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| Title: | 探討美國矽谷銀行倒閉事件 –兼論標準流動性覆蓋比率之有效性
The Collapse of Silicon Valley Bank and the Effectiveness of Standardized Liquidity Coverage Ratio in Banking Supervision |
| Authors: | 陳彥霖
Chen, Yen Ling |
| Contributors: | 呂桔誠
江永裕
陳彥霖
Chen, Yen Ling |
| Keywords: | 金融監理
銀行監理
金融機構風險管理
公司治理
美國矽谷銀行
巴塞爾資本協定
流動性覆蓋比率
淨穩定資金比率
Financial Supervision
Banking Supervision
Risk Management for Financial Institutions
Corporate Governance
Silicon Valley Bank
Basel Ⅲ
Liquidity Coverage Ratio
Net Stable Funding Ratio
LCR
NSFR |
| Date: | 2024 |
| Issue Date: | 2024-04-01 14:25:48 (UTC+8) |
| Abstract: | 本研究以美國矽谷銀行倒閉事件為例，輔以不同研究方法，說明銀行實施巴塞爾銀行監理委員會(簡稱BCBS)標準流動性覆蓋比率(簡稱LCR)的有效性及重要性。研究結果顯示，如同矽谷銀行資產配置的金融機構，若遵循標準LCR規範，將於連續升息環境中發出警訊。因該類法定風險規範須逐月計算及按季揭露，又須維持比最低法定標準更高的警示目標；甚至於低於警示比率時，銀行就能立即啟動逐週或逐日監控及調整。因該類指標具備國際規範的一致性定義，不容金融機構自我放寬解釋，並須於該類指標所顯現的風險警訊出現時有所因應，直至風險指標改善為止。因此在這類法定監理流程及內外部監控下，應有更高機會避免發生如同矽谷銀行的倒閉事件。
This research takes the failure of SVB as an example, and use different methods to illustrate the effective and important implementation of the full standardized Liquidity Coverage Ratio (LCR) by Basel Committee on Banking Supervision (BCBS). This research shows that a bank with the same assets allocation as SVB had abided by the full standardized LCR will get early warning signals in an environment with rising interest rates. Because these regulatory ratios must be calculated monthly and disclosed seasonally, and a bank have to maintain a certain level higher than the minimum standard as "an early warning standard" for internal risk management. When falling below "the early warning standard", a bank will start up their weekly or daily monitoring and adjustment to correct the ratio. Besides, the definitions of these regulatory ratios have been highly standardized with no room for banks to manipulate. Also, the banks must improve the assets and liabilities to comply the regulatory standards. Therefore, with the outer supervision, regulation and internal risk monitoring process, the collapse just like SVB is avoidable. |
| Reference: | 參考資料及文獻
英文參考資料及文獻
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中文參考資料及文獻
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3. 林士貴、李志宏、臧正運、林慶達、蔡煥文、許庭毓. (2022). 以流動性覆蓋比率監控流動性之研究. 存款保險資訊季刊第34卷第4期, 頁 30-35.
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9. 陳怡娟. (2021). 我國純網銀流動性風險管理機制. 財團法人台北市外匯市場發展基金會專題研究. |
| Description: | 碩士
國立政治大學
國際金融碩士學位學程
112ZB1002 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112ZB1002 |
| Data Type: | thesis |
| Appears in Collections: | [國際金融碩士學位學程] 學位論文
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