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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/116017
    請使用永久網址來引用或連結此文件: http://nccur.lib.nccu.edu.tw/handle/140.119/116017


    題名: 從巴塞爾資本協定三之觀點探討銀行資產配置與結構調整
    A Study of Bank Asset Allocation and Structure Adjustment under Basel III
    作者: 施佳妤
    貢獻者: 陳威光
    林靖庭

    Chen, Wei Kuang
    Lin, Ching Ting

    施佳妤
    關鍵詞: 巴塞爾資本協定三
    流動性覆蓋比率
    淨穩定資金比率
    資產負債配置
    情境分析
    Basel III
    NSFR
    LCR
    Asset allocation
    Scenario analysis
    日期: 2017
    上傳時間: 2018-03-02 11:40:43 (UTC+8)
    摘要: 巴塞爾銀行監督委員會(Basel Committee on Banking Supervision, BCBS) 於2010年發布巴塞爾資本協定三。為強化銀行流動性風險管理,新增兩項流動性風險量化衡量指標:流動性覆蓋比率(Liquidity Coverage Ratio, LCR)以及淨穩定資金比率(Net Stable Funding Ratio, NSFR)。我國於2015年開始將流動性覆蓋比率納入監管要求,亦將於2018年開始導入淨穩定資金比率。然而在提高銀行風險控管及標準的同時,銀行需考量其股東權益報酬。新規範的實施使銀行需要進行調整以符合法規,過往鮮少有研究針對本國銀行探討其資產配置調整與結構調整。本研究除探討個案銀行如何在巴塞爾資本協定三框架下調整其資產負債配置與結構,更進一步探討其各項調整對銀行之獲利能力以及各項法定比率之影響,希望能幫助銀行在未來調整結構之前能更了解其決策所帶來之影響。
    本研究發現,在不提高資產負債表規模的情況下,可以透過銀行結構調整達到巴塞爾資本協定三於2019年之標準,同時提高銀行獲利能力;在適度提高資產負債表規模的情況之下,其獲利能力高於不提高資產負債表規模之情況。此外,本研究針對不同情境探討銀行應如何調整資產負債配置與銀行結構。風險趨避情境相較於風險偏好下,應在存放款方面,吸收更多長天期之存款、降低長期放款占比;資產配置方面則應增加政府公債占比。由於巴塞爾資本協定三採階段性實施,本研究針對個案銀行2015到2019 年之資產負債配置與銀行結構做研究,發現個案銀行隨著法規越趨嚴格,應提高公司債占比並同時降低權益類等相對風險較高之資產占比;另一方面為達到淨穩定資金比率要求,銀行應提高其長期存款占比。最後,本研究針對各項結構與資產負債配置調整做更深入的分析,探討其對於各項指標之敏感度,以實際的量化數字表示每項變動的影響,以利銀行在做決策時更了解其決策之利與弊。
    Basel Committee on Banking Supervision (BCBS) released Basel III in 2010. In order to ensure the maintenance and stability of funding and liquidity profiles of banks’ balance sheets, two liquidity standards, Liquidity Coverage Ratio(LCR) and Net Stable Funding Ratio(NSFR), were introduced in Basel III. To follow international norms, Taiwan government plans to implement LCR and NSFR in 2015 and 2018 respectively. However, there is a trade-off between return and risk. With the implement of new law, how to adjust banks’ asset allocation becomes a critical issue. In this study, we focus on business structure and ways to adjust A bank’s asset allocation.
    We found that A bank can meet government’s requirements and increase it’s return on equity without increasing balance sheet size by adjusting business structure; In the situation where balance sheet size is increased, A bank can meet the requirements with higher return on equity than where the balance sheet size isn’t increased. In three different scenarios: risk seeking, risk neutral and risk aversion, we found that A bank should increase more long-term deposits and decrease long-term loans in risk aversion scenario than in risk seeking scenario. In risk aversion scenario, A bank should also hold more government bonds than in risk seeking scenario. From 2015 to 2019, the requirements become stricter and stricter, A bank should hold more corporate bonds and less securities. At the same time, A bank should increase more long-term deposits to meet the NSFR requirement. The research also shows how business structure and asset allocation changes can affect A bank’s related required ratio and return on equity. Our findings can help A bank makes more precise decision by knowing actual quantitative influence before they implement the new policies.
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    Mergaerts, F., & Vander Vennet, R. (2016). Business models and bank performance: A long-term perspective. Journal of Financial Stability, 22, 57-75.
    Puts, J. (2012). Bank Balance Sheet Optimization. VU University Amsterdam.
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    Sørensen, C. K. (2016). Optimal Funding Structure for Banks.
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    官姿伶. (2015). 巴塞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. 政治大學金融系學位論文.
    金融管理監督委員會. 檢自: http://www.fsc.gov.tw/ch/index.jsp
    洪靜婷. (2012). Basel III 流動性風險架構對本國銀行監理之實證評估. 清華大學計量財務金融系學位論文, 1-69.
    張麗娟、鍾雅雯. (2010). 探討臺灣商業銀行國際化程度與多角化策略對經營績效之影響: 中華管理評論國際報.
    章成. (2013). 基於 BaselⅢ 流動性風險架構下之金融系統風險研究. 清華大學計量財務金融系學位論文, 1-51.
    郭照榮, 李宜熹, 陳勤明. (2013). Basel Ⅲ 對金融穩定及貨幣政策之影響.
    陳威光. (2010). 選擇權理論、實務與風險管理: 智勝.
    描述: 碩士
    國立政治大學
    金融學系
    104352013
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G1043520133
    資料類型: thesis
    顯示於類別:[金融學系] 學位論文

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