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研究生:陳姝吟
研究生(外文):Chen, Shu-Yin
論文名稱:金融機構之流動性風險管理探討
論文名稱(外文):Liquidity Risk Management of Banks
指導教授:陳明道陳明道引用關係
指導教授(外文):David M. Chen
學位類別:碩士
校院名稱:輔仁大學
系所名稱:金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:中文
論文頁數:53
中文關鍵詞:資金流動性流動性風險流動性風險管理
外文關鍵詞:funding liquidityliquidity riskliquidity risk management
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在目前流動性風險管理的落實上發現,於一般正常的市場條件下,流動
性風險之於總風險的重要性並不太受重視;然而,一旦發生財務危機
(financial stress),流動性風險的重要性便大大提升,國內、外銀行因對流動
性風險控管失敗,而導致結束經營的例子不勝枚舉,且標準的流動性風險衡
量法在這個時候也特別容易失靈。
流動性風險、市場風險、與信用風險為銀行三大原始風險,其中,大多
數銀行對於市場及信用風險的控管已臻成熟,且也有適當量化這兩類風險的
方法,而流動性風險的衡量,因至目前為止還沒有發展出有效的量化方法,
所以現在大多數對流動性風險的討論都放在金融政策、改變市價的極端事件
或金融危機之風險管理上。
因此,本研究整理了目前多數外商銀行,所採用的一些流動性風險管理
方法,如壓力測試與情境模擬分析、資金來源多角化、現金流動缺口的衡量、
因應重大危機之計畫(Contingency Plan)、流動性比率與限制的制定、信用評
等、資產負債管理(ALM)…等等,都可有效率的監控流動性風險。這些管理
辦法,再加上銀行若可深耕於平日流動性風險管理的制度及架構面,並確實
執行,那麼,不論是在常態市場或壓力市場,銀行都有足夠的能力因應流動
性失常且安然度過。
Financial risks of banks consist primarily of liquidity risk, market risk, and credit risk. Besides liquidity risk, there exist well-developed and sophisticated systems and measurement methodologies to manage and monitor market and credit risks. The current practices of liquidity risk management include two
standard measures, based on either transaction costs or adverse price impact. Yet, both of them can be relevant only in normal market conditions, because during which, most assets have a fairly predictable degree of liquidity, a negligible lead time for completing a standard-sized transaction, and steady bid-ask spreads.
However, liquidity measures assuming normal times lack subtlety in managing liquidity risk.
At times of unusually market volatility, or when markets are particularly apprehensive, such as the occurrences of unexpected financial crises or market dry-up, those measures are likely to be far-off the marks in reflecting market liquidity conditions, hence, rendering them useless if not misleading. Yet just at times like these, liquidity risk is likely to become urgent issues. For this reason, much of the concern about liquidity risk is in fact elevated to the financial policy-making level and risk management in the event of market extremity.
This thesis discusses and extracts the essential ingredients of the current management practices of liquidity risk of foreign banks in Taiwan with an aim to provide workable business models as references to domestic banks. World-class liquidity risk management practices include funding diversification, core liquidity monitors, stress testing and scenario analysis, contingency planning, and
asset and liability management, etc., With a firm commitment to achieve the highest standards, all foreign banks studied express a high degree of confidence in meeting all payment obligations no matter whether the market conditions are normal or stressed.
第壹章 緒論...........................................................1

第貳章 流動性風險概論與文獻.............................................2
第一節 何謂流動性風險..................................................2
第二節 流動性相關的市場與資料概述.......................................7

第參章 流動性風險衡量法之探討..........................................10
第一節 交易成本風險的衡量法............................................11
第二節 反向價格效果的風險衡量..........................................19
第三節 從部位到資產組合的風險衡量......................................23
第四節 常態市場VS.壓力市場的流動性.....................................24

第肆章 在台外商銀行流動性風險管理研究整理...............................25
第一節 比利時富通銀行(Fortis) ........................................25
第二節 加拿大豐業銀行(Scotiabank).....................................28
第三節 美國花旗銀行(Citigroup) .......................................31
第四節 美商富國銀行(Wells Fargo & Company)............................33
第五節 美國銀行(Bank of America) ....................................35
第六節 英商巴克萊銀行(Barclays PLC) ..................................39
第七節 英商渣打銀行(Standard Chartered)...............................42
第九節 新加坡銀行(United Overseas Bank)..............................47
第十節 德意志銀行(Deutsche Bank) ....................................49
第十一節 外商銀行<流動性風險管理策略>彙整...............................52

第伍章 結論..........................................................53
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