基於BaselⅢ流動性風險架構下之金融系統風險研究

Research on Financial Systemic Risk Based on Basel Ⅲ Liquidity Risk Framework

章成(Zhang, Cheng)

指導教授 ： 鍾經樊

國立清華大學/科技管理學院/計量財務金融系/碩士(2013年)

摘要

Basel III之流動性風險管理架構為全球流動性風險管理提出兩項新指標——流動性覆蓋率（LCR）及淨穩定資金比率（NSFR），要求各國監理機關穩步實施。本文基於Basel III之流動性風險管理指導原則，結合台灣金融業實際狀況，利用2010年底台灣37家銀行財報等公開資訊，建構LCR與NSFR指標測算體系。通過測算發現，外商銀行在流動性風險管理方面的表現顯著優於本土銀行。公股銀行的NSFR能夠滿足最低監理要求但LCR卻呈現高低的不同走勢，突顯公股銀行在短期流動性風險控管上的不足。而民營銀行則因經營策略各異，導致LCR與NSFR指標呈現較大差異，許多無法滿足LCR要求的樣本銀行同樣也無法通過NSFR的監理要求，需引起監理機關足夠重視。最後，本文選取25家樣本銀行，將測算結果納入涵蓋信用風險、銀行間傳染風險與流動性風險的金融系統風險量化模型，同時加入選擇權評價流動性風險的方法，評估新指標的實施對於銀行業的影響。

關鍵字

Basel III ； 流動性風險 ； 系統風險 ； 流動性覆蓋率 ； 淨穩定資金比率

並列摘要

Basel III liquidity risk framework introduces two standards for global liquidity risk management which are liquidity coverage ratio (LCR) and net stable funding ratio (NSFR), and suggests authorities to promote the implementation of the requirements steadily. Based on the guiding principles of the framework and the reality of financial industry in Taiwan, the proper measurements for LCR and NSFR can be constructed using public information such as financial reports of all the 37 banks in Taiwan by the end of 2010. After measuring, we can find that foreign banks manage their liquidity risk significantly better than the local ones. Although public share banks all have NSFRs above 100%, some of them do not meet the LCR requirement, highlighting the lack of sound short-term liquidity risk management. Private banks show larger differences in these two indicators due to various business strategies and several of them cannot meet neither of the requirements which the authorities should pay more attention to. Finally, in order to assess the possible impact of the new framework on the banking sector, we apply the results of 25 sample banks to a financial systemic risk model integrating credit, contagion and liquidity risk, in which the liquidity risk is valued by option.

並列關鍵字

Basel III ； Liquidity Risk ； Systemic Risk ； Liquidity Coverage Ratio ； Net Stable Funding Ratio

參考文獻

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