/避險(xiǎn)部位MR_TB_PURPOSETable Name: MR_TB_BOND_FUTUREAttribute NameData