Please use this identifier to cite or link to this item:
標題: 信用風險與金融機構應計提資本關聯性之研究
On the Relationship between Credit Risk and Financial Institutions$ Required Capital
作者: 葉仕國
關鍵字: 經濟學;應用研究
此次金融危機顯示出,在快速改變的信用風險及市場環境下,奠基於新巴塞爾資本協定(Basel II)所建構的資本適足率是不適當的。本研究有鑑於此,乃希望能提出一個更有效率的方法來衡量各個金融機構所面臨的信用風險,並提出一個新方法來探討當金融機構降低違約機率至可接受水準時需要注入多少的資本總額。在第一年計劃裡,本研究將提供金融監理單位一個管理的工具,來檢視金融機構究竟以何種資金籌措方式對其自身信用風險的影響。通常,第一種方法是金融機構可以變賣資產來償還債務,那麼就自動地降低了違約風險。第二種方法則是金融機構透過舉新債還舊債來償還債務讓違約機率降至可接受水準。最後一種則是金融機構可以提高自有資本額從而降低了違約風險。本研究將運用Geske(1977)模型探討這三種不同策略的影響,並利用應計提資本(required capital)的概念讓金融監理單位衡量和管理金融機構的信用風險。在第二年計劃裡,本研究亦將針對國內外金融機構發生財務危機事件的案例,如Bear Stern、Lehman Brothers或台新銀行、國華人壽做為本研究的探討對象,期望能帶給金融監理單位實質的風險分析以及政策建議。

The recent financial crisis revealed that the risk based capital requirements establishedby Basel II have proved inadequate in the face of rapidly changing credit risks and marketconditions. The study tries to provide a better methodology to measure the level of defaultrisk in financial institutions and propose a new way to estimate the amount of capital infusionthat a financial institution needs to raise to reduce default probability to acceptable levels.For the first-year project, this study will also propose a management tool for regulators toexamine what kind of raising fund will impact on financial institutions' default risk. Generally,the first approach is that the institution can sell assets to retire debt, then default risk can bereduced as well. The second is that all debt obligations can be paid with new debt. As a result,default risk can be reduced significantly. The final approach is to let the institution raise newequity to retire debt and bring default probability to acceptable levels. We will employ Geske(1977) model to investigate the different consequences resulted from these three differentstrategies. Also, we will advise how financial regulators use required capital concept tomeasure and manage credit risk occurred among financial institutions.In the second-year project, we will apply our approach to understand the implied defaultrisk and capital requirements for the real cases of Bear Stern, Lehman Brothers (in the UnitedStates), Taishin Bank or Kuohwa life insurance( in Taiwan). Hopefully, it can provide somepractical risk analysis and policy implications to financial regulators.
其他識別: NSC99-2410-H005-017-MY2
Appears in Collections:財務金融學系所

Show full item record
TAIR Related Article

Google ScholarTM


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.