跳到主要內容

臺灣博碩士論文加值系統

(3.231.230.177) 您好!臺灣時間:2021/07/27 12:26
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:蔡孟儒
研究生(外文):Meng-Ru Cai
論文名稱:銀行風險控制能力與資產證券化特徵
論文名稱(外文):BHC Risk Control and Asset Securitization Characteristics
指導教授:廖咸興廖咸興引用關係
指導教授(外文):Hsien-Hsing Liao
口試委員:李阿乙陳宗岡
口試委員(外文):Ahyee LeeTsung-Kang Chen
口試日期:2015-06-25
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
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:2015
畢業學年度:103
語文別:中文
論文頁數:39
中文關鍵詞:風險管理指標資產證券化銀行控股公司風險控制能力
外文關鍵詞:Risk Management IndexAsset SecuritizationBHCRisk Control
相關次數:
  • 被引用被引用:0
  • 點閱點閱:189
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
本文分析銀行風險控制能力和資產證券化特徵的關係,實證結果發現銀行若是擁有較好的風險管理委員會,則會減少證券化保留利益;若是銀行風控長擁有較大的實質權力(薪資前五高),則會減少證券化的發行餘額。但是當風控長為高階經理人,且沒有掌握相當程度的實值權力時,銀行的證券化發行餘額反而會上升。因越多的證券化發行餘額代表銀行進行了更多的風險移轉以及提升流動性,這代表銀行風險控制的功能非常卓越時,會傾向承擔更多的風險,而這樣的結果也說明了銀行風險控制能力越好並非單純的減少風險,而是有積極與消極的正反作用。此外風險控制能力對證券化特徵的負向關係在金融海嘯期間會減弱。

This paper finds the effect of the risk control variables of bank holding companies (BHCs) on the asset securitization characteristics. The empirical result shows that BHCs with better risk management committee and whether CRO is the top 5 salary paid officer in the BHC is negatively associated with retained interests. However, if there is a CRO or CRO is an executive officer in the BHC, then the BHC will do more securitization, which means the power of risk control has two opposite sides of effect on the asset securitization characteristics. Besides, during the financial crisis period, the negative relationship between risk control variables and asset securitization characteristics is weakened.

口試委員會審定書 i
誌謝 ii
摘要 iii
Abstract iv
第一章 概述 1
第二章 研究假說 3
2.1 銀行風控能力與資產證券化特徵的相關性 3
2.2 金融海嘯期間銀行風控能力和資產證券化特徵相關性的影響 5
第三章 研究樣本與研究方法 7
3.1 資料來源及樣本篩選 7
3.2 風險控制能力變數 7
3.3 資產證券化特徵變數 9
3.4 控制變數 10
3.5 統計量摘要 11
第四章 實證結果與分析 12
4.1 風險控制能力對資產證券化特徵的影響 12
4.2金融海嘯期間銀行風控能力和資產證券化特徵相關性的影響 14
第五章 結論 16
參考文獻 17


Barth, M. E., Ormazabal, G., Taylor, D. J., 2011. Asset securitizations and credit risk. The Accounting Review 87, 423-448.
Chemmanur, T. J., Paeglis, I., Simonyan, K., 2009. Management quality, financial and investment policies, and asymmetric information. Journal of Financial and Quantitative Analysis 44, 1045-1079.
Chen, T. K, Liao, H. H., Ye, J. S., 2011. Management quality and corporate credit rating: Structural credit model perspectives. Working paper.
Chen, W., Liu, C. C., Ryan, S. G., 2008. Characteristics of securitizations that determine issuers'' retention of the risks of the securitized assets. The Accounting Review 83, 1181-1215.
Cheng, M., Dhaliwal, D. S., Neamtiu, M., 2011. Asset securitization, securitization recourse, and information uncertainty. The Accounting Review 86, 541-568.
Ellul, A., Yerramilli, V. 2013. Stronger risk controls, lower risk: Evidence from US bank holding companies. The Journal of Finance 68, 1757-1803.
Kashyap, A., Rajan, R., Stein, J., 2008. Rethinking capital regulation. Maintaining stability in a changing financial system, 43171.
Laeven, L., Levine, R., 2009. Bank governance, regulation and risk taking. Journal of Financial Economics 93, 259-275.
Liao, H. H., Chen, T. K., Lu, C. W., 2009. Bank credit risk and structural credit models: Agency and information asymmetry perspectives. Journal of Banking & Finance 33, 1520-1530.
Sarkisyan, A., Casu, B., 2012. Credit and liquidity support in securitisations and implications for bank solvency. Lamfalussy Fellowship Program sponsored by the ECB.
Smith, C. W., Stulz, R. M., 1985. The determinants of firms'' hedging policies. Journal of financial and quantitative analysis 20, 391-405.
Stulz, R. M., 2008. Risk management failures: What are they and when do they happen?. Journal of Applied Corporate Finance 20, 39-48.
Stulz, R. M., 2014. Governance, risk management, and risk-taking in banks. National Bureau of Economic Research.
Tetlock, Paul C., 2007, Giving content to investor sentiment: The role of media in the stock market, Journal of Finance 62, 1139–1168.


QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關論文
 
無相關期刊
 
無相關點閱論文