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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/115321


    Title: 利用極值理論衡量台灣銀行業之系統風險
    Authors: 張興華
    Contributors: 金融系
    Keywords: 銀行;金控公司;系統性風險;極值理論
    Banks;Systemic Risk;Extreme value theory
    Date: 2016
    Issue Date: 2017-12-22 17:15:49 (UTC+8)
    Abstract: 隨著金融機構規模擴大、業務種類越趨繁瑣，使得金融機構間可能因為各項業務，如同業拆(存)款、放款給予相同借款人、各類衍生性金融商品交易等，而產生直接或間接的連結，使得機構間的損益環環相扣，導致某一個別金融機構發生危機時也可能同時對其他機構產生衝擊，進而使得整個體系發生危機，這個情況在2007年由美國次級房貸問題引起的金融海嘯尤為明顯。這使得危機後各國的金融監理逐漸將其焦點由原先關注於個別機構本身之穩定性與安全性的個體審慎監理轉向為考量整體金融體系穩定性的總體審慎監理，而一國內之金融體系之系統性風險之衡量顯得格外重要。本研究將以台灣之十四家金融控股公司為研究對象，以股價報酬之大幅下跌定義危機之發生，將個別金控公司之系統重要性定義為該金控發生危機後，造成全體金控公司危機增加的程度，應用多變量極值理論進行機率的估算，衡量國內個別金控對於系統風險之貢獻程度。研究結果顯示，在樣本期間第一金控與兆豐金控有最高的系統風險分數，而相較於金控成立之前的銀行時期，整體金融產業之平均系統風險在金控成立後上升。
    The recent financial crisis had raised a new interest in the idea of measuring the systemic risk inherent in the financial system. The crisis had shown not only financial institutions had become more interconnected with each other, but their failures have significant spillover effects to the broad economies. Governments around the world have shifted regulation focuses from micro-prudential regulation to macro-prudential policies. Many measures of systemic risk have since been proposed in the literature. In this research we focus on the specific aspect of individual financial institutions’ contribution to the systemic risk. Following the methods proposed by Gravelle and Li (2013), we construct the systemic risk measures of the Taiwanese financial holding companies. Multivariate extreme value theory is used to estimate the default probabilities of each individual bank and the whole system. The empirical evidences show that First Financial Holding and Mega Holdings are the two FHCs consistently having high risk scores across several risk measures. Furthermore, the size of a FHC is not a good proxy for its systemic risk importance.
    Relation: 執行起迄：2016/08/01~2017/07/31
    105-2410-H-004-052
    Data Type: report
    Appears in Collections:[Department of Money and Banking] NSC Projects

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