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    题名: 本國銀行業資本政策受巴塞爾協定III規範架構影響之研究
    The effect of Agreements Basel III Regulatory Framework on Taiwanese Banks Capital Policy
    作者: 楊雅玲
    Yang, Ya-Ling
    贡献者: 王文杰
    周振鋒
    Wang, Wen-Chieh
    Chou, Cheng-Fong
    楊雅玲
    Yang, Ya-Ling
    关键词: 巴塞爾資本協議III
    抗景氣循環緩衝資本
    系統性緩衝資本
    國內系統性重要銀行
    Basel Capital Accords III
    Countercyclical capital buffer
    Systemic capital surcharge,
    Domestic systemically important banks
    日期: 2022
    上传时间: 2022-08-01 18:16:58 (UTC+8)
    摘要: 2007年美國次貸風暴引發全球金融危機，其中金融業的資本不足被認為是造成此次金融危機的主因之一，進而催生了巴塞爾資本協議III的問世。新的巴塞爾資本協議III除了更嚴格地管控個別銀行所面對的信用風險、市場風險、作業風險與流動性風險外，還希望節制透過新的工具管制整體金融體系的系統性風險，具體的方法是由立法機構與金融監理機構的法令規範出發，從而影響銀行業與其他金融行業的業務經營，最終的目的是使經濟體系的運作更健康，本論文將專注於討論兩種巴塞爾資本協議III中，管控整體金融體系系統性風險的工具：抗景氣循環緩衝資本(Countercyclical Capital Buffer)與系統性緩衝資本(Systemic Capital Surcharge)。我國金管會與立法院已參酌巴塞爾資本協議III，將抗景氣循環緩衝資本與系統風險附加資本納入相關法令規範，金管會亦公布系統性重要銀行名單，但在執行細節上，仍有值得討論的地方；因此本論文重點將放在研究世界各國根據巴塞爾資本協議III的法律框架實施抗景氣循環緩衝資本與系統性緩衝資本兩項工具之具體法令規範與執行方法，進而提出適合於我國之相關法規修正建議。
    In 2007, the subprime mortgage crisis in the United States triggered the global financial crisis. The lack of capital in the financial industry was considered to be one of the main causes of the financial crisis, which gave birth to the advent of the Basel Capital Accord III. In addition to stricter control of credit risk, market risk, operational risk and liquidity risk faced by individual banks, the new Basel III Capital Accord also hopes to control the systemic risk of the overall financial system through new tools. The tools is based on the laws and regulations of the legislature and the financial supervisory agency, thereby affecting the business operations of the banking industry and other financial industries. The ultimate goal is to make the operation of the economic system healthier. This paper will focus on discussing the two Basel Capital Accords III tools to control the systemic risk of the overall financial system: Countercyclical Capital Buffer and Systemic Capital Surcharge. The Financial Supervisory Commission and the Legislative Yuan have considered the Basel Capital Accord III to incorporate Countercyclical Capital Buffer and Systemic Capital Surcharge into relevant laws and regulations. The Financial Supervisory Commission has also announced the list of domestic systemically important banks, but the implementation details are still worth discussing. Therefore, this paper will focus on studying the specific laws, regulations and implementation methods of the two tools of Countercyclical Capital Buffer and Systemic Capital Surcharge implemented by countries around the world in accordance with the legal framework of the Basel Capital Accord III, and then proposing the suggestions and amendments to relevant laws and regulations.
    參考文獻: 一、 中文文獻
    (一) 書籍
    1. 王文宇，金融法，第十版，2019年3月。
    2. 王志誠，銀行法，初版，2014年9月。
    3. 吳嘉生，金融法析論初版，2020年9月。
    4. 金融研訓院編輯委員會，巴塞爾資本協議三實務應用，2013年8月。
    5. 周伯翰，銀行法暨金融控股公司法，3版，2020年3月。
    6. 黃獻全，金融法講義，初版，2003年9月。
    7. 郭土木，金融管理法規(上)，初版，2006年7月。
    8. 楊承厚，銀行法釋義，初版，1997年2月。
    9. 謝劍平，現代投資銀行，初版，2014年11月
    10. Ross Cranston(中譯)，銀行法原理，第三版，2019年3月。
    (二) 期刊
    1. 林昆立、吳庭斌，新巴塞爾資本協議三大支柱與銀行風險的關係：全球實證，管理學報，第二十九卷第二期，頁121-153，2012年2月。
    2. 沈中華、賴柏志與張家華，總體經濟因素在 Basel II 資本適足率公式的內涵及意義，金融風險管理季刊，第一卷第二期，頁97-108 頁，2005年6月。
    3. 黃朝熙，金融資產證券化對銀行體系之影響暨對中央銀行政策之意涵，中央銀行季刊，第二十六卷第一期，頁5-46，2004年3月
    4. 黃朝熙、鍾經樊、謝依珊、周卉敏，本國銀行業資本結構分析－跨越循環期的槓桿比率與資本適足率比較，中央銀行季刊，第四十卷第三期，頁15-50，2018年9月。
    5. 黃俞寧、 陳南光 、李宗憲，我國銀行業系統重要性之辨識與評估，中央銀行季刊，第三十九卷第四期，頁15-46，2017年12月
    6. 郭照榮、李宜熹、陳勤明，Basel III對金融穩定及貨幣政策之影響，中央銀行季刊，第三十五卷第二期，頁11-60，2013年6月。
    7. 潘雅慧，新巴塞爾資本協議與我國因應之道，中央銀行季刊，第二十六卷第二期，頁31-47，2004年6月。
    8. 蔡雅琦，亞洲地區執行總體審慎監理介紹-香港、韓國、新加坡、泰國，存款保險資訊季刊，第三十二卷第二期，頁116-137，2019年6月。
    9. 鄭政秉、梁連文、陳仁屏，模擬 BASEL III 新資本監管對台灣銀行業成本效率之影響，管理與系統，第廿二卷第二期，頁175-203， 2015年4月。
    (三) 研究報告
    1. 中央銀行，全球金融危機之發展與展望，中華民國金融穩定報告，3期，2009年5月。
    2. 李佩真，Basel III資本與流動性架構研討會報告，公務人員出國報告，2013年10月29日。
    3. 林男錡，模擬 BASEL III 新資本監管對台灣銀行業成本效率之影響，公務人員出國報告，2017年3月3日。
    4. 周大慶，巴塞爾資本協定對金融體系的影響，台灣信用評等協會，2010年11月。
    5. 沈中華，BASEL III 新風險管理概念與對我國銀行業未來可能衝擊，臺灣金融研訓院103年自提研究計畫結案報告，2014年11月。
    6. 香港金融管理局，香港實施新巴塞爾資本協定簡報，立法會財經事務委員會簡報，2004年7月
    7. 郭恬吟、陳倩如，全球金融危機以來，國際間金融管制改革的發展、影響與展望，公務人員出國報告，2017年2月8日。
    二、 外文文獻
    (一) 書籍
    1. Christian Szylar (2013), Handbook of Market Risk, New Jersey:Wiley.
    2. Hal R. Varian (2009), Intermediate Microeconomics: A Modern Approach, New York :W.W. Norton & Company.
    (二) 期刊
    1. Borio, C., and M. Drehmann, and K. Tsatsaronis (2012), “Stress-testing Macro Stress Tests: Does It Live Up to Expectations?”, BIS Working Paper No 369, Bank for International Settlements.
    2. Brian J.M. Quinn (2009), “The Failure of Private Ordering and the Financial Crisis of 2008”, 5 N.Y.U. J. L. & BUS. 549.
    3. Brunnermeier, M.K. (2009), “Deciphering the liquidity and credit crunch 2007- 2008”, Journal of Economic Perspectives 23.
    4. Cohen BH and M Scatigna (2014), “Banks and Capital Requirements: Channels of Adjustment”, BIS Working Paper No 443, Bank for International Settlements.
    5. Drehmann, M., C. Borio, L. Gambacorta, G. Jiménez, and C. Trucharte ( 2010 ) , “Countercyclical Capital Buffers: Exploring Options”, BIS Working Papers No. 317, Bank for International Settlements.
    6. Emmanuel Mourlon-Druol ( 2015 ), “Trust is good, control is better: The 1974 Herstatt Bank Crisis and its Implications for International Regulatory Reform”, Business History Volume 57, 2015 - Issue 2.
    7. Partnoy, Frank (1996) “Financial derivatives and the costs of regulatory arbitrage”, The Journal of Corporation Law 22.
    8. Marc Levinson ( 2010 ) , “Faulty Basel: Why More Diplomacy Won`t Keep the Financial System Safe”, Foreign Affairs May/June 2010.
    9. Martin Hellwig ( 2008 ) , “Systemic Risk in the Financial Sector: An Analysis of the Subprime-Mortgage Financial Crisis”, Journal De Economist 157, No.2, 2009.
    10. Matthew Beville ( 2009 ) , “Financial Pollution: Systemic Risk and Market Stability”, 36 FLA. ST. U. L. REV. 245, 262 ; Schwarcz, supra note 14, at 206.
    11. Purnanandam, A. ( 2011 ) , “Originate-to-distribute model and the subprime mortgage crisis”, Review of Financial Studies 24.
    12. Sachs, Jeffrey D. ( 1987 ) , “International Policy Coordination: The Case of the Developing Country Debt Crisis”, N.B.E.R. Working paper N. 2287.
    13. O`Brien O, M O`Brien and S Velasco (2018), ‘Measuring and mitigating cyclical systemic risk in Ireland: the application of the countercyclical capital buffer”, Central Bank of Ireland Financial Stability Note No.4.
    (三) 政府/官方網站資料
    1. Basel Committee on Banking Supervision (1988), “International Convergence of Capital Measurement and Capital Standards”, Basel Committee on Banking Supervision, Bank for International Settlements.
    2. Basel Committee on Banking Supervision (1996), “Amendment to the capital accord to incorporate market risks”, Basel Committee on Banking Supervision, Bank for International Settlements.
    3. Basel Committee on Banking Supervision (1999), “A new capital adequacy framework”, Basel Committee on Banking Supervision, Bank for International Settlements.
    4. Basel Committee on Banking Supervision (2001), “The New Basel Capital Accord - consultative paper”, Basel Committee on Banking Supervision, Bank for International Settlements.
    5. Basel Committee on Banking Supervision (2003), “Basel II: The New Basel Capital Accord - third consultative paper”, Basel Committee on Banking Supervision, Bank for International Settlements.
    6. Basel Committee on Banking Supervision (2004), “International Convergence of Capital Measurement and Capital Standards: a Revised Framework”, Basel Committee on Banking Supervision, Bank for International Settlements.
    7. Basel Committee on Banking Supervision (2006), “International Convergence of Capital Measurement and Capital Standards : a Revised Framework - Comprehensive Version”, Basel Committee on Banking Supervision, Bank for International Settlements.
    8. Basel Committee on Banking Supervision (2009), “Enhancements to the Basel II Framework”, Basel Committee on Banking Supervision, Bank for International Settlements.
    9. Basel Committee on Banking Supervision (2009), “Revisions to the Basel II Market Risk Framework”, Basel Committee on Banking Supervision, Bank for International Settlements.
    10. Basel Committee on Banking Supervision (2009), “Guidelines for computing capital for incremental risk in the trading book”, Basel Committee on Banking Supervision, Bank for International Settlements.
    11. Basel Committee on Banking Supervision (2010), “Basel III: A global regulatory framework for more resilient banks and banking systems”, Basel Committee on Banking Supervision, Bank for International Settlements.
    12. Basel Committee on Banking Supervision (2010), “Basel III: International framework for liquidity risk measurement, standards and monitoring”, Basel Committee on Banking Supervision, Bank for International Settlements.
    13. Basel Committee on Banking Supervision (2010), “Guidance for national authorities operating the countercyclical capital buffer”, Basel Committee on Banking Supervision, Bank for International Settlements.
    14. Basel Committee on Banking Supervision (2011), “Basel III: A global regulatory framework for more resilient banks and banking systems - revised version”, Basel Committee on Banking Supervision, Bank for International Settlements.
    15. Basel Committee on Banking Supervision (2012), “A framework for dealing with domestic systemically important banks”, Basel Committee on Banking Supervision, Bank for International Settlements.
    16. Basel Committee on Banking Supervision (2012), “Global systemically important banks: updated assessment methodology and the higher loss absorbency requirement”, Basel Committee on Banking Supervision, Bank for International Settlements.
    17. Basel Committee on Banking Supervision (2013), “Global systemically important banks: updated assessment methodology and the higher loss absorbency requirement”, Basel Committee on Banking Supervision, Bank for International Settlements.
    18. Basel Committee on Banking Supervision (2016), “Minimum capital requirements for market risk”, Basel Committee on Banking Supervision, Bank for International Settlements.
    19. Federal Deposit Insurance Corporation ( 1997 ), “The LDC Debt Crisis”, Washington, DC: Federal Deposit Insurance Corporation.
    20. Financial Stability Forum ( 2008 ), “Report of the Financial Stability on Enhancing Market and Institutional Resilience”, Financial Stability Board.
    21. World Bank (2019), “Bank Capital Regulation”, Global Financial Development Report, pp 78–100.
    描述: 碩士
    國立政治大學
    法學院碩士在職專班
    108961048
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0108961048
    数据类型: thesis
    DOI: 10.6814/NCCU202200734
    显示于类别:[法學院碩士在職專班] 學位論文

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