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    題名: 次順位債券對銀行資本管理影響之研究
    The effects of subordinated debt on bank capital management
    作者: 洪再發
    貢獻者: 黃仁德
    洪再發
    關鍵詞: 次順位債券
    資本適足率
    信用價差
    風險溢酬
    市場制約功能
    日期: 2009
    上傳時間: 2016-05-09 15:44:00 (UTC+8)
    摘要: 隨著金融財務工程演進，透過精密電腦運算，衍生性金融商品不斷推陳出新，提供銀行及投資人避險及投資等多元管道。但是，水能載舟亦能覆舟，次貸風暴的發生，主要原因正是銀行利用衍生性金融商品過度從事槓桿及投機交易，其面臨風險已非區區資本適足率8%所能承受，也因此造成全球銀行的倒閉風暴。
    本研究主要藉由了解次順位債券的特色及功能，次順位債券的訂價與評價，以及透過台灣、中國大陸、及美國等三個國家發行次順位債券情形，和各國主管機關與巴塞爾資本協定對次順位債券監理與規範，分析探討銀行發行次順位債券的目的、影響次順位債券發行成本的因素、投資人對於次順位債券的投資行為、以及次順位債券對於銀行資本管理的影響。
    研究顯示，銀行的財務結構、信用評等、及資本適足率與發行次順位債券的風險溢酬，呈現顯著的反向關係；逾期放款比率及信用價差與發行次順位債券的風險溢酬，呈現顯著的正向關係。銀行風險承擔能力的良窳決定次順位債券的發行成本，次順位債券風險溢酬的高低，也成為投資人判斷投資標的資訊來源之一。銀行可藉由發行次順位債券提高資本適足率，作為吸引損失準備；銀行信用評等越高、財務結構越健全，發行次順位債券的機率也越高。投資人可藉由銀行信用價差及次順位債券發行利率做為投資判斷的資訊，進而發揮間接的市場制約功能，輔助主管機關的金融監理。
    Several recent studies have recommended greater reliance on subordinated debt (SND) as a tool to discipline bank risk taking. Some of these proposals recommend using sub-debt yield spreads as triggers for supervisory discipline under prompt corrective action (PCA).This yield spread is considered to be a good measure of bank risk, as the holders of SND absorb the first loss in the case of a bank failure.
    Currently such action is prompted by capital adequacy ratio measures. Evidence from previous research suggests that yield information may be a better predictor of bank problems. This paper empirically analyzes potential costs and benefits of using SND signals to effect bank capital management and consideration should be given to using spreads to complement supervisory discipline.
    The goal of this study is to provide a comprehensive review and evaluation of purpose and potential of SND proposals and to present a regulatory reform proposal that incorporates what we believe are the most desirable characteristics of SND.
    參考文獻: 王宏瑞 (2002)，〈美債券市場業務簡介 ── 兼論次順位債券市場之監督功能〉，《證管雜誌》，6，20:11，頁20-40。
    朱素徵、黃俊榮 (2007)，〈臺灣金融機構發債概況：資本需求驅動次順位金融債發行〉，《中華信用評等分析評論》，頁1-11。
    汪志勇、劉維琪 (2003)，〈次順位債券與間接金融監督〉，《風險管理學報》，5:3，頁411-427。
    吳軍梅 (2005)，〈對我國商業銀行發行次級債的思考〉，《福建金融管理干部學院學報》，6，頁16-20。
    林大侯、陳欽奇 (2002)，〈逾期放款的預防之道 ── 早期改正措施及強制性次順位債券政策的功能〉，《臺灣綜合展望》，20:11，頁51-56。
    陳德勝、姚偉峰、馮宗實 (2005)，〈商業銀行的監管資本適足率和經濟資本收益率管理研究〉，《北京工業大學學報》，5:1，頁15-20。
    曾令雯 (2004)，〈銀行風險承擔對市場紀律之影響〉，中興大學企業管理學系碩士論文。
    曾令寧、黃仁德 (2003)，《現代銀行監理與風險管理》。台北：臺灣金融研訓院。
    曾令寧、黃仁德 (2004)，《風險基準資本指南 ── 新巴塞爾資本協定》。台北：臺灣金融研訓院。
    黃事立 (2005)，〈銀行信用評等對次順位債券發行利率的影響研究〉，朝陽科技大學保險金融學系碩士論文。
    賴彥仲 (2004)，〈實施資本適足性規定對本國銀行業總體資金市場之影響〉，雲林
    科技大學財務金融學系碩士論文。
    鍾舜華 (2002)，〈發行金融(次順位)債券之討論〉，《台肥月刊》，43:3，頁43-92。
    Andrea, S. (2003), “ Testing for market discipline in European Banking Industry: Evidence from Subordinated Debt Issues, ” Journal of Money, Credit, and Banking, 35:3, pp. 1-43.
    Basel Committee on Banking Supervision (2003), “ Markets for Bank Subordinated Debt Equity in Basel Committee Member Countries,” working paper 12, The Bank for International Settlements.
    Board of Governors of the Federal Reserve System (1999),“ Using Subordinated Debt as Instrument of Market Discipline, ” Staff Study, 172, pp. 1-39.
    Blum, J. M. (2002),“ Subordinated Debt, Market Discipline, and Banks’Risk Taking,” Journal of Banking and Finance, 26, pp. 1427-1441.
    Cooper, K. and D. R. Fraser (1988), “The Rising Cost of Bank Failure: A Proposed Solution,” Journal of Retail Banking, 10, pp. 5-12.
    Dewatripont, M. and K. Tirole, (1994). The Prudential Regulation of Banks.
    Cambridge: MIT press.
    Evanoff, D. D. (1993), “Preferred Sources of Market Discipline, ” Yale Journal on Regulation, 10, pp. 347-368.
    Evanoff, D. D. and L. D. Wall (2000), “Subordinated Debt as Bank Capital：A Proposal for Regulatory Reform,” Economic Perspectives, Federal Reserve Bank of Chicago, 2, pp. 40-53.
    Evanoff, D. D. and L. D. Wall (2000), “Subordinated Debt and Bank Capital
    Reform,” working paper, Federal Reserve Bank of Atlanta.
    Evanoff, D. D. and L. D. Wall (2001), “Subordinated Debt Yield Spread as Bank Risk Measures,” working paper, Federal Reserve Bank of Atlanta.
    Flannery, J. M. and S. M. Sorescu (1996), “Evidence of Bank Market Discipline in Subordinated Debenture Yields: 1983-1991,” Journal of Finance, 51, pp. 1347-1377.

    Hull J. C. (1993), Options, Futures, and Other Derivatives. Upper Saddle River, New Jersey: Pearson Prentice Hall.
    Kahn, N. R. and R. Lochoff (1990), “Convexity and Exceptional Return,” Journal of Portfolio Management, Winter, pp. 43-47.
    Keehn, S. (1989), “Banking on the Balance: Powers and the Safety Net,” working paper, Federal Reserve Bank of Chicago.
    Macaulay, F. (1938), The Movements of Interest Rates, Bond Yields and Stock Prices
    in the United States since 1856. New York: National Bureau of Economic Research.
    Morgan, D. P. and K. J. Stiroh (1999), “Bond Market Discipline of Banks: Is the Market Tough Enough？”, Staff Reports, No. 95.
    U. S. Shadow Financial Regulatory Committee (2000), Reforming Bank Capital Regulation. Washington, D. C.: AEI Press.
    Wall, L. D. (1989), “A Plan for Reducing Future Deposit Insurance Losses: Puttable Subordinated Debt,” Economic Review, Federal Reserve Bank of Atlanta, July/August, pp. 2-17.
    描述: 碩士
    國立政治大學
    行政管理碩士學程
    95921042
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0095921042
    資料類型: thesis
    顯示於類別:[行政管理碩士學程(MEPA)] 學位論文

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