抵押債權證券與次貸危機相關性研究

Collateralized Debt Obligation and Sub-prime Mortgage Crisis Correlation Research

王泰人(Tai-Jen Wang)

指導教授 ： 邱慈觀

國立中央大學/管理學院/財務金融學系碩士在職專班/碩士(2008年)

摘要

近年來金融環境快速變遷，新興的投資商品不斷推陳出新，潛在的投資風險亦隨之增加，如何因應此潮流及深入了解產品內容，並有效控制投資風險，已成為刻不容緩之課題。 由於美國爆發次級房貸風暴，促使投資大眾重新認識全球信貸市場，在金融創新和全球化的趨勢已無法改變的情況下，經由證券化的架構安排「抵押債權證券」已然成為金融創新和全球化的浪潮下最具代表性的商品，明顯地改變了信用風險的分布狀況，從而深入改變了全球信貸市場的面貌。 然而抵押債權證券相關衍生性金融商品在我國仍屬於新興產品，但在歐、美、日等先進國家早已行之多年，他們目前現有商品之評價方法完備、架構完整、且承銷通路亦已相當完善，如此，亦不免捲入次貸危機風暴中，是故本文討論到金融資產證券化商品發展過程及現況、次貸風暴發生原因與探討金融資產證券化商品中之抵押債權證券之風險。 最後在結論與建議中，提出幾項建議，第一，發行機構應將金融資產的相關統計資料定時公佈，以便建立一套適用相關模型，才能正確計算出真實的商品價格及再投資風險；第二，金融機構目前除籌資成本考量外，應積極參與證券化過程之安排，學習know-how，透過參與過程，找出金融機構本身的利基所在；最後，建議我國應健全發展金融資產證券化商品之次級流通市場。

關鍵字

抵押債權證券

並列摘要

With the rapid change of financial environment and emerging investment commodities, the potential risk of these various commodities has been increasing. As a result, it is an urgent task to cope with such trend, understand the essence of investment commodities and manage investment risk effectively.
Sub-prime mortgage crisis in the US has urged investors to review global credit market once again. Under the trend of globalization and financial innovation, CDO has become the most prominent commodity that totally alters the distribution of credit risk and financial market.
CDO derivatives are still new commodities in Taiwan while developed countries such as Europe, the US and Japan have already has sound evaluation mechanism and sales channel. But they can’t avoid the turmoil of sub-prime mortgage crisis. As a result, this thesis focuses on the development t of securitized commodities, the root cause of sub- prime mortgage crisis and the investment risk of CDO.
Finally, three recommendations will be provided in the discussion and conclusion sessions.
1.Security issuers should publish related statistic data regularly in order to establish a model assessing commodity price and re-investment risk accurately.
2.Besides considering the cost of raising capital, financial agencies should participate the development of securitization and learn its know-how. Through such practice, financial agencies can find their own niches.
3.It is highly recommended that we should develop a healthy and sound secondary market for securitized commodities to circulate.

並列關鍵字

CDO Squared ； CDO ； Collateralized Debt Obligation

參考文獻

美國次級房貸對全球金融體系之影響，作者中華經濟研究院第二研究所輔佐研究員 李晶晶，著作日期：2008年3月15日

Paul N. Watterson, Jr.， “The Evolution of the CDO Squared”; The Journal of Structured Finance, Spring 2005 Volume 11 Number 1

“How will the crisis change markets? ”Global Asset Allocation and Alternative Investments J.P. Morgan Securities Ltd. April 14, 2008

”The alchemists of finance” The Economist May 19th 2007 / A special report on international banking

國際經濟情勢雙週報第1637期，作者李晶晶、施舜耘，Page 5，出版日期：中華民國96年08月30日