(3.237.20.246) 您好!臺灣時間:2021/04/14 11:03
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:章成
研究生(外文):Zhang, Cheng
論文名稱:基於BaselⅢ流動性風險架構下之金融系統風險研究
論文名稱(外文):Research on Financial Systemic Risk Based on Basel Ⅲ Liquidity Risk Framework
指導教授:鍾經樊鍾經樊引用關係
指導教授(外文):Chung, Ching-Fan
學位類別:碩士
校院名稱:國立清華大學
系所名稱:計量財務金融學系
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:2013
畢業學年度:101
語文別:中文
論文頁數:51
中文關鍵詞:Basel III流動性風險系統風險流動性覆蓋率淨穩定資金比率
外文關鍵詞:Basel IIILiquidity RiskSystemic RiskLiquidity Coverage RatioNet Stable Funding Ratio
相關次數:
  • 被引用被引用:2
  • 點閱點閱:517
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:165
  • 收藏至我的研究室書目清單書目收藏:0
Basel III之流動性風險管理架構為全球流動性風險管理提出兩項新指標——流動性覆蓋率(LCR)及淨穩定資金比率(NSFR),要求各國監理機關穩步實施。本文基於Basel III之流動性風險管理指導原則,結合台灣金融業實際狀況,利用2010年底台灣37家銀行財報等公開資訊,建構LCR與NSFR指標測算體系。通過測算發現,外商銀行在流動性風險管理方面的表現顯著優於本土銀行。公股銀行的NSFR能夠滿足最低監理要求但LCR卻呈現高低的不同走勢,突顯公股銀行在短期流動性風險控管上的不足。而民營銀行則因經營策略各異,導致LCR與NSFR指標呈現較大差異,許多無法滿足LCR要求的樣本銀行同樣也無法通過NSFR的監理要求,需引起監理機關足夠重視。最後,本文選取25家樣本銀行,將測算結果納入涵蓋信用風險、銀行間傳染風險與流動性風險的金融系統風險量化模型,同時加入選擇權評價流動性風險的方法,評估新指標的實施對於銀行業的影響。
Basel III liquidity risk framework introduces two standards for global liquidity risk management which are liquidity coverage ratio (LCR) and net stable funding ratio (NSFR), and suggests authorities to promote the implementation of the requirements steadily. Based on the guiding principles of the framework and the reality of financial industry in Taiwan, the proper measurements for LCR and NSFR can be constructed using public information such as financial reports of all the 37 banks in Taiwan by the end of 2010. After measuring, we can find that foreign banks manage their liquidity risk significantly better than the local ones. Although public share banks all have NSFRs above 100%, some of them do not meet the LCR requirement, highlighting the lack of sound short-term liquidity risk management. Private banks show larger differences in these two indicators due to various business strategies and several of them cannot meet neither of the requirements which the authorities should pay more attention to. Finally, in order to assess the possible impact of the new framework on the banking sector, we apply the results of 25 sample banks to a financial systemic risk model integrating credit, contagion and liquidity risk, in which the liquidity risk is valued by option.
摘要I
AbstractII
目錄III
表目錄IV
圖目錄V
1.序言1
2.文獻回顧2
2.1個體審慎衡量2
2.1.1流動性覆蓋率2
2.1.2淨穩定資金比率11
2.2 總體審慎衡量15
2.2.1早期預警指標15
2.2.2網路模擬模型15
2.2.3資產市價推估15
3.研究方法17
3.1個體審慎衡量17
3.2總體審慎衡量17
3.2.1信用風險18
3.2.2傳染風險18
3.2.3流動性風險19
3.2.4模型修正21
3.2.5模擬過程22
4.資料處理24
5.實證結果26
5.1個體審慎衡量26
5.1.1流動性覆蓋率26
5.1.2淨穩定資金比率33
5.1.3流動性風險損失39
5.2總體審慎衡量42
6.結論49
參考文獻50
附錄1 樣本銀行之相關資訊51
Basel Committee on Banking Supervision, 2010. Basel III : International framework for liquidity risk measurements, standards and monitoring. Bank for International Settlements, Basel.

Basel Committee on Banking Supervision, 2010. Basel III : A global regulatory framework for more resilient banks and banking systems. Bank for International Settlements, Basel.

Ehud I. Ronn, Avinash K. Verma., 1986. Pricing Risk-Adjusted Deposit Insurance: An Option-Based Model. Journal of Finance, Vol. 41, No. 4, 871-895.

Andreas A. Jobst, 2012. Measuring systemic risk - adjusted liquidity (SRL)—A model approach. International Monetary Fund, WP/13/54.

Raghavendra, Challapali K., 2011.Solution framework for Basel III: global liquidity standard. Available at SSRN: http://ssrn.com/abstract=1881410.

Giordana, G., I, Schumacher., 2011. The impact of the Basel III liquidity regulations on the bank lending channel:a Luxembourg case study. BCL Working Paper No.61, available at IDEAS: http://ideas.repec.org/p/bcl/bclwop/bclwp061.html.

V. Bučková., S. Reuse., 2011. Basel III global liquidity standards:critical discussion and impact onto the European banking sector. Financial Assets and Investing 3,7-18.

Allen,B., Chan, K.K., Milne,A., Thomas,S., 2012. Basel III: Is the cure worse than the disease?. Banking and the Economy 25,159-166.

Bonner, C., Eijffinger,S.,2012. The impact of the LCR on the interbank money market. Available at SSRN: http://ssrn.com/abstract=2139961.

鍾經樊,2009,壓力測試的架構,中央銀行季刊,31, 2, 7-34.

鍾經樊,2011,涵蓋信用風險、銀行間傳染風險、與流動性風險的台灣金融系統風險量化模型,中央銀行季刊,32, 2, 13-46.

洪靜婷,2012,Basel III流動性風險架構對本國銀行監理之實證評估.
連結至畢業學校之論文網頁點我開啟連結
註: 此連結為研究生畢業學校所提供,不一定有電子全文可供下載,若連結有誤,請點選上方之〝勘誤回報〞功能,我們會盡快修正,謝謝!
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
系統版面圖檔 系統版面圖檔