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https://ah.lib.nccu.edu.tw/handle/140.119/111374| 題名: | 台灣金控的系統風險：模型建構與實證分析 Measuring systemic risk of the financial holding companies in Taiwan : models and empirical analysis |
作者: | 郭冠麟 | 貢獻者: | 徐士勛 郭冠麟 |
關鍵詞: | 金融控股公司 SRISK Delta CoVaR MES 系統風險 Finanical holding companies SRISK Delta CoVaR MES Systemic risk |
日期: | 2017 | 上傳時間: | 24-Jul-2017 | 摘要: | 由於 2007-2009 年金融風暴的發生 , 使得系統風險的研究受到相當大的關 注 , 而此論文也將探討台灣金融業的現況 。 我們根據Adrian et al.(2016) 、 Acharya et al.(2012) 以及 Brownlees et al.(2012)所提出的Delta CoVaR 、 MES 以及 SRISK 等系統風險衡量指標 , 估算台灣金控系統風險的大小 , 以及評 斷台灣系統風險重要金控的排序 。 透過時間序列及橫斷面的分析 , 我們更 將風險趨勢分群 , 或是從相關風險指標來作為監督機構或投資大眾參考的 早期警訊 。 最後 , 我們亦透過追蹤資料模型 , 找出系統風險重要的解釋變數 , 並分析變數的可能影響效果 。 After the Financail Crisis of 2007-2009, there have been rich research about systemic risk analysis, and this work focus on financial industry in Taiwan. According to Adrian et al.(2016)、 Acharya et al.(2012)and Brownlees et al.(2012), we consider four measures for systemic risk,they are MES、SRISK、Delta CoVaR-DCC and CoVaR-Quantile. We demonstrate how to compare four different measures , and display the ranking of the Systemically Im- protant Financial Institutions (SIFs) based on the resulting SRISK, for Taiwanese holding companies. Finally , we also dicuss the individual and macroeconomic effects on systemic risk by using panel data regression . |
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資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0104258025 | 資料類型: | thesis |
| Appears in Collections: | 學位論文 |
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| 802501.pdf | 1.78 MB | Adobe PDF2 | View/Open |
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