| dc.contributor.advisor | 江永裕<br>張興華 | zh_TW |
| dc.contributor.advisor | Chiang, Yeong-Yuh<br>Chang, Hsing-Hua | en_US |
| dc.contributor.author (Authors) | 蔡岳志 | zh_TW |
| dc.contributor.author (Authors) | Cai, Yue-Jhih | en_US |
| dc.creator (作者) | 蔡岳志 | zh_TW |
| dc.creator (作者) | Cai, Yue-Jhih | en_US |
| dc.date (日期) | 2016 | en_US |
| dc.date.accessioned | 8-Feb-2017 16:35:10 (UTC+8) | - |
| dc.date.available | 8-Feb-2017 16:35:10 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Feb-2017 16:35:10 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G1033520211 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/106399 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融學系 | zh_TW |
| dc.description (描述) | 103352021 | zh_TW |
| dc.description.abstract (摘要) | 2007-2008的金融大海嘯中，影子銀行及系統重要性金融機構(systemically important financial institutions, SIFIs)扮演重要角色。金融機構證券化移轉資產的個別風險，以資產池最低報酬作為擔保品，發行高品質債權證券。隨投資人財富愈多，對安全資產需求愈大，金融機構擴大槓桿及風險資產投資。SIFIs數量少但規模大，相對於其他小型金融機構有較好的投資效率，其投資、證券化及其他業務與經濟體系具有複雜而規模大的關係，具有太大、太複雜以致不能倒的性質。SIFIs透過證券化移轉個別風險，在景氣蕭條及經濟個體普遍忽略尾端風險下，金融體系具有脆弱性。在已經存在SIFIs的金融體系下，金融脆弱性隨SIFIs及其他小型金融機構投資效率差距愈大愈加增強。 | zh_TW |
| dc.description.abstract (摘要) | The shadow banking system and systemically important financial institutions (SIFIs) play important roles in recent financial crisis. Financial institutions (FIs) securitize risky assets and use the lowest payoffs of the securitized assets as collateral to issue riskless debts. As the demand for riskless assets increases, FIs initiate more risky assets and increase leverage. SIFIs are large and advantageous to invest in risky assets compared to small FIs. The complex connection between SIFIs and economy make them too big or complex to fail. SIFIs transfer idiosyncratic risk and undertake systemic risk via securitization. Financial system is fragile to recession when entities neglect tail risks. In the financial system in which SIFIs exist,the financial fragility is severer when the gap of the investment ability between SIFIs and other small FIs becomes larger. | en_US |
| dc.description.tableofcontents | 第一章 緒論 1 第一節 金融大海嘯背景介紹 1 第二節 研究動機及方法 7第二章 文獻回顧 9 第一節 Gennaioli et al. (2013)影子銀行模型 9 第二節 系統重要性金融機構在金融海嘯扮演的角色 10第三章 理性預期下的影子銀行模型 12 第一節 模型設定 12 第二節 均衡分析 23 第三節 理性預期下金融中介的期末實現利潤 34 第四節 理性預期下的結果及與GSV(2013)的比較 36第四章 忽略尾端風險下的影子銀行模型 38 第一節 忽略尾端風險均衡與理性預期均衡之比較 42 第二節 忽略尾端風險下金融中介的期末實現利潤 48 第三節 金融脆弱性總結及系統重要性金融機構的角色 53第五章 結論 55參考文獻 57附錄 58 | zh_TW |
| dc.format.extent | 1746052 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G1033520211 | en_US |
| dc.subject (關鍵詞) | 影子銀行 | zh_TW |
| dc.subject (關鍵詞) | 系統重要性金融機構 | zh_TW |
| dc.subject (關鍵詞) | 證券化 | zh_TW |
| dc.subject (關鍵詞) | 金融脆弱性 | zh_TW |
| dc.subject (關鍵詞) | Shadow banking system | en_US |
| dc.subject (關鍵詞) | Systemically important financial institutions | en_US |
| dc.subject (關鍵詞) | Securitization | en_US |
| dc.subject (關鍵詞) | Financial fragility | en_US |
| dc.title (題名) | 系統重要性金融機構及金融脆弱性 : GSV影子銀行模型的應用 | zh_TW |
| dc.title (題名) | Systemically Important Financial Institutions and Financial Fragility：an Application of GSV’s Model of Shadow Banking | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | [1] Allen, F., & Gale, D. (2000). Financial contagion. Journal of political economy, 108(1), 1–33.[2] Diamond, D. W., & Dybvig, P. H. (1983). Bank runs, deposit insurance, and liquidity. The journal of political economy, 401–419.[3] Gennaioli, N., Shleifer, A., & Vishny, R. (2012). Neglected risks, financial innovation, and financial fragility. Journal of Financial Economics, 104(3), 452–468.[4] Gennaioli, N., Shleifer, A., & Vishny, R. W. (2013). A model of shadow banking. The Journal of Finance, 68(4), 1331–1363.[5] Gorton, G., & Metrick, A. (2012). Securitized banking and the run on repo. Journal of Financial economics, 104(3), 425–451.[6] Luttrell, D., Rosenblum, H., Thies, J., & others. (2012). Understanding the risks inherent in shadow banking: A primer and practical lessons learned. Staff Papers, (Nov).[7] Minsky, H. P. (1992). The financial instability hypothesis. The Jerome Levy Economics Institute Working Paper, (74).[8] Wilmarth Jr, A. E. (2010). Dodd-Frank Act: A Flawed and Inadequate Response to the Too-Big-to-Fail Problem. Or. L. Rev., 89, 951. | zh_TW |
