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| Title: | 資產證券化與銀行風險
Securitization and Bank Risk |
| Authors: | 曾秉倫
Tseng, Ping Lun |
| Contributors: | 江永裕
張興華
Chiang, Yeong Yuh
Chang, Hsing Hua
曾秉倫
Tseng, Ping Lun |
| Keywords: | 資產證券化
事前審核
房屋價格
利率政策
流動性風險
Securitization
Screening
House Price
Interest Rate Policy
Liquidity Risk |
| Date: | 2015 |
| Issue Date: | 2015-08-03 13:21:27 (UTC+8) |
| Abstract: | 次貸金融危機之前, 資產證券化因降低銀行融資成本, 提升銀行有限資本的運用效率, 分散資產的個別風險, 降低銀行的流動性風險等優勢, 受到銀行、投資人、與金融監理單位的歡迎。次貸金融危機之後, 實證研究指出資產證券化降低銀行事前審核與事後監督的誘因, 並且弱化銀行流動性風險管理的能力, 於是被歸類為引發次貸金融危機的根本原因之一。
本論文第 1 章介紹資產證券化的發展背景與現存文獻的探討。第 2 章建立一理論模型探討資產證券化如何影響金融機構事前審核的決策。證券化過程中「混合」 (pooling),「切割」(tranching), 與「自我持有」(retention) 的三個策略, 使銀行能夠分散資產個別風險與傳遞私人資訊, 並且證券化長期風險性資產募集資金; 銀行可將期中募集的資金用於額外投資機會而更具獲利性。如果銀行在期中募集資金產生的獲利性, 超越銀行寬鬆審核造成的期末損失時, 銀行反而採用寬鬆的事前審核標準。
第 3 章建立一理論模型, 考慮證券化所得資金揖注於房屋貸款市場, 探討資產證券化如何影響銀行事前篩選技術的發展。若銀行採取比例出售貸款 (loan sale) 的證券設計, 均衡房屋價格的提高會減少銀行清算房屋貸款的損失, 降低銀行發展事前篩選技術的誘因。若銀行採取保留權益層級 (equity tranche) 證券, 出售債權層級 (debt tranche) 證券, 銀行只持有整體資產組合的風險性部位, 增加銀行清算抵押房貸時的損失, 此效果提高銀行事前篩選的誘因, 同時隔絕房屋價格對銀行事前篩選誘因的影響。但若考慮資產證券化使銀行形成未來房屋價格上漲的預期, 則銀行事前篩選的誘因取決於銀行對未來房屋價格上漲幅度的預期。
第 4 章建構一理論模型, 探討短期融資市場與央行利率政策的互動, 如何影響銀行的資產組合與流動性風險管理。當短期融資市場尚未成熟發展時, 銀行以短期安全性資產抵抗流動性衝擊, 若央行降低利率政策, 短期安全性資產的報酬隨之下降, 銀行會減持短期安全性資產, 增持長期風險性資產, 銀行的流動性風險將會上升; 當短期融資市場高度發展時 (market-based), 銀行主要利用長期風險性資產轉化的短期流動性對抗流動性衝擊, 同時因為長期風險性資產的現值是用央行利率 (短期利率) 折現, 若央行降低利率政策, 長期風險性資產轉化短期流動性資金的效率將會提升, 銀行增持長期風險性資產, 但銀行的流動性風險反而下降。 |
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| Description: | 博士
國立政治大學
金融研究所
94352508 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0094352508 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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