台灣金融機構之系統風險—CoVaR方法

CoVaR Model for Systemic Risk in Taiwan’s Banking System

林莉娜(LI-NA LIN)

指導教授 ： 李美杏

國立臺北大學/商學院/統計學系/碩士(2016年)

摘要

2007年美國次貸風暴引發了金融海嘯，造成全球金融市場信用緊縮及金融體系流動性嚴重不足，一連串國際金融危機的爆發，突顯出金融機構「大到不能倒」所隱含的影響，使得大型金融機構可能帶給整個金融體系的系統風險，成為各國金融監理機關必須正視的議題。
過去傳統的風險衡量方法是使用VaR值，主要係將金融機構資產組合所面對的風險量化為一個數值，用來說明該金融機構預期的最大損失，以此衡量金融機構自身的風險，但是VaR有其侷限性，因為自身風險的計算無法反應出系統風險。
Adrian and Brunnermeier（2014）認為系統風險可以藉由個別金融機構的風險來辨識，因為這些金融機構的個別風險間會相互聯結而使風險大到可以影響其他金融機構，甚至整個金融體系，延伸此一概念提出CoVaR法。本論文就Adrian and Brunnermeier所提出的CoVaR模型，利用分量迴歸對不同分量的邊際效果來作解釋，以台灣上市上櫃金融機構為實例，衡量該金融機構於台灣金融市場的系統風險以及個別金融機構間交叉影響的系統風險貢獻。

關鍵字

金融海嘯 ； 分量迴歸 ； VaR ； CoVaR

並列摘要

In 2007, Subprime Mortgage Crisis exploded Financial Tsunami, resulting in the contraction of credit in the global financial market and severely insufficient liquidity of the financial system. A series of international financial crisis explosion shows the implied influence of the financial institutes that is "too big to fail". In other words, the large-scaled financial institutes may bring risk to the while financial system, which becomes the issue for the financial supervisory organs in each nation to face and take action.
In the past, people used VaR as the traditional risk measurement method. It can quantify the risk that the asset portfolio of the financial institute may encounter to illustrate the biggest loss predicted by that financial institute to take a thorough considerations on the risks of the financial institute itself. Unfortunately, VaR has the shortage of restrictive property, due to risk calculation made by itself, system risk cannot be reflected.
Adrian and Brunnermeier (2014) claimed that system risk can be identified by means of those in the individual financial institute, since the individual risk of those financial institutes inter-connect with one another, so that the risk become large enough to affect other financial institutes, or even the whole financial system. Therefore, by extending such concept, CoVaR method was proposed by this research. In this research, for the CoVaR model proposed by Adrian and Brunnermeier, by means of quantile regression's marginal effect on different components.this research attempted to explain CoVaR. Take the listed and public financial institutes as example, we consider the systematic risks from that financial institute in the financial market in Taiwan, as well as the systematic risk cross-influenced by the individual financial institute.

並列關鍵字

Financial Tsunami ； Quantile Regression ； VaR ； CoVaR

參考文獻

張惠茹(2014), 系統風險是否可以預測台灣經濟與股票市場的衰退, 國立交通大學財務金融研究所碩士論文。

藍麗惠、廖源星、林育志(2007), 臺灣金融機構之外匯風險, 臺灣經濟預測與政策, 中央研究院經濟研究所, 第38卷, 第1期, 頁127-151。

曹君龍(2011), 極端事件下台灣股匯市之關聯性-CoVaR 之應用, 國立政治大學金融研究所碩士論文。

林楙然 (2011), 極端事件下亞洲股票市場傳導效果分析-CoVaR之應用, 國立政治大學金融研究所碩士論文。

Adrian, T. and Brunnermeier, M. K.(2014). “CoVaR”, Federal Reserve Bank of New York, Staff Reports.