| dc.contributor.advisor | 呂桔誠<br>江永裕 | zh_TW |
| dc.contributor.author (Authors) | 陳彥霖 | zh_TW |
| dc.contributor.author (Authors) | Chen, Yen Ling | en_US |
| dc.creator (作者) | 陳彥霖 | zh_TW |
| dc.creator (作者) | Chen, Yen Ling | en_US |
| dc.date (日期) | 2024 | en_US |
| dc.date.accessioned | 1-Apr-2024 14:25:48 (UTC+8) | - |
| dc.date.available | 1-Apr-2024 14:25:48 (UTC+8) | - |
| dc.date.issued (上傳時間) | 1-Apr-2024 14:25:48 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0112ZB1002 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/150665 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際金融碩士學位學程 | zh_TW |
| dc.description (描述) | 112ZB1002 | zh_TW |
| dc.description.abstract (摘要) | 本研究以美國矽谷銀行倒閉事件為例，輔以不同研究方法，說明銀行實施巴塞爾銀行監理委員會(簡稱BCBS)標準流動性覆蓋比率(簡稱LCR)的有效性及重要性。研究結果顯示，如同矽谷銀行資產配置的金融機構，若遵循標準LCR規範，將於連續升息環境中發出警訊。因該類法定風險規範須逐月計算及按季揭露，又須維持比最低法定標準更高的警示目標；甚至於低於警示比率時，銀行就能立即啟動逐週或逐日監控及調整。因該類指標具備國際規範的一致性定義，不容金融機構自我放寬解釋，並須於該類指標所顯現的風險警訊出現時有所因應，直至風險指標改善為止。因此在這類法定監理流程及內外部監控下，應有更高機會避免發生如同矽谷銀行的倒閉事件。 | zh_TW |
| dc.description.abstract (摘要) | This research takes the failure of SVB as an example, and use different methods to illustrate the effective and important implementation of the full standardized Liquidity Coverage Ratio (LCR) by Basel Committee on Banking Supervision (BCBS). This research shows that a bank with the same assets allocation as SVB had abided by the full standardized LCR will get early warning signals in an environment with rising interest rates. Because these regulatory ratios must be calculated monthly and disclosed seasonally, and a bank have to maintain a certain level higher than the minimum standard as "an early warning standard" for internal risk management. When falling below "the early warning standard", a bank will start up their weekly or daily monitoring and adjustment to correct the ratio. Besides, the definitions of these regulatory ratios have been highly standardized with no room for banks to manipulate. Also, the banks must improve the assets and liabilities to comply the regulatory standards. Therefore, with the outer supervision, regulation and internal risk monitoring process, the collapse just like SVB is avoidable. | en_US |
| dc.description.tableofcontents | 第一章 緒論 1
第一節 研究背景―矽谷銀行事件 2
第二節 研究動機及目的 6
第二章 文獻探討 8
第一節 BCBS主要金融監理規範之演進 8
第二節 Basel III流動性風險管理指標 9
第三節 美國流動性風險規範之轉變 12
第四節 美國金融監理鬆綁之爭議 13
第五節 矽谷銀行外部評比、公司治理、風險管理及財務報表之爭議 16
第六節 矽谷銀行倒閉前之FED金融檢查 18
第七節 矽谷銀行倒閉後之FED官方審查 20
第八節 矽谷銀行倒閉事件之金融監理爭議 23
第三章 流動性風險指標之研究 26
第一節 研究假設形成背景 26
第二節 金融機構可否控制調整LCR 27
第三節 LCR是否於連續升息環境中發出警訊 28
第四節 研究限制 33
第四章 LCR研究之計算結果 35
第一節 研究相關資料整理及計算 35
第二節 金融機構可控制調整LCR 42
第三節 LCR於連續升息環境中發出警訊 43
第五章 研究結論及建議 47
第一節 實施標準LCR之有效性及重要性 47
第二節 與FED官方審查報告之呼應 48
第三節 與其他相關研究之對照 52
第四節 金融監理外部規範及金融機構內部管理之異同 55
第五節 金融監理規範及金融機構風險管理之精神 57
第六節 未來研究建議 61
參考資料及文獻 65
英文參考資料及文獻 65
中文參考資料及文獻 70
附錄 71
附錄一、我國金管會流動性覆蓋比率計算表格 71
附錄二、我國金管會淨穩定資金比率計算表格 77
附錄三、我國8間公股銀行流動性覆蓋比率再加壓結果 80 | zh_TW |
| dc.format.extent | 4092025 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0112ZB1002 | en_US |
| dc.subject (關鍵詞) | 金融監理 | zh_TW |
| dc.subject (關鍵詞) | 銀行監理 | zh_TW |
| dc.subject (關鍵詞) | 金融機構風險管理 | zh_TW |
| dc.subject (關鍵詞) | 公司治理 | zh_TW |
| dc.subject (關鍵詞) | 美國矽谷銀行 | zh_TW |
| dc.subject (關鍵詞) | 巴塞爾資本協定 | 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) | Financial Supervision | en_US |
| dc.subject (關鍵詞) | Banking Supervision | en_US |
| dc.subject (關鍵詞) | Risk Management for Financial Institutions | en_US |
| dc.subject (關鍵詞) | Corporate Governance | en_US |
| dc.subject (關鍵詞) | Silicon Valley Bank | en_US |
| dc.subject (關鍵詞) | Basel Ⅲ | en_US |
| dc.subject (關鍵詞) | Liquidity Coverage Ratio | en_US |
| dc.subject (關鍵詞) | Net Stable Funding Ratio | en_US |
| dc.subject (關鍵詞) | LCR | en_US |
| dc.subject (關鍵詞) | NSFR | en_US |
| dc.title (題名) | 探討美國矽谷銀行倒閉事件 –兼論標準流動性覆蓋比率之有效性 | zh_TW |
| dc.title (題名) | The Collapse of Silicon Valley Bank and the Effectiveness of Standardized Liquidity Coverage Ratio in Banking Supervision | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | 參考資料及文獻
英文參考資料及文獻
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中文參考資料及文獻
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