Title

台灣金融機構之系統風險—CoVaR方法

Translated Titles

CoVaR Model for Systemic Risk in Taiwan’s Banking System

Authors

林莉娜

Key Words

金融海嘯 ; 分量迴歸 ; VaR ; CoVaR ; Financial Tsunami ; Quantile Regression ; VaR ; CoVaR

PublicationName

臺北大學統計學系學位論文

Volume or Term/Year and Month of Publication

2016年

Academic Degree Category

碩士

Advisor

李美杏

Content Language

繁體中文

Chinese Abstract

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。

English Abstract

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.

Topic Category 基礎與應用科學 > 統計
商學院 > 統計學系
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