中國大陸和臺灣地區金融控股公司的系統性風險評估─基於系統性風險係數SRISK方法的研究

Systemic Risk Assessment in Mainland China and Taiwan Financial Holding Companies Based on the Study of Systematic Risk Factors Using SRISK Methods

陳智明(Chih-Ming Chen) ； 郭永濟(Yon-Gji Guo) ； 李伯鈞(Po-Chun Lee)

《多國籍企業管理評論》 8卷S期 (2014/12) Pp. 181-198

https://doi.org/10.3966/199553922014120803009

摘要

系統性風險係數評估，是金融機構在金融危機當中的重要課題與內容，金融機構的預期性資本缺口，國內外學者專家一直缺乏有效的應對方法。本論文借鑒（Brownlees and Engle, 2011）所提出系統性風險係數評估方法，於穩健且適當的基礎上，計算了臺灣地區16家金融控股公司的預期性資本缺口。在這基礎上，本論文提出界定金融控股公司系統性風險係數評估的標準，明確規定金融控股公司系統性風險係數評估的重要性。本論文另一重要發現，金融控股公司所投資的商業銀行與保險公司的資本杠杆率，明顯大於所適用的資本杠杆率，因此臺灣地區的金融監管部門有必要對金融控股公司系統性風險係數評估，實施最低資本率的控管的同時，加強資本杠杆率的控管。

關鍵字

系統性風險係數 ； 資本缺口 ； 金融控股公司 ； SRISK模型

並列摘要

Assessment of systemic risk factors is an important activity of financial institutions during a financial crisis. Many scholars and experts of the subject have not uncovered an effective method to cope with predicting the capital shortfall of financial institutions. However, in this paper, we appeal to a robust and appropriate systematic risk factor assessment method proposed by Brownlees and Engle (2011), and attempt to calculate the expected capital shortfall of 16 of Taiwan’s financial holding companies. Based on this calculation, we propose to define a standard systemic risk factor assessment for a roster of financial holding companies. Another important finding of this paper is that the capital leverage ratio for commercial banks and insurance companies that a financial holding company would invest is significantly greater than the applicable capital leverage ratio. This means that the Taiwanese regulatory authorities that control financial holding companies need a systemic risk factor assessment method that would determine the appropriate minimal capital ratio in order to strengthen the control of the capital leverage ratio.

並列關鍵字

systemic risk factor ； capital gap ； financial holding company ； SRISK model

參考文獻

Brownlees, T. C., and R. Engle (2011), "Volatility, Correlation and Tails for Systemic Risk Measurement," Working Paper, NYU

Acharya, V. V., L. H. Pedersen, T. Philippon, and M. P. Richardson (2010), "Measuring Systemic Risk," Working Paper, NYU

Muller, J. (2003), "Two Approaches to Assess Contagion in the Interbank Market", Working Paper, Swiss National Bank

Acharya, V. V.,Engle, R.,Richardson, M. P.(2012).Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks.American Economic Review.102(3),59-64.

Bernanke, Ben,Woodford, Michael(2005).The Inflation Targeting Debated.Chicago Press.