- 學位論文
金融監理的演變，從巴賽爾協議到總損失吸收能力的探討
The Evolution of Financial Regulatory, from Basel Accord to Total Loss Absorbing Capacity(TLAC)
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摘要
本論文試圖從近代金融監理的起源巴賽爾銀行監理委員會談起，介紹由於不同時期的金融環境所造成的監理制度的收緊。並主要著墨於2015年底由金融穩定委員會(Financial Stability Board, FSB)制定的總損失吸收能力(Total Loss Absorbing Capacity, TLAC)對於全30間全球系統性重要銀行(Global Systematically Important Bank, G-SIBs, 見表1)在資本適足率要求以及資本結構之指導原則。 並以2016年12月才由美國聯邦儲備銀行(Federal Reserve Bank, Fed)提出之北美8間全球系統性重要銀行適用TLAC之最終版本做為出發，計算其中5間大銀行所需計提之額外總損失吸收能力及合格長天期最低要求負債作為該規範影響之範例。
並列摘要
his paper discusses about the origin of modern financial supervision formulated by Basel Committee on Banking Supervision, which introduces the tightening of the supervision system due to the financial environment in different periods. And then the paper introduces Total Loss Absorbing Capacity (TLAC), which was for all 30 Global Systematically Important Banks (G-SIBs) , See Table 1), developed by the Financial Stability Board (FSB) at the end of 2015. This new pillar mentioned the new capital adequacy requirements and the guiding principles of capital structure. And base on the final version of TLAC rules (8 G-SIBs in North America need to follow) released by Fed in December 2016, we calculate the TLAC requirements and eligible long term debt requirements for 5 representative banks as example.
參考文獻
Total Loss-Absorbing Capacity Holdings Standard. Basel Committee on Banking Supervision
Principles for Sound Liquidity Risk Management and Supervision. Basel Committee on Banking Supervision
Richard Ramsden. (2016). Banks: Final TLAC rules released, mostly unchanged compared to proposal; certainbanks have shortfalls, Goldman Saches
Paul H. Kupiec. (2016). Will TLAC regulations fix the G-SIB too-big-to-fail problem?, Journal of Financial Stability
Pia Huttl. (2016). Total Assets Versus Risk Weighted Assets: Does it Matter For MREL, Bruegel Policy Contribution
延伸閱讀
- 李宗政、林秀柑、呂建和、夏慧娟、林惠雪（2006）。自盈餘管理觀點探討財務預測落差現象對於商業銀行可裁決性呆帳提列行為之影響。風險管理學報，8(2)，137-156。https://doi.org/10.30003/JRM.200607.0002
- 王甡、吳壽山（2000）。金融機構資產組合壓力測試之文獻回顧、執行方法與管理意涵。台灣金融財務季刊，1(1)，41-57。https://www.airitilibrary.com/Article/Detail?DocID=16079256-200009-1-1-41-57-a
- 徐肇鴻（2013）。由經濟觀點論銀行體系中系統風險之成因及事後處理機制之規範原則。東吳法律學報，24(3)，87-124。https://www.airitilibrary.com/Article/Detail?DocID=02593750-201301-201305030024-201305030024-87-124
- 辛崇暉（2017）。Analysis of financial translation from the perspective of Thematic Roles：The ”Basel III” of BIS〔碩士論文，長榮大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0015-2808201723232700
- 蔡智遠（2006）。The Impact of the New Basel Capital Accord on Bank’s Securitization〔碩士論文，淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2006.00197