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Showing 61 to 70 of 71 (0.011 seconds)| 61 |
治水経済便益の評価手法の高度化に関する研究 - 流動性被害と精神的被害に着目して - / チスイ ケイザイ ベンエキ ノ ヒョウカ シュホウ ノ コウドカ ニ カンスル ケンキュウ : リュウドウセイ ヒガイ ト セイシンテキ ヒガイ ニ チャクモクシテ湧川, 勝己 26 November 2007 (has links)
学位授与大学：京都大学 ; 取得学位: 博士(工学) ; 学位授与年月日: 2007-11-26 ; 学位の種類: 新制・論文博士 ; 学位記番号: 論工博第3972号 ; 請求記号: 新制/工/1423 ; 整理番号: 25648 / Kyoto University (京都大学) / 0048 / 新制・論文博士 / 博士(工学) / 乙第12136号 / 論工博第3972号 / 新制||工||1423(附属図書館) / 25648 / UT51-2007-S506 / (主査)教授 小林 潔司, 教授 細田 尚, 教授 多々納 裕一 / 学位規則第4条第2項該当
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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 / A Study of Bank Asset Allocation and Structure Adjustment under Basel III施佳妤 Unknown Date (has links)
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。 / 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 in line with international norm, 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.
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定容積せん断試験法による粉体力学特性評価に関する研究島田, 泰拓 23 March 2022 (has links)
京都大学 / 新制・課程博士 / 博士(工学) / 甲第23928号 / 工博第5015号 / 新制||工||1783(附属図書館) / 京都大学大学院工学研究科化学工学専攻 / (主査)教授 松坂 修二, 教授 宮原 稔, 教授 山本 量一 / 学位規則第4条第1項該当 / Doctor of Philosophy (Engineering) / Kyoto University / DFAM
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期貨最適避險策略之研究－－國際金融性期貨商品實證分析鄭適薰, ZHENG,SHI-XUN Unknown Date (has links)
一、研究動機與目的
由於國際經濟體系日趨複雜，持有資產的不確定性因而增加，投資者為了避免因為資
產報酬過大的波動而造成損失，紛紛尋求迴避風險的工具。而期貨由於具備了高度流
動性，融通功能的保證金制度及公正的中介機構等優點，使其產品種類及交易量日益
擴大，提供了金融資產持有者良好的避險管道。
本研究探討金融性期貨商品在各種避險期間長度及不同到期日的期貨契約，降低風險
的程度是否有差異，並就各避險策略理論，比較其績效。
二、研究期間與樣本。
本研究由華爾街日報及偷敦金融時報抄錄由1988年 1月到1990年1 月共108 週，每週
三金融性商品現貨及期貨收盤價格。包括黃金、英鎊、日圓、西德馬克、瑞士法郎及
S & P 500 NYSE股價指數和T-Bill Euro Dollar利率等九種。
三、研究方法。
主要比較以下三種避險策略降低風險的程度，並研究以期貨避險時，是否愈早簽訂契
約或選擇到期日距今較遠的契約愈能降低風險。
1.天真法則 (Naive Approch)
該策略假設任何資產的現貨與期貨價格變動方向一致且幅度相同。於是為了避免資產
因為價格波動造成損失，投資者的避險策略應該是分別持有數量相同但方向相反的現
貨與期貨部位(position)。如此現貨資產與期貨資產的損益可完全抵消，若不計交易
成本，則造成損失的可能性為零。
2.最小變異數法則 (Minimum Variance Approach)
該法則認為，現貨與期貨價格同方向且等幅度變動的假設並不合理，而將現貨與期貨
所持有的部位視為資產組合 (portfolio)，此資產組合價格的變異數視為風險；求出
使該資產組合風險最小的期貨部位。期貨相對現貨的持有比值就是最適避險比率，以
此比率構成資產組合風險最小。
3.風險迴避法則(Risk Aversion Approach)
該法則引用普雷特－亞羅(Pratt-Arrow) 絕對風險迴避的觀念，尋求報酬和風險間的
替代關係，在報酬不為負的要求下，求出使資產組合風險最小的避險比率。此法則由
於衡量的標準更為嚴格，故計算亦較繁複。
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日本經濟復甦對銀行業影響之探討郭夢慈 Unknown Date (has links)
日本經濟自1990年起，由「日本第一」落入「流動性陷阱」，而陷入長達10多年的不景氣，主因是日本股市及不動產市場重挫，企業向銀行貸款所提供之擔保品價值下滑，卻因在低利率時代已過度借貸，又經營不善面臨虧損，發生償債困難，一旦財務有所改善，只想提前償還貸款，而無增加貸款意願，故稱為「資產負債表的衰退」（Balance Sheet Recession）。整體經濟景氣蕭條，國內需求不振，亦使振興經濟之寬鬆貨幣政策無法達到預期效果。
日本資產泡沫的破滅使銀行體系的逾放問題日益嚴重。日本政府為了加強銀行體系的健全性，實施金融改革（Big Bang）。使原本以傳統存、放款業務為主的銀行，在面臨國際化浪潮時，也能同時經營證券、保險業務，並將新金融商品引進日本。並由隸屬於內閣府的金融廳(Financial Services Agency)來監督日本銀行及證券業務，負責金融檢查及金融法規企劃業務，落實金融與財政分離之原則。但日本金融業務日益多元化，及衍生性金融商品日趨複雜，對金融監理機關之專業能力，形成新的挑戰。以上所述為日本國內的經濟與金融問題。
至於日圓對外幣的匯率方面，由於日圓利率偏低，套利交易(carry trade) 盛行。投資人趁著日本央行維持低利率之際，借入低成本的日圓資金，然後換成利率較高的外幣轉戰國際市場，追逐收益較高的資產，同時賺取利差、匯率及資產升值的價差，使日圓匯率的走勢疲弱，也造成全球金融市場的波動。
本論文的分析包含：
ㄧ、日本經濟不景氣問題剖析：股市及不動產資產泡沫化
二、日本金融危機形成原因：資產價格下跌，影響抵押品價值，企業償債能力變差，故使銀行不良債權增加。
三、日本總體經濟近況（GDP、CPI、失業率的變化）及經濟復甦後日本央行貨幣政策的改變
四、日本金融市場如股市、房地產市場及日本政府債券（JGB）市場的分析及展望。
五、探討日本銀行業獲利能力、不良債權問題、資本適足率以及銀行業股價指數的變化。
六、根據台灣以及日本最近的發展對金融監理單位及銀行業提出應有的改革與建議。 / The Japanese economy fell into a “liquidity trap” in 1990. Due to the stock market and real estate market plunge, the deep recession has lasted for over 10 years. The bursting of asset bubbles caused the balance sheets of enterprises to become weaker and weaker. All companies hoped to reduce their debt to banks if they were profitable. They had no intention to reinvest any more. So it was called - Balance Sheet Recession.
Even though the Bank of Japan adopted an easy monetary policy, the financial system remained vulnerable. With the bad debt of commercial banks increasing, the NPL (non-performing loan) problem has been a major concern for city banks and regional banks.
Japan's "Big Bang" reforms radically altered its financial marketplace. The barriers separating banks, securities, and insurance companies were lowered. The Financial Services Agency replaced Ministry of Finance to oversee banking, securities and exchange and insurance in order to ensure the stability of the financial system. As for financial business diversified and derivative products complicated, there were many great challenges facing the financial regulatory authorities.
During the past decade, the yen carry trade has become a target for many investors or speculators. Traders using this strategy attempt to capture the difference between the interest rates of two currencies. Taking USD/Yen for example, they borrowed the cheaper yen and invested in U.S. Treasuries yielding a higher interest rate. It causes the depreciation of Japanese Yen and increases the volatility of financial markets.
This essay describes Japanese financial crisis, Japanese monetary policy, stock market, and real estate market. Besides, I analyze the profitability, capital adequacy, and non-performing problems of Japanese banks. Finally, I give my personal opinions on Taiwan and Japan’s banking industry.
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合資與併購之策略選擇暨流動性需求對企業併購之影響 / Studies on the Strategic Choice of Joint Ventures vs. Mergers and the Economic Impact of Liquidity Demand on Firm's Acquisition Pricing吳菊華, Wu, Chu Hua Unknown Date (has links)
. / Corporate acquisitions are classified as part of “the market for corporate control” in which management teams are facing constant competition from other management teams. If the team that currently controls a company is not maximizing the value of the company’s assets, then an acquisition will likely occur and increase the value of the company by replacing its poor managers with good managers. This dissertation focus on two issues on mergers, the first compares the strategy between mergers and joint ventures. The second investigate how much liquidity should the acquirer preserve and what is the equilibrium price of the acquired firm in considering the merger strategy.
Drawing upon the incomplete contract theory, I examine the criterion of the strategic choice between joint ventures (JVs) and mergers when two firms contemplate vertical integration. The model reaches the following conclusions: (1) some ownership provision to the acquired company after the mergers may prove to be more lucrative to the acquirer than 100% takeover; (2) given the same equity share arrangement for JVs and mergers I conclude that these two firms should choose to merge or be merged rather than JVs; (3) I derive the optimal equity share arrangement in both JVs and mergers when ownership provision is considered as a strategic means. In addition, I also compare the welfare and effort of both companies in JVs and mergers under symmetric cost structures, and find that mergers would provide greater social efficiency and welfare than 50-50 JVs when the acquirer’s equity share is between 30% and 65%.
Firms are concerned that they may in the future be deprived of the funds that would enable them to take advantage of exciting growth prospects, strengthen existing investments or simply stay alive. I specifically examine a firm’s liquidity need in order to grasp any future opportunity of mergers and acquisitions. However, a firm’s manager (borrower) can shed his interim wrongdoings (misbehavior) under the pretext of further financial need for mergers and acquisitions because he knows that he can easily raise sufficient cash from lenders to cover any adverse shock. My study derives the conditions that when this soft-budget-constraint (SBC) problem will occur. It happens when the interim income is small. Moreover, I analyze how the purchase price of acquisition is affected by this soft-budget-constraint syndrome. If there is SBC problem, the acquisition price will be raised by the investors when the interim income is small. Besides, a firm with severe moral hazard problem will be merely able to offer a smaller purchase price for the acquisition. On the contrast, a firm with a stronger balance sheet will be able to secure a greater credit line and offer a more attractive price for the acquisition. The empirical study of U.S. firms during 1988 to 2006 supports my conclusions.
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台灣股票市場股票報酬之時間序列研究 / The Time Series Analysis of the Stock Returns in the Taiwan Stock Exchange陳柏助, Chen, Po-Chu Unknown Date (has links)
本論文採用Fama and French[1993]所提出之三因子模式為基礎，以公司規模[firm size]、帳面淨值市價比[book to market ratio]、及市場超額報酬[market excess return]為三因子，配合動能因子[momentum]及三種不同的流動性指標[成交量，成交值，成交量週轉率]來延伸探討五因子的時間序列資產定價模式。
本文的研究資料為西元1992年1月到西元2000年12月間的452家上市公司週資料，期望能解釋月資料所無法包含的資訊內涵。
結論：
(1.)台灣股票市場確實有規模效果，淨值市價比效果，動能效果，及流動性效果。
(2.)市場因子具有解釋能力。
(3.)小公司投資組合解釋效果不佳，在台灣股票市場可能有其他因素未放入評價模式中驗證。
(4.)流動性指標在台灣股票市場上，確實和股票報酬有負向的關係存在，且建議以成交量週轉率作為流動性的代表指標。
(5.)台灣股票市場有顯著的動能存在，投資者可藉由動能策略獲得更高的超額報酬。 / This article provides evidence that stock returns listed in the Taiwan Stock Exchange do have shared variation due to the “market anomalies”, such as size, book-to-market ratio, momentum, and liquidity, which have been argued by scholars and investment professionals for many years. The evidence shows that small-cap effect plays an important role in explaining the violation in stock returns after controlling for other determinants of stock returns. Besides, value, momentum, and liquidity effect do exist in the Taiwan stock market. Moreover, we suggest that turnover rate is a better proxy for liquidity in terms of its stronger relations with the stylized portfolio returns. We empirically estimate the intercepts of our asset-market models using weekly time-series data for individual securities over the sample period from 1992 to 2000 and across 452 securities. To emphasize particularly, our result does not imply that the Taiwan stock market is not an efficient market.
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內部控制報告書對資訊精確度與市場流動性之影響 / The impact of internal control reports on information precision and market liquidity翁慈青, Weng, Tzu-Ching Unknown Date (has links)
本研究主要係在探討經過會計師查核的內部控制報告書是否會影響到分析師的公私有資訊精確度以及市場流動性。實證結果發現，當公司被視為具有重大內控缺失者，會造成分析師公有及私有資訊精確度下降，進而使得整體資訊環境的不確定性增加。本研究亦發現，當公司揭露內部控制缺失時，該公司在宣告期間會有較差的市場流動性以及較嚴重的資訊不對稱性。本研究更進一步將內控缺失區分成公司及會計層級內控缺失，結果發現有公司層級內控缺失的公司，相較於會計層級缺失者，會有較差的公有資訊精確度及市場流動性。最後，本研究發現，若公司下一年度有進行內部控制缺失修正時，會產生較高的公私有資訊精確度及較高的市場流動性。 / This dissertation extends prior research on internal control weaknesses (hereafter ICW) by examining the impact of internal control weakness and their remediation on information precision and market liquidity for firms filed Section 404 reports with the SEC. First, I find that the presence of ICW is associated with lower precisions of public and private information contained in analysts’ earnings forecasts, which in turn increase overall information uncertainty. Second, I find that market liquidity is significantly lower for ICW firms. Moreover, this dissertation provides evidence that firm-level control weaknesses have stronger impact on public information precision and market liquidity than account-specific control weaknesses. Finally, this dissertation suggests that ICW remediation firms have higher information precision and market liquidity, compared to non-remediation firms. My results are robust after controlling for the endogeneity problem and other sensitivity tests.
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市場風險值管理之應用分析以某金融控股公司為例 / The analysis of Market Risk VaR management ：the case of financial holding company周士偉, Chou, Jacky Unknown Date (has links)
2008年次貸風暴橫掃全球金融市場，Basel II制度歷經多年的實施，卻無法有效防阻金融風暴的發生。觀察2008已採用內部模型法之主要國際金融機構之年報，亦發現採用蒙地卡羅模擬法之代表銀行『德意志銀行』於該年度竟發生了35次穿透，市場風險管理到底出了什麼問題？這是被極度關心的現象，產官學界也對此現象提出了許多議題。2012年的現在，次貸的風暴尚未遠去，新的歐債危機也正在蔓延，若金融風暴再次來臨，市場風險管理是否能克服次貸風暴後所凸顯的缺失，市場風險管理的價值除被動管理外，是否還可以進階到主動預警，以作為經營決策的重要參考資訊？這些都是國內金融機構需積極面對的急迫的市場風險管理議題。
個案金控的市場風險管理機制致力於解決次貸以來所凸顯的市場風險管理議題、提升市場風險衡量的精準度、擴大市場風險管理之應用範圍，並將市場風險管理的價值由被動管理角色進階到主動預警角色，以期作為經營決策的重要參考。經過多年的淬煉，其發展理念與經驗應具相當參考價值，故本論文以個案金融控股公司(以下簡稱個案金控)之實務經驗進行個案研究，除分析個案金控市場風險管理機制的基礎架構外，也將研究重心放在個案金控如何在此基礎架構下，開發多種進階市場風險量化管理功能。
本論文除研究個案金控如何完善市場風險值量化機制外，也對各量化功能的實施結果進行分析，以期研究成果可更客觀的作為其他金融控股公司未來發展進階市場風險衡量機制之參考。
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總體審慎政策－流動性覆蓋比率－之動態隨機一般均衡分析 / Examination of Liquidity Coverage Regulation with A DSGE Framework吳奕信, Wu, Yi-Xin Unknown Date (has links)
本文的研究目的為，在一個包含銀行部門的動態隨機一般均衡模型的架構中，探討流動性覆蓋比率限制在利率的信用管道中所扮演的角色以及其對政體經濟的影響為何。在銀行的資產配置決策內生的情形下，加入流動性覆蓋比率的限制，透過放款的勞動成本與抵押品價值來刻畫金融摩擦；本文發現當經濟體系遭受生產與放款的外生衝擊時，流動性覆蓋比率的限制會增強政策利率的信用管道效果，並且相較於無流動性覆蓋比率限制之模型而言，具流動性覆蓋比率限制的模型，其銀行資產配置的變動幅度與金融摩擦的程度皆較大。 / The main purpose of this paper is to explore the role of the liquidity coverage ratio (LCR) in the credit channel and how it influences the overall economy in a dynamic stochastic general equilibrium (DSGE) model with banking sector. Commercial banks endogenously choose their optimal portfolio of assets under the liquidity coverage ratio restriction. On the other hand, we describe the financial friction through the labor cost of making loans and collateral value. We find that when the economy is exposed to exogenous shocks in production and lending, the liquidity coverage ratio will enhance the effect of credit channel. Compared with the model with no LCR restriction, the degree of change of the bank asset allocation and the financial friction are larger in the model with LCR restriction.
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