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題名 宏觀審慎監理之案例分析-以流動性與信用風險因子為例
The Case Study on Macroprudential Regulation Framework- An Example of Market Liquidity Risk and Credit Risk作者 黃柏翔
Huang, Po Hsiang貢獻者 廖四郎
Liao, Szu Lang
黃柏翔
Huang, Po Hsiang關鍵詞 宏觀審慎監理
市場流動性
非流動性選擇權
提早預警指標
新巴賽爾協議三
逆景氣循環資本緩衝選擇權
macroprudential regulation
market liquidity
Illiquidity option
EWIs
Basel III
countercyclical capital buffer option日期 2013 上傳時間 21-Jul-2014 15:38:09 (UTC+8) 摘要 金融海嘯提供我們一個深刻的教訓，因為危機前信貸過度增長伴隨著大量的系統風險，最後導致景氣反轉時銀行業龐大損失。而這些損失將動搖整個金融體系，並引發了一連串的惡性循環(Basel Committee on Banking Supervision , BCBS ,2010a, 2010b)；若依循過往個別審慎監理((Microprudential regulation)原則，將無法察覺背後隱藏的系統風險。因此目前趨勢是將以個別(Micro)與總體審慎監理原則(macro)並重，針對能夠影響整體市場金融穩定風險來源而詳加監管，同時透過規範與監理措施適度的降低系統風險，最終達到金融穩定的目的。IMF、BIS以及FSB(2009)針對G20制定的金融機構、市場與工具的指導文件(Guidance to Assess the Systemic Importance of Financial Institutions, Markets and Instruments)中，認為有效控制系統風險是現階段政策監理最重要的主軸之一。所謂系統風險是指能影響金融機構所持有的部位以及對於實體經濟存在嚴重負面影響的風險來源；此總體風險將存在負外部性而非個別審慎監理的風險因子。 因此本文由兩篇宏觀審慎監管框架文章所構成的研究，分別針對市場流動性風險和信用風險的因子。透過非流動性賣權與逆景氣資本緩衝（CCB）買權來分析和評價兩種新的監管框架。第一篇論文的主要概念是討論市場流動性風險因子，雖然當前銀行監管的重點是資金流動性風險，如新巴塞爾協議三 (Basel III)的流動性風險覆蓋率（LCR）和淨穩定資金比率（NSFR），但金融機構實際上也同時面臨資金和市場流動性之間的高度順週期效應，導致流動性螺旋，並威脅到金融穩定。因此，本文提出一個市場流動性，系統性風險和宏觀審慎監理分析框架來填補這一空白。 與Drehmann和Juselius（2013B）的實證研究結果比較，我們發現利用6個月歷史波動度建構的非流動性選擇權是最有效的提前預警指標（EWIS），且符合穩定政策結構和最小監管成本。此外在三個子樣本和嚴重危機時期亦能同樣保持預警的穩健性。因此如果金融機構能透過預警減少金融機構投資種類、行業、交易對手與大額暴險的集中度時，將可以由危機發生後被動式轉變成危機發生前主動式的風險管理，將符合總體審慎監理定義：能影響所有而非單一的金融機構，以及有效控制破壞總體市場產生的系統風險。 在第二篇文章中，我們專注於信用風險監管框架的避險，即Basel III的逆景氣資本緩衝(CCB)。這個新穎的監理視角將鼓勵銀行在危機前的信貸繁榮時期增加資本緩衝，而非在危機後接受援助或者增加昂貴的資本。據美國聯邦存款保險公司（FDIC）統計，2014年第1季全美的存款機構風險加權資產為10.27兆美金；如果最高的逆景氣資本緩衝被應用到這些銀行，將有2570億美金的資本不得不額外注資。因此本文設計了一個新的買權來符合CCB的監管框架，建立提前資本防禦措施來減輕系統性風險和整體銀行業不穩定。首先發現這款買權將能在順境時注入資本，即更低的潛在違約風險與信貸寬鬆時期，進而抵禦未來發生的金融危機。我們的建議也符合Basel III的目標，在危機前2至5年協助銀行取得資本保護。最重要的是，CCB買權可以透過提前取得資本形成一個“減震器”，舒緩隨後而來經濟衰退的壓力達到降低銀行資本順週期性目標；此外還提供了一個對於銀行過度冒險行為的抗衡力量，成為一個“自動穩定器”來達到宏觀審慎監理目標。
Financial tsunami offered a profound lesson as the pre-crisis excessive credit growth was accompanied by huge systemic risks that ultimately led to the reversal of economy and huge losses of the banking sector. Such losses will shake the entire financial system and trigger a series of vicious cycles (Basel Committee on Banking Supervision, BCBS, 2010a , 2010b ); the hidden systemic risk may not be observed if we follow the previous principles of micro prudential regulation. The guidance formulated by G20 to assess the systemic importance of financial institutions, markets and instruments (IMF, BIS, and FSB, 2009) analyzes that the main issue of prior micro prudential regulation is that every financial institution’s incentive is to manage its own return-risk tradeoff but not necessarily manage the stability for the financial system as a whole. Consequently, the macroprudential regulation focusing on shocks originating outside the financial system can control the negative externalities of systemic risk rather than micro prudential regulation. This dissertation consists of two essays on the macro prudential framework of market liquidity risk and credit risk factor. We introduce, analyze, and value two new regulation frameworks via an illiquidity put option and a CCB call option respectively. The main concept of first essay is to discuss the macro prudential framework of market liquidity risk factor. Although the current banking regulation focuses on systemic funding liquidity risk such as Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR) of Basel III, financial institutions would actually have highly procyclical effects between funding and market liquidity at the same time, leading to liquidity spirals and threatening to financial stability. We therefore propose a market liquidity, systemic risk and macroregulation analysis framework in Taiwan`s capital market to fill this gap. Comparison with the Drehmann and Juselius` empirical study (2013b), we find that illiquidity options by using 6-month historical volatility and forecasting short-term stock declines are effective early warning indicators (EWIs) having most stable policy structures and minimal regulation costs. Applying AUC macroregulation criteria, we show this illiquidity measure is also maintained fairly robustness in different intervals, e.g. during three sub-samples and serious crisis periods. If financial institutions can diversify the concentration of portfolios varieties, industries, and counterparty before crises by using EWIs, the passive risk taking can be converted into the active risk management. It is necessary to prepare the market liquidity and macroregulation framework in advance. In the second essay, we focus the hedging product for credit risk factors, i.e. countercyclical capital buffer (CCB). This purpose of countercyclical capital buffer standards is to encourage banks to increase capital buffers in credit good times that can be used in the future stress. According to Federal Deposit Insurance Corporation (FDIC), the risk-weighted assets of U.S. depository institutions were $10.27trillion dollars in 2014:Q1. If the maximum CCB is applied to these banks, an additional US$257 billion of equity capital will have to be raised. Hence, we design a new option to establish the capital defenses meeting CCB framework and then mitigating systemic risk and banking instability in advance. We show this product injects capital in good times i.e., lower credit risk and more credit expansion, to weather the future financial crisis. Our proposal also complies with the goal of Basel III to obtain capital in 2 to 5 years prior to crises. Most importantly, the CCB option can provide protection with additional capital to act as a "shock absorber" reducing a procyclicality problem in the subsequent downturn. Besides, this type of option also offers a countervailing force to excessive risk-taking behaviors to act as an "automatic stabilizer" for reaching macroprudential goals.參考文獻 Ayuso, J., Perez, D., Saurina, J., 2004. Are capital buffers pro-cyclical? Evidence from Spanish panel data. Journal of Financial Intermediation 13, 249–264. Bartram, SM., Brown, GW., Hund, JE., 2007.Estimating systemic risk in the international financial system. Journal of Financial Economics, 86(3), 835–869. 22. Barucci, Emilio., Del Viva, Luca., 2012. Countercyclical contingent capital. Journal of Banking and Finance, 36,1688-1709. Basel Committee on Banking Supervision, 2010a. Countercyclical Capital Buffer Proposal, Consultative Document, Bank for International Settlements. Basel Committee on Banking Supervision, 2010b. Guidance for National Authorities Operating the Countercyclical Capital Buffer, Consultative Document, Bank for International Settlements. Basel Committee on Banking Supervision, 2010c.Basel III: International Framework for Liquidity risk measurement, standards and monitoring, Bank for International Settlements. Bindseil, U., 2013.Central bank collateral, asset fire sales, regulation, and liquidity. European Central Bank Working Paper Series, No. 1610. Bohn, H., 1998. The behavior of U.S. public debt and deficits. Quarterly Journal of Economics 113:949–63. Borovkova, S., Permana, F.J., Weide, H.V.D., 2007. A closed form approach to the valuation and hedging of basket and spread options. The Journal of Derivatives, vol. 14, no. 4, pp. 8–24. Boyle, P., Kim, J. H. T., 2012, Designing a countercyclical insurance program for systemic risk, Journal of Risk and Insurance, 79(4): 963–993. 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Journal of Economics and Business Volume 64, Issue 1, January–February, Pages 37–62 Chamon, M. Mauro, P. 2006. Pricing Growth-Index Bonds. Journal of Banking and Finance 30 3349 – 3366. Cotis, J.P., Coppel, J., 2005. Business cycle dynamics in OECD countries: evidence, causes and policy implications. RBA Annual Conference. Volume, in: C. Kent and D. Norman (ed), “The Changing Nature of the Business Cycle”, Reserve Bank of Australia. De Spiegeleer, J.; Schoutens, W., 2012. Pricing Contingent Convertibles: A Derivatives Approach. Journal of Derivatives 20 (Winter), 27–36. Drehmann, M., , 2013a. Total credit as an early warning indicator for systemic banking crises. BIS Quarterly Review, 41. Drehmann, M., Borio, C., Gambacorta, L., Jimenez, G., Trucharte, C., 2010. Countercyclical Capital Buffers: Exploring Options. Bank for International Settlements, Working Paper No. 317, July. Drehmann, M., Borio, C., Tsatsaronis, K., 2011. Anchoring countercyclical capital buffers: the role of credit aggregates. International Journal of Central Banking, vol 7, no 4, pp 189–240. Drehmann, M., Juselius, M., 2013b. Evaluating early warning indicators of banking crises: Satisfying policy requirements. Bank for International Settlements, Working Papers, no 421, August. Escanciano, J., Olmo, J., , 2011. Robust Backtesting Test for Value-at-Risk. Journal of Financial Econometrics 9(1), 132-161. Escanciano, J., Olmo, J.,2011. Robust Backtesting Test for Value-at-Risk. Journal of Financial Econometrics 9(1), 132-161. Fincke, B., Greiner, A., 2012.How to assess debt sustainability? Some theory and empirical evidence for selected euro area countries. Applied Economics, 44(28):3717–3724. Francis, W.B., Osborne, M., 2012. Capital requirements and bank behavior in the UK: are there lessons for international capital standards? Journal of Banking and Finance 36, 803–816. Galati, G., Moessner, R., 2012. Macroprudential policy–a literature review. Journal of Economic Surveys Volume 27, Issue 5, pages 846–878. Glasserman, P., Nouri, B., 2012. Contingent Capital with a Capital-ratio Trigger. Management science 58, 1816–1833 Golts, M., Kritzman, M., 2010. Liquidity options. The Journal of Derivatives.Vol. 18, No. 1, pp. 80-89 Gravelle, T., Grieder, T., Lavoie, S., , 2013. Monitoring and Assessing Risks in Canada’s Shadow Banking Sector. Financial System Review, 55. Guidara, A., Lai, V. S., Soumaré I., Tchana Tchana, F., 2013, Banks’ capital buffer, risk and performance in the Canadian banking system: impact of business cycles and regulatory changes. Journal of Banking and Finance 37, 3373–3387. Hoshi, T., Kashyap, A., 2010, Will The U.S. Bank Recapitalization Succeed? Eight lessons from Japan. Journal of Financial Economics 97, 398–417. Hyun, J., Rhee, B., 2011. Bank capital regulation and credit supply. Journal of Banking and Finance 35, 323–330. International Monetary Fund, Bank for International Settlements, and Financial Stability Board., 2009. Guidance to Assess the Systemic Importance of Financial Institutions, Markets and Instruments: Initial Considerations. Jokipii, T., Milne, A., 2008. The cyclical behavior of European bank capital buffers. Journal of Banking and Finance 32, 1440–1451. Jokipii, T., Milne, A., 2011. Bank capital buffer and risk adjustment decisions. Journal of Financial Stability 7 (3), 165–178. Jørgensen, P.L., 2007. Traffic light options. Journal of Banking and Finance 31, 3698–3719. Kauko, K., 2012. Triggers for countercyclical capital buffers. Bank of Finland ISSN: 1796-9123. 27 Kelly, B. T., Lustig, HN., Nieuwerburgh SV., 2012. Too-systemic-to-fail:What option markets imply about sector-wide government guarantees. Working Paper, Chicago Booth School of Business. Koziol, C., Lawrenz, J., 2012. Contingent convertibles. Solving or seeding the next banking crisis? Journal of Banking and Finance 36, 90 – 104. Kruse, S., Meitner, M., Schröder, M., 2005. On the pricing of GDP linked financial products. Applied Financial Economics 15: 1125–1133. Leippold, M., Syz, J., 2007. Trend derivatives: Pricing, hedging, and application to executive stock options. The Journal of Futures Markets, Vol. 27, No. 2, 151–186. Longstaff, F. A., 1995. How much can marketability affect security values? Journal of Finance 50 (5), 1767-1774. Lown, C.S., Morgan, D., 2006. The credit cycle and the business cycle: new findings using the loan officer opinion survey. Journal of Money, Credit, and Banking, vol 38(6), pp 1575–97. Malliaris, A.G., Brock, W.A., 1982. Stochastic Methods in Economics and Finance. North Holland Publishing Company. Maroney, N., Naka, A., Wansi, T., 2004. Changing risk, return, and leverage: The 1997 Asian financial crisis. Journal of Financial and Quantitative Analysis 39, 143-166. Musiela, M., Rutkowski, M., 2005. 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Banks’ regulatory capital buffer and the business cycle:evidence for Germany. Journal of Financial Stability 7 (2), 98–110. Van Den End, JW., 2011. Liquidity stress-tester: A model for stress-testing banks’ liquidity risk. CESifo Economic Studies, Vol. 56, No. 1, pp. 38-69. Van Den End, JW., Kruidhof, M., 2013. Modelling the liquidity ratio as macroprudential instrument. Journal of Banking Regulation, 14, 91–106. Weinberg, J.A., 1995. Cycles in Lending Standards? Federal Reserve Bank of Richmond, Economic Review, Summer. Wilmott, P., 2006. Paul Wilmott on Quantitative Finance, 2nd Edition, Wiley. Wu, T.P., Chen, S.N., 2011. Valuation of CMS Spread Options with Nonzero Strike Rates in the LIBOR Market Model. The Journal of Derivatives, vol. 19, no. 1, pp. 41–55. Zhang, PG., 1998. Exotic Options: A Guide to Second Generation Options, World Scientific. 描述 博士
國立政治大學
金融研究所
94352512
102資料來源 http://thesis.lib.nccu.edu.tw/record/#G0094352512 資料類型 thesis dc.contributor.advisor 廖四郎 zh_TW dc.contributor.advisor Liao, Szu Lang en_US dc.contributor.author (Authors) 黃柏翔 zh_TW dc.contributor.author (Authors) Huang, Po Hsiang en_US dc.creator (作者) 黃柏翔 zh_TW dc.creator (作者) Huang, Po Hsiang en_US dc.date (日期) 2013 en_US dc.date.accessioned 21-Jul-2014 15:38:09 (UTC+8) - dc.date.available 21-Jul-2014 15:38:09 (UTC+8) - dc.date.issued (上傳時間) 21-Jul-2014 15:38:09 (UTC+8) - dc.identifier (Other Identifiers) G0094352512 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/67597 - dc.description (描述) 博士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 94352512 zh_TW dc.description (描述) 102 zh_TW dc.description.abstract (摘要) 金融海嘯提供我們一個深刻的教訓，因為危機前信貸過度增長伴隨著大量的系統風險，最後導致景氣反轉時銀行業龐大損失。而這些損失將動搖整個金融體系，並引發了一連串的惡性循環(Basel Committee on Banking Supervision , BCBS ,2010a, 2010b)；若依循過往個別審慎監理((Microprudential regulation)原則，將無法察覺背後隱藏的系統風險。因此目前趨勢是將以個別(Micro)與總體審慎監理原則(macro)並重，針對能夠影響整體市場金融穩定風險來源而詳加監管，同時透過規範與監理措施適度的降低系統風險，最終達到金融穩定的目的。IMF、BIS以及FSB(2009)針對G20制定的金融機構、市場與工具的指導文件(Guidance to Assess the Systemic Importance of Financial Institutions, Markets and Instruments)中，認為有效控制系統風險是現階段政策監理最重要的主軸之一。所謂系統風險是指能影響金融機構所持有的部位以及對於實體經濟存在嚴重負面影響的風險來源；此總體風險將存在負外部性而非個別審慎監理的風險因子。 因此本文由兩篇宏觀審慎監管框架文章所構成的研究，分別針對市場流動性風險和信用風險的因子。透過非流動性賣權與逆景氣資本緩衝（CCB）買權來分析和評價兩種新的監管框架。第一篇論文的主要概念是討論市場流動性風險因子，雖然當前銀行監管的重點是資金流動性風險，如新巴塞爾協議三 (Basel III)的流動性風險覆蓋率（LCR）和淨穩定資金比率（NSFR），但金融機構實際上也同時面臨資金和市場流動性之間的高度順週期效應，導致流動性螺旋，並威脅到金融穩定。因此，本文提出一個市場流動性，系統性風險和宏觀審慎監理分析框架來填補這一空白。 與Drehmann和Juselius（2013B）的實證研究結果比較，我們發現利用6個月歷史波動度建構的非流動性選擇權是最有效的提前預警指標（EWIS），且符合穩定政策結構和最小監管成本。此外在三個子樣本和嚴重危機時期亦能同樣保持預警的穩健性。因此如果金融機構能透過預警減少金融機構投資種類、行業、交易對手與大額暴險的集中度時，將可以由危機發生後被動式轉變成危機發生前主動式的風險管理，將符合總體審慎監理定義：能影響所有而非單一的金融機構，以及有效控制破壞總體市場產生的系統風險。 在第二篇文章中，我們專注於信用風險監管框架的避險，即Basel III的逆景氣資本緩衝(CCB)。這個新穎的監理視角將鼓勵銀行在危機前的信貸繁榮時期增加資本緩衝，而非在危機後接受援助或者增加昂貴的資本。據美國聯邦存款保險公司（FDIC）統計，2014年第1季全美的存款機構風險加權資產為10.27兆美金；如果最高的逆景氣資本緩衝被應用到這些銀行，將有2570億美金的資本不得不額外注資。因此本文設計了一個新的買權來符合CCB的監管框架，建立提前資本防禦措施來減輕系統性風險和整體銀行業不穩定。首先發現這款買權將能在順境時注入資本，即更低的潛在違約風險與信貸寬鬆時期，進而抵禦未來發生的金融危機。我們的建議也符合Basel III的目標，在危機前2至5年協助銀行取得資本保護。最重要的是，CCB買權可以透過提前取得資本形成一個“減震器”，舒緩隨後而來經濟衰退的壓力達到降低銀行資本順週期性目標；此外還提供了一個對於銀行過度冒險行為的抗衡力量，成為一個“自動穩定器”來達到宏觀審慎監理目標。 zh_TW dc.description.abstract (摘要) Financial tsunami offered a profound lesson as the pre-crisis excessive credit growth was accompanied by huge systemic risks that ultimately led to the reversal of economy and huge losses of the banking sector. Such losses will shake the entire financial system and trigger a series of vicious cycles (Basel Committee on Banking Supervision, BCBS, 2010a , 2010b ); the hidden systemic risk may not be observed if we follow the previous principles of micro prudential regulation. The guidance formulated by G20 to assess the systemic importance of financial institutions, markets and instruments (IMF, BIS, and FSB, 2009) analyzes that the main issue of prior micro prudential regulation is that every financial institution’s incentive is to manage its own return-risk tradeoff but not necessarily manage the stability for the financial system as a whole. Consequently, the macroprudential regulation focusing on shocks originating outside the financial system can control the negative externalities of systemic risk rather than micro prudential regulation. This dissertation consists of two essays on the macro prudential framework of market liquidity risk and credit risk factor. We introduce, analyze, and value two new regulation frameworks via an illiquidity put option and a CCB call option respectively. The main concept of first essay is to discuss the macro prudential framework of market liquidity risk factor. Although the current banking regulation focuses on systemic funding liquidity risk such as Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR) of Basel III, financial institutions would actually have highly procyclical effects between funding and market liquidity at the same time, leading to liquidity spirals and threatening to financial stability. We therefore propose a market liquidity, systemic risk and macroregulation analysis framework in Taiwan`s capital market to fill this gap. Comparison with the Drehmann and Juselius` empirical study (2013b), we find that illiquidity options by using 6-month historical volatility and forecasting short-term stock declines are effective early warning indicators (EWIs) having most stable policy structures and minimal regulation costs. Applying AUC macroregulation criteria, we show this illiquidity measure is also maintained fairly robustness in different intervals, e.g. during three sub-samples and serious crisis periods. If financial institutions can diversify the concentration of portfolios varieties, industries, and counterparty before crises by using EWIs, the passive risk taking can be converted into the active risk management. It is necessary to prepare the market liquidity and macroregulation framework in advance. In the second essay, we focus the hedging product for credit risk factors, i.e. countercyclical capital buffer (CCB). This purpose of countercyclical capital buffer standards is to encourage banks to increase capital buffers in credit good times that can be used in the future stress. According to Federal Deposit Insurance Corporation (FDIC), the risk-weighted assets of U.S. depository institutions were $10.27trillion dollars in 2014:Q1. If the maximum CCB is applied to these banks, an additional US$257 billion of equity capital will have to be raised. Hence, we design a new option to establish the capital defenses meeting CCB framework and then mitigating systemic risk and banking instability in advance. We show this product injects capital in good times i.e., lower credit risk and more credit expansion, to weather the future financial crisis. Our proposal also complies with the goal of Basel III to obtain capital in 2 to 5 years prior to crises. Most importantly, the CCB option can provide protection with additional capital to act as a "shock absorber" reducing a procyclicality problem in the subsequent downturn. Besides, this type of option also offers a countervailing force to excessive risk-taking behaviors to act as an "automatic stabilizer" for reaching macroprudential goals. en_US dc.description.tableofcontents 1. Introduction 1 2. Illiquidity Option 3 2.1 Introduction 3 2.2 Research Model Framework 5 2.3 Empirical Results and Analysis 9 2.4 Conclusion 17 2.5 Appendix 19 3. Countercyclical Capital Buffer Option 22 3.1 Introduction 22 3.2 Countercyclical Capital Buffer Framework 27 3.3 Pricing CCB option 31 3.4 Simulation Study 44 3.5. Conclusion 53 3.6 Appendix 55 References 62 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0094352512 en_US dc.subject (關鍵詞) 宏觀審慎監理 zh_TW dc.subject (關鍵詞) 市場流動性 zh_TW dc.subject (關鍵詞) 非流動性選擇權 zh_TW dc.subject (關鍵詞) 提早預警指標 zh_TW dc.subject (關鍵詞) 新巴賽爾協議三 zh_TW dc.subject (關鍵詞) 逆景氣循環資本緩衝選擇權 zh_TW dc.subject (關鍵詞) macroprudential regulation en_US dc.subject (關鍵詞) market liquidity en_US dc.subject (關鍵詞) Illiquidity option en_US dc.subject (關鍵詞) EWIs en_US dc.subject (關鍵詞) Basel III en_US dc.subject (關鍵詞) countercyclical capital buffer option en_US dc.title (題名) 宏觀審慎監理之案例分析-以流動性與信用風險因子為例 zh_TW dc.title (題名) The Case Study on Macroprudential Regulation Framework- An Example of Market Liquidity Risk and Credit Risk en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Ayuso, J., Perez, D., Saurina, J., 2004. Are capital buffers pro-cyclical? Evidence from Spanish panel data. Journal of Financial Intermediation 13, 249–264. 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