臺灣博碩士論文加值系統

現今的金融體系歷經全球化、金融創新與放鬆管制的影響，銀行參與的市場活動更加多樣性，隨著銀行規模連年擴大，更有能力從事高風險的投資組合，在多角化的資本配置下，其產生的系統性風險將外溢至整個金融體系。
回顧以往文獻，許多探討議題侷限於銀行對稱系統風險與其他相關變數的探討，Lopez-Espinosa et al.(2015)研究發現估計系統性風險時，銀行在遭遇不好的衝擊下的共同作用將比在順利的情況下的共同作用更大。因此本研究探討加入銀行前一期之營運狀況對本期系統性風險產生的共同作用之影響，本文以台灣銀行業為主要研究類型，研究樣本期間自2010年至2018年共計9年864筆季資料，不僅探討對稱系統性風險：風險值(Value at Risk, VaR)、對稱條件風險值 (Conditional VaR, CoVaR)與對稱風險外溢效果(ΔConditional VaR, ΔCoVaR)，在估算系統風險時，再加入探討非對稱系統性風險：非對稱條件風險值(asymmetric Conditional VaR, aCoVaR)與非對稱風險外溢效果(asymmetric ΔConditional VaR, aΔCoVaR)。實證結果顯示，在估算aCoVaR與aΔCoVaR時，觀察金融機構之對稱系統性風險及非對稱系統性風險之β值，可以發現前一期為好訊息或高績效的情形時之非對稱系統性風險β值，其波動會小於對稱系統性風險β值；另外，當前一期為負面衝擊或低績效的情形時之非對稱系統性風險β值，其波動會大於對稱系統性風險β值。後續將探討加入銀行規模後，其對非對稱系統性風險之影響，實證結果顯示，系統性風險確實與台灣的商業銀行之規模大小有關，且其系統風險衝擊至其他金融機構或整體金融體系之強度(風險外溢效果)，也與其銀行本身的規模有關。
本研究先以分量迴歸方法計算出對稱系統性風險：VaR、CoVaR、ΔCoVaR與非對稱系統性風險：aCoVaR、aΔCoVaR之實證結果，再以Panel Data固定效果方法以及LSE參數估計法衡量銀行規模對”對稱性系統風險”與”非對稱系統性風險”之影響。

Today's financial system has undergone globalization, financial innovation and deregulation. Banks participate in diverse market activities. As banks grow year after year, they are more capable of engaging in high-risk investment portfolios. Under diversified capital allocation, Systemic risks arising from financial institutions will spill over to the entire financial system.
Looking back at the previous literature, many papers explored issues that are limited to the discussion of bank-symmetric systemic risk and other related variables. Lopez-Espinosa et al. (2015) found that when estimating systemic risk, banks are common under the impact of bad. The effect will be greater than the synergy in the case of smoothness. Therefore, this study explores the impact of the operation status of the previous period of joining the bank on the systemic risks of the current period. This paper takes Taiwan's banking industry as the main research type. The research period is from 2010 to 2018. The data not only explores symmetric systemic risks: risk value, symmetric condition risk value and symmetric risk spillover effect. When estimating system risk, it also discusses asymmetric systemic risk: asymmetric condition risk value and asymmetric risk spillover effect. The empirical results show that when estimating aCoVaR and aΔCoVaR, assuming that there is a bad impact in the previous period, the asymmetry system risk will be greater than the symmetric systemic risk; assuming the previous period is a good message, the asymmetry system risk will be less than the symmetry. Systemic risk. The follow-up will explore the impact of “symmetric system risk” and “asymmetric systemic risk” after joining the bank.
In this study, the symmetry systemic risk is calculated by component regression method: VaR, CoVaR, ΔCoVaR and asymmetric systemic risk: the empirical results of aCoVaR, aΔCoVaR, and then the bank data fixed by the Panel Data fixed effect method and LSE parameter estimation method. The impact of symmetry system risk and asymmetric systemic risk shows that bank size has a significant impact on “asymmetric systemic risk”.

摘要 I
ABSTRACT II
誌謝 III
目錄 IV
圖目錄 VI
表目錄 VII
第一章 緒論 1
1.1研究背景與動機 1
1.2研究目的 3
1.3研究架構與流程 3
第二章 文獻探討 5
2.1銀行規模(BANK SIZE) 5
2.2資本適足率 5
2.3系統性風險(SYSTEMIC RISK) 6
2.4其他銀行特性變數對系統性風險之影響 6
2.4.1槓桿率 6
2.4.2存貸款比率 7
2.4.3收入結構 7
2.4.4資產組合 7
2.5風險值相關文獻 8
2.5.1風險值 (Value-at-risk，VaR) 8
2.5.2條件風險值(Conditional VaR,CoVaR) 9
第三章 研究方法 11
3.1研究架構 11
3.2假說推論 11
3.3研究期間資料來源 12
3.4變數定義與衡量 12
3.5系統風險衡量指標 13
3.5.1風險值(Value-at-risk, VaR) 13
3.5.2條件風險值(Conditional Value at Risk, CoVaR) 14
3.5.3非對稱條件風險值(Asymmetric CoVaR) 15
3.5.4分位數回歸的估計和推斷 16
3.6研究方法與實證模型 17
3.6.1追蹤資料模型(Panel DataModel) 17
3.6.2最小平方法模型(The Method of Least Square, LS) 19
3.6.3固定效果模型(Fixed Effect Model) 19
3.6.4分量迴歸模型 (Quantile Regression) 19
3.6.5實證模型 20
第四章 實證分析 22
4.1敘述性統計 22
4.1.1樣本敘述性統計 22
4.1.2樣本相關係數分析 28
4.2實證結果 30
4.2.1銀行系統風險實證結果 31
4.2.2銀行規模與資本適足率對風險值(VaR)之影響 37
4.2.3銀行規模與資本適足率對”對稱條件風險值”(CoVaR)之影響 39
4.2.4銀行規模與資本適足率對”對稱風險外溢效果”(△CoVaR)之影響 40
4.2.5銀行規模與資本適足率對”非對稱條件風險值”(aCoVaR)之影響 41
4.2.6銀行規模與資本適足率對”非對稱風險外溢效果”(a△CoVaR)之影響 42
第五章 結論與建議 43
5.1研究結論 43
5.2研究限制與建議 44
參考文獻 45

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