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| 題名: | 探討資產負債表配置對流動性覆蓋比率之影響：以T銀行為例
A Study on the Impact of Balance Sheet Allocation on the Liquidity Coverage Ratio: A Case Study of T Bank |
| 作者: | 王怡評
Wang, Yi-Ping |
| 貢獻者: | 陳明進
王怡評
Wang, Yi-Ping |
| 關鍵詞: | 流動性覆蓋比率
高品質流動性資產
資產負債管理
流動性風險
預警指標
銀行監理
Liquidity Coverage Ratio
Asset-Liability Management
Liquidity risk
Early warning indicators
Banking supervision |
| 日期: | 2025 |
| 上傳時間: | 2025-06-02 14:45:28 (UTC+8) |
| 摘要: | 本研究以流動性覆蓋比率(Liquidity Coverage Ratio, LCR)為核心，探討銀行資產負債管理結構對流動性風險之影響，並提出具實務意涵之預警指標與監理建議。研究選取六家國內具高度可比性之銀行，蒐集其111年3月至113年6月間的財務資料，建立七項關鍵資產負債管理指標，並進行跨期實證分析。結果顯示，這些指標與LCR變動具高度關聯性，並驗證當負面因子大於正向支撐時，LCR將面臨明顯下滑風險。進一步以T銀行為案例，剖析其於112年至113年間LCR變動情形，發現其透過制度化的預警機制、日常監控與跨部門協作，有效提升流動性風險管理成效。本研究同時建議未來可整合其他指標(如NSFR)、導入機器學習進行LCR預測，以及引入宏觀經濟變數進行綜合分析。研究成果期能為國內銀行業建構前瞻性流動性風險管理體系提供實務指引與學術參考。
This study focuses on the Liquidity Coverage Ratio (LCR) to examine the impact of bank asset-liability management structures on liquidity risk, while proposing practical early warning indicators and regulatory recommendations. By selecting six domestic banks with high comparability, the research collects financial data from March 2022 to June 2024 and establishes seven key asset-liability management indicators for cross-period empirical analysis. The results demonstrate a strong correlation between these indicators and LCR fluctuations, validating the hypothesis that when negative factors outweigh positive supports, the LCR is at significant risk of decline. Furthermore, a case study on Bank T during the period from 2023 to 2024 reveals that institutionalized early warning systems, daily monitoring, and interdepartmental coordination have effectively enhanced its liquidity risk management performance. This study also recommends integrating additional indicators (e.g., NSFR), applying machine learning for LCR forecasting, and incorporating macroeconomic variables for comprehensive analysis. The research results aim to offer both practical guidance and academic reference for the development of a forward-looking liquidity risk management framework within Taiwan’s banking industry. |
| 參考文獻: | 一、中文部分
金管會(2014a)，銀行流動性覆蓋比率實施標準，金融監督管理委員會銀行局。
金管會(2014b)，流動性覆蓋比率之計算風法說明及表格，金融監督管理委員會銀行局
金管會(2016a)，銀行流動性覆蓋比率實施標準，金融監督管理委員會銀行局。
金管會(2016b)，淨穩定資金比率之計算風法說明及表格，金融監督管理委員會銀行局。
金管會(2024)，金管銀法字第1120153869號函，中華民國「銀行流動性風險管理自律規範」。
洪菁吟(2017)，《流動性風險管理》流動性風險管理，中央銀行，公務出國報告。
官姿伶(2016)，巴賽爾資本協定三之流動性風險規範指標對銀行資產負債表結構影響之分析-以臺灣銀行業為例，國立政治大學金融研究所碩士論文。
劉康旭(2024)，巴賽爾資本協定與流動性風險之研究，國立政治大學經濟研究所碩士論文。
陳彥霖(2024)，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，國立政治大學國際金融碩士學位學程碩士論文。
國際會計準則理事會(2015)，國際財務報導準則第7號(IFRS 7)，金融工具：揭露，國際財務報導準則委員會基金會。
二、英文部分
Basel Committee on Banking Supervision (2008). Principles for Sound Liquidity Risk Management and Supervision. Retrieved from https://www.bis.org/publ/bcbs144.pdf
Basel Committee on Banking Supervision (2009). Principles for Sound stress testing practices and supervisions. Retrieved from https://www.bis.org/publ/bcbs189.pdf
Basel Committee on Banking Supervision (2010b). Basel III：International framework for liquidity risk measurement, standards and monitoring. Retrieved from https://www.bis.org/publ/bcbs188.pdf
Basel Committee on Banking Supervision (2013). Basel III： The Liquidity Coverage Ratio and Liquidity risk monitoring tools. Retrieved from https://www.bis.org/publ/bcbs238.pdf
Bologna, Pierluigi (2015). Structural Funding and Bank Failures. Journal of Financial Services Research, 47(1), 81-113.
Brunnermeier, Markus K. and Lasse Heje Pedersen (2009). Market Liquidity and Funding Liquidity. The Review of Financial Studies. Vol.22 (6). p.2201-2238
Drehmann, Mathias and Kleopatra Nikolaou (2009). Funding Liquidity Risk Definition and Measurement. ECB Working Paper Series. Retrieved from
https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1024.pdf
Federal Deposit Insurance Corporation (2024). RMS Manual of Examination Policies Section. 6.1 Liquidity and Funds Management. Retrieved from
https://www.fdic.gov/risk-management-manual-examination-policies
Esparcia, Carlos, Escribano, Ana, Jareño, Francisco (2023). Did cryptomarket chaos unleash Silvergate's bankruptcy? investigating the high-frequency volatility and connectedness behind the collapse. Journal of international financial markets, institutions & money, 2023-12, Vol.89, p.101851, Article 101851.
Elif Erer, Deniz Erer (2024), The domino effect of Silicon Valley Bank’s bankruptcy and the role of FED’s monetary policy. Borsa Istanbul Review, 2024-05, Vol.24 (3), p.573-591.
Hicks, J. (1946). Value and Capital: An Inquiry Into Some Fundamental Principles of Economic Theory. Oxford University Press.
Hellwig, Martin F. (2009). Systemic Risk in the Financial Sector: An Analysis of the Subprime-Mortgage Financial Crisis. De Economist (Netherlands), 2009-06, Vol.157 (2), p.129-207
Nikolaou, Kleopatra (2009). Liquidity (Risk) Concepts Definitions and Interactions. ECB Working Paper Series. Retrieved from https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1008.pdf
Pierluigi, Bologna (2018). Banks’ Maturity Transformation: Risk, Reward, and Policy. IMF Working Paper Series. Retrieved from
https://www.imf.org/-/media/Files/Publications/WP/2018/wp1845.ashx
Seyed Mehdian, Stefan Cristian Gherghina, Ovidiu Stoica (2004). Intraday financial markets’ response to U.S. bank failures. Finance research letters, 2024-02, Vol.60, p.104862, Article 104862.
Vasquez, F., and P. Federico (2012). Bank Funding Structures and Risk: Evidence from the Global Financial Crisis. IMF Working Paper. Retrieved from
https://www.imf.org/external/pubs/ft/wp/2012/wp1229.PDF |
| 描述: | 碩士
國立政治大學
國際金融碩士學位學程
112ZB1045 |
| 資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0112ZB1045 |
| 資料類型: | thesis |
| 顯示於類別: | [國際金融碩士學位學程] 學位論文
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