銀行風險控制能力與資產證券化特徵

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。

關鍵字

風險管理指標；資產證券化；銀行控股公司；風險控制能力

並列摘要

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.

並列關鍵字

Risk Management Index ； Asset Securitization ； BHC ； Risk Control

參考文獻

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.

國際替代計量

銀行風險控制能力與資產證券化特徵

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