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| Title: | 巴塞爾資本協定與流動性風險之研究
The Study of Basel Capital Accord and Liquidity Risk |
| Authors: | 劉康旭
Liu, Kang-Hsu |
| Contributors: | 黃仁德
蕭明福
Hwang, Jen-Te
Shaw, Ming-Fu
劉康旭
Liu, Kang-Hsu |
| Keywords: | 流動性風險
巴塞爾資本協定
資本適足率
流動性覆蓋比率
淨穩定資金比率
Liquidity Risk
Basel Capital Accord
Capital Adequacy Ratio
Liquidity Coverage Ratio
Net Stable Funding Ratio |
| Date: | 2024 |
| Issue Date: | 2024-09-04 14:39:59 (UTC+8) |
| Abstract: | 次貸金融危機發生之後，流動性風險受到更大的重視，巴塞爾銀行監理委員會推出Basel III，強化流動性風險監理，提出流動性覆蓋比率（LCR）和淨穩定資金比率（NSFR），讓金融機構有統一的流動性衡量指標，並且也引入槓桿比率限制，彌補僅有資本適足率這個單一指標的不足。本文對流動性風險這個議題進行深入的探討，內容包括第一版至第四版巴塞爾資本協定的演變；金融市場與流動性風險的關係，次貸金融危機與2023年因流動性風險引發的銀行倒閉事件，以及各國面對流動性危機的對策；流動性風險的衡量與監理，各國的流動性監理措施；及銀行的流動性風險管理。
本文的研究得到以下結論：次貸金融危機爆發後，流動性風險更加被金融界重視；流動性風險隨著科技進步顯得更為重要；流動性風險的規範必須持續改進；流動性風險監理還存在許多挑戰；及銀行必須遵守流動性風險管理的要素及流程。儘管巴塞爾資本協定已多次改進，但金融市場的不斷創新對金融監理構成很大的挑戰。我國監理機關應參照各國經驗，持續改進流動性風險的監理標準，以避免金融機構因流動性風險引發金融危機。
After the Subprime mortgage crisis, liquidity risk received greater attention. The Basel Committee on Banking Supervision issued Basel III, which strengthened the supervision of liquidity risk by proposing the Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR). These provided financial institutions with unified liquidity measurement indicators and also introduced leverage ratio limits to address the inadequacies of relying solely on the capital adequacy ratio. This paper conducts an in-depth study on liquidity risk, covering the evolution of the Basel Cap-ital Accord from the first to the fourth edition; the relationship between the financial market and liquidity risk, the Subprime mortgage crisis, the 2023 bank failures caused by liquidity risk, and the responses of various countries to liquidity crises; the measurement and supervision of liquidity risk, and the liquidity supervision measures of various countries; and the management of liquidity risk by banks.
The study reached the following conclusions: After the Subprime mortgage cri-sis, liquidity risk has been given more attention by the financial community；liquidity risk has become more important with the progress of financial technology；the reg-ulation of liquidity risk must continue to improve；there are still many challenges in liquidity risk supervision；banks must adhere to the elements and processes of li-quidity risk management. Although the Basel Capital Accord has been revised many times, the continuous innovation of financial products still poses significant chal-lenges to regulatory authorities. Our regulatory authorities should refer to the expe-riences of various countries and continuously improve the supervision standards of liquidity risk to avoid the happening of financial crises. |
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| Description: | 碩士
國立政治大學
經濟學系
111258038 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111258038 |
| Data Type: | thesis |
| Appears in Collections: | [經濟學系] 學位論文
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| 803801.pdf | | 4028Kb | Adobe PDF | 4 | View/Open |
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