銀行證券化對經濟衝擊下銀行信用風險敏感度的影響

How Does the Level of Securitization Affect Bank’s Debt Holder’s Sensitivity to Default Under Economic Shock

謝易軒(Yi-Syuan Shieh)

指導教授 ： 廖咸興

國立臺灣大學/管理學院/財務金融學研究所/碩士(2015年)

https://doi.org/10.6342/NTU.2015.01197

摘要

本文從銀行債權人的角度出發，討論銀行進行證券化和在經濟衝擊下銀行債權人違約風險變化兩者之間的關係，而從實證結果可以歸納出兩個結論，第一個是銀行進行證券化可以有效降低銀行債權人對經濟衝擊的敏感度，因證券化可以提供額外的流動性，相當於另一種融資管道，所以在發生經濟衝擊時有進行證券化的銀行其融資成本比較不容易大幅波動，其銀行債權人違約風險自然就也不會因為經濟衝擊而劇烈變化；第二個則是降低敏感度的力量和景氣狀況有密切關係，在景氣差時此種效果較明顯，景氣好時此種效果較差，因債權人擔心的是銀行違約，而在景氣差時銀行違約的可能性是比較高的，這時證券化所提供的流動性相比於景氣較好的時候就更為重要。

關鍵字

證券化 ； 經濟衝擊 ； 銀行債權人 ； 違約敏感度 ； 信用風險

並列摘要

We examine how bank’s securitization affects bank’s debt holder’s sensitivity under economic shock. Our empirical results show that (1) Banks can reduce the impact of economic shocks on their debt holders through securitization, because securitization provides an alternative funding source for banks under economic shocks; (2) The securitization effect is more significant when the economy is in recession than in growth. Because the additional liquidity provided by securitization is more crucial for banks in downturn periods than in booming ones.

並列關鍵字

Securitization ； Economic shock ； Bank’s debt holder ； Sensitivity to default ； Credit risk

參考文獻

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