| dc.contributor.advisor | 陳威光<br>林靖庭 | zh_TW |
| dc.contributor.advisor | Chen, Wei Kuang<br>Lin, Ching Ting | en_US |
| dc.contributor.author (Authors) | 施佳妤 | zh_TW |
| dc.creator (作者) | 施佳妤 | zh_TW |
| dc.date (日期) | 2017 | en_US |
| dc.date.accessioned | 2-Mar-2018 11:40:43 (UTC+8) | - |
| dc.date.available | 2-Mar-2018 11:40:43 (UTC+8) | - |
| dc.date.issued (上傳時間) | 2-Mar-2018 11:40:43 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G1043520133 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/116017 | - |
| 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) | 104352013 | zh_TW |
| dc.description.abstract (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。 | zh_TW |
| dc.description.abstract (摘要) | 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. | en_US |
| dc.description.tableofcontents | 第一章 緒論 1第一節 研究動機 1第二節 研究目的 2第三節 研究架構 2第二章 文獻回顧 3第一節 巴塞爾資本協定三簡介及影響 3第二節 流動性風險指標介紹 6第三節 相關文獻 8第三章 資產負債配置最適化模型 11第一節 資產負債表組成與損益表 12第二節 目標函數 18第三節 巴塞爾資本協定三主要限制式 20第四節 風險情境分析與限制條件 29第五節 模型建立 30第四章 資產負債配置最適化-以A銀行為例 32第一節 本國銀行比較 32第二節 個案銀行簡介 35第三節 A銀行之風險管理 36第四節 模型建立假設 38第五節 資產規模與資產負債配置最適化 44第六節 不同情境之資產負債配置最適化 50第七節 歷年資產負債配置與最適化 54第八節 特定項目變動之影響 56第五章 結論與後續研究建議 61參考資料 63 | zh_TW |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G1043520133 | en_US |
| dc.subject (關鍵詞) | 巴塞爾資本協定三 | zh_TW |
| dc.subject (關鍵詞) | 流動性覆蓋比率 | zh_TW |
| dc.subject (關鍵詞) | 淨穩定資金比率 | zh_TW |
| dc.subject (關鍵詞) | 資產負債配置 | zh_TW |
| dc.subject (關鍵詞) | 情境分析 | zh_TW |
| dc.subject (關鍵詞) | Basel III | en_US |
| dc.subject (關鍵詞) | NSFR | en_US |
| dc.subject (關鍵詞) | LCR | en_US |
| dc.subject (關鍵詞) | Asset allocation | en_US |
| dc.subject (關鍵詞) | Scenario analysis | en_US |
| dc.title (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 | zh_TW |
| dc.title (題名) | A Study of Bank Asset Allocation and Structure Adjustment under Basel III | en_US |
| dc.type (資料類型) | thesis | en_US |
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