結構型金融商品與金融業風險管理之探討

Exploration of Structured Financial Products and Risk Management of Financial Industry

楊武通(Yang Wu-tung)

指導教授 ： 徐學忍 ； 郭文忠

元智大學/管理學院/管理研究所/碩士(2005年)

摘要

近年來因利率持續低迷及股票市場風險增加，投資人對具備保本性質之結構型商品趨之若騖。所謂之結構型商品就是由金融業與投資人間承作一個結合固定收益商品與選擇權商品的組合型式商品交易，透過選擇權與固定收益商品間之結合，使得結構型商品之投資本金與所產生的投資報酬與連結之標的資產價格波動產生連動效應，可達到保障一定程度本金或獲得較高投資報酬率的功效。結構型商品一般分為股權連結型商品與保本型商品兩大類。發行公司針對發行結構型商品業務所涉及之風險包括受利率風險因子和股價風險因子影響之市場風險、交易相對人違約風險－客戶端與商品交易端之信用風險、流動性風險、作業風險與法律風險等等。而投資人投資結構型商品之潛在風險則有倒帳風險、匯兌風險、流動性風險、利率風險等等。
結構型金融商品之快速發展也造成許多投資人與發行機構間之爭議，另外一方面，金融業之風險管理也將受此趨勢而有必須有所調整。本論文擬探討結構型商品對金融業風險管理之影響，除了回顧我國發展結構型金融商品之背景與近況外，也分析對於不同之金融業之影響差異。此外，本研究論文並就結構型商品之數個個案進行個案研究分析，模擬此商品對於銀行業與證券業風險管理之影響，嘗試探討結構型金融品對於投資人及金融業之影響。
本論文之研究結論發現，台灣金融市場制度對於發行結構型商品者，有避險工具嚴重不足與現行基金持有定存與短期票券的比例上限為五成等兩個嚴重的問題。現行海外保本型商品，操作保本的部分都是藉由零息債券達成，台灣應該早日制定『分割公債』相關法律規範，將公債的本息可分離而個別交易。保本基金在五成持有定存下亦無法百分百保本。另一方面，目前台灣可投資的衍生性金融商品只有期貨與選擇權，若能放寬保本基金可以投資國外商品之限制，則可提供予投資人更多樣化之選擇亦可使發行商有充足的避險工具。最後若國內結構型債券之發行者亦能擁有具指標性之信用評等，如此對於發行者、投資者較具有保障，也可使得結構型商品在台灣更加成熟，發展更為健全。

關鍵字

結構型金融商品 ； 風險管理 ； 連動債券 ； 金融業

並列摘要

In recent years, due to the continuous reduction of interest rate and increase of risk of stock market, the investors thus scramble for the structured product which is principle guaranteed. The said structured product refers to the financial industry and investors’ establishment of combined product transaction of products with fixed profits and options. Via the combination of products of options and fixed profits, the investment-linked effect will be generated among invested capital of structured product, investment return and the price fluctuation of connected underlying asset which will guarantee certain level of capital or obtain higher investment return rate. Generally speaking, structured products are divided into Equity Linked Products and Principle Guaranteed Products. The risks of the issuing company with respect to the business of issuing structured products included market risk which is affected by risk factor of interest rate and stock price, default risk of transaction counter party the credibility risks of customers and product transaction, fluctuant risk, business risk, legal risk, etc. The potential risks when the investors invest in structured products refer to default risk, exchange rate risk, fluctuant risk, interest rate risk, etc.

The rapid development of structured financial product also leads to disputes between investors and issuing institutions. In addition, the risk management of financial industry will also be adjusted due to the tendency. This thesis intended to explore the effect of structured products upon risk management of financial industry. Apart from reviewing the background and current situation of structured financial products, the thesis also analyzed the effect of the said products upon different financial industries. Besides, this article proceeded with case research analysis of structured products and simulated the effect of the said product upon the risk management of banking industry and securities industry in order to attempt to explore the influence of structured financial products upon investors and financial industry.

The research finding of this thesis revealed that for the units which issued structured products, the system of Taiwanese financial market had two severe disadvantages: hedging tools were seriously insufficient and maximum proportion of holding deposit of current funds and short-term notes was 50%. Current foreign principle guaranteed products are based upon zero coupon bonds for manipulating principle guaranteed aspect. Taiwan should establish related laws and regulation of “split government bonds” and separate the principal and interest of government bonds for individual transactions. Under the condition of 50% holding deposit, the Principle Guaranteed funds could not 100% guarantee the principle. In addition, currently, the extended financial products for investment in Taiwan merely refer to futures and options. If one loosens the restriction with regard to the investment of Principle Guaranteed funds in foreign products, the investors will have more diverse options and the issuers will possess sufficient hedging tools. Finally, if the issuers of national structured bonds can possess standard credibility and grading, the issuers and investors will have more security. The development of structured products in Taiwan will thus become more mature and complete.

並列關鍵字

structured financial product ； risk management ； investment-linked bond ； financial industry

參考文獻

Black, F. and M. Scholes, (1973),“The Price of Option and Corporate Liabilities”, Journal of Political Economy 81, 637-659

Chris, M., 2000 “Capital Allocation and Performance Measurement,”Managing Bank Capital, Second Edition.

Das, S., 2001, Structured Products and Hybrid Securities, John Wiley & Sons（Asia）Pte. Ltd.

Hendrick, D., 1996, “Evaluation of Value-at-Risk Model Using Historical Data” Economic Policy Review, Vol. 2, 39-69

Jorion, P., 2000, Value at Risk：The New Benchmark for Managing Financial Risk, McGraw-Hill, New York.