In recent year, the securities firms had suffered form the turmoil of the financial crisis in Taiwan. Although the Taiwan Stock Exchange Corporation and the Securities and Futures Commission have their own early warning systems (EWS), the EWS based on financial statements and the "capital adequacy ratio", respectively for the risks that the brokers and dealers assume, still have some defects: (1) EWS based on financial statements are static and time-lagged in the rapid-moving market, and (2) the calculation rules in the capital adequacy ratio are inelastic and inefficient. This research emphasizes on the stock positions of the dealers, and calculate the "Value at Risk" (VaR) for these positions. In this way, we hope to know whether the EWS based on VaR can detect the risks of the dealers in time, and improve the drawbacks of the EWS based on financial statements and capital adequacy ratio. We found that: (1) the EWS based on VaR can effectively reflect the market risk of the dealers, and (2) the "historical simulation" method might distort the real portfolio risk, thus we suggest that "delta-normal" is a better method, and (3) the EWS based on VaR can discriminate the risk level of different securities dealers. In conclusion, we have the suggestion of the EWS for securities firms in the future. For firm-wide operation, the EWS based on financial statements is suitable; for the credit risks the securities firms may assume, the capital adequacy ratio is better; as for the market risk of the positions, VaR, undoubtedly, is a good alternative.

自2014年政府提出金融業「打亞洲盃」的政策願景後，金融業開始更為積極的構思如何佈局東南亞，其中證券業因國內市場經營不易，證券市場逐漸萎縮，因此更急需往國外發展，開拓業務範圍。唯東南亞國家多因語言差異、風俗習慣隔閡，及資訊取得不易等因素，台灣證券商在缺乏資訊的情況下難以判斷應佈局於何處，以及應如何佈局，故本研究藉由蒐集各國文獻及資訊之文獻分析法，統整分析後提出台灣證券業佈局東南亞可行的策略、方向，從最基礎的經濟環境切入，分析潛在市場規模大小和未來成長潛力，找尋合適的佈局標的，擴大經營版圖，擺脫台灣證券市場萎縮之困境，並建構出適合台灣證券業之國際化經營發展策略，期能與國外證券商分庭抗禮，乃至於發展為亞洲區域型券商。 / Since Taiwan government announced that financial sectors competing across Asia in 2014, Taiwan’s financial institutions has worked more aggressively on how to reaching out to Southeast Asia. Especially for securities sectors, Taiwan’s securities firms need to expand business abroad because Taiwan’s securities market are shriveling. Because of the shortage of data and difference of languages, it is difficult for Taiwan’s securities firms to do research in finding out appropriate target market to invest in. So the purpose of this study is to find out the most appropriate target market to invest in for Taiwan’s securities firms. This study found out the best entry target and the development strategy for Taiwan securities sectors to develop into regional securities firms in Asia by case study between international level securities firm and Taiwan securities firm.

隨著市場的開放，證券商可以經營的業務種類也越來越多，而競爭程度也隨之提昇，然證券商本身經營的業務，就在一個風險程度高的環境中，因此如何有效控制、降低風險，將會影響券商的獲利程度。而國際證券組織（IOSCO）希望證券商利用內部模型方法，來做為證券商衡量風險的工具，並藉此做為券商提存資本的準則，有鑑於此，本研究的目的為將針對證券商，如何建構一個完整的風險管理資訊系統，提出一架構性的探討。並且以這套系統，讓證券商針對本身的風險，來提存相對之自有風險資本，讓風險事件來臨時，證券商能夠有足夠的資本，來支應營運風暴，進而讓本身經營的體質更健全。 首先，利用IOSCO針對證券商所定義的五大風險，來分析證券商從事業務可能遭受的風險來源。進而探討隨著券商經營風險變大，證券商風險控管的觀念，應由被動控管的角色，隨著環境的變化與業務的風險增加，需要轉為積極主動、自律式的風險控管機制，因此本研究提出一個完整的風險管理系統，系統包含五大功能，分別是交易監控功能、風險衡量功能、動態控險功能、情境分析功能與模式驗證功能，以此資訊系統來做為證券商風險控管的工具。再來則是針對IOSCO所提出的風險內部控管的十二點要素原則，提出一個適合證券商的風險管理組織與內部控制流程。 最後個案訪談部分了解業界的實務做法，針對四家綜合券商訪談的結果可知，每家券商風險控管的做法與考量皆不盡相同，結論可做為想著手進行整體性風險管理系統的證券商，有一參考的實務依據。

本研究探討之個案公司正面臨臺灣證券業高度競爭，業務高度同質性、經營無差異化，獲利不佳、薪資福利低於整體金融業，產業前景黯淡不明，無法吸引年輕人投入及引進優質創新金融人才，此外，既有證券從業人員邁入老化、對於新種業務與創新產品學習不佳，整體證券業之經營競爭力出現下滑之嚴峻的挑戰。 本研究針對臺灣證券市場與證券業發展概況，及以麥可•波特五力分析瞭解證券產業之競爭情形，與證券業之經營困境及問題所在。另外因證券商之設置及經營範圍受法令的規範，大型證券商之經營業務項目及策略定位，趨近一致，本研究認為應探討個案公司之核心能耐及競爭優勢，結合政府對證券業開放業務現況及主要推動政策，以此有系統架構之分析，試圖找尋，主要仰賴經紀業務創造營收之經營模式，如何藉由多年累積之核心能耐及競爭優勢，以不同的執行方式之差異化發展策略，創造成長契機優勢，並且延伸及建構個案公司之長期競爭優勢。

本文採用一階段隨機邊界分析法（Battese and Coelli, 1995）衡量2004 年第一季至2008 年第三季台灣上市櫃證券商的技術效率，並將Orea（2002）提出的產出導向一般化Malmquist生產力指數改寫成投入導向模式，用來分析台灣上市櫃證券商的生產力變動情形。實證結果顯示，小型券商之經營效率平均而言比大型券商之經營效率高，而大部分的證券商都呈現規模報酬遞增的技術狀態，可見台灣上市櫃證券商整體而言規模不夠大，必須設法再擴大至適當的規模方可發揮規模經濟效果。另外，較多的股本雖然理論上具備較強的競爭優勢，但可能沒有適當的決策支持，造成資源浪費反而降低經營效率；股價指數愈高，在相同的投入之下有較多的產出表現且較有能力調整規模至規模報酬較佳的狀況，因而提高經營效率。 / This paper adopts one-stage stochastic frontier analysis (Battese and Coelli, 1995) to measure technical efficiency of listed securities firms in Taiwan from the first quarter of 2004 to the third quarter of 2008. In addition, inspired by the Orea (2002) output orientated productivity model, this paper derives an input orientated generalized Malmquist productivity index to analyze the productivity change of the firms. The empirical results reveal that smaller securities firms are more efficient than larger securities firms in average. The majority of securities firms are operating with increasing returns to scale, indicating that the scale of listed securities firms in Taiwan are generally not large enough, so firms need to enlarge their scale in order to get the effect of economies of scale. Although more capital stocks possess stronger competitive advantage theoretically, without proper strategy to support the firms may waste resources and result in operational inefficiency. Operational efficiency is positively correlated with stock index.

國際證券管理組織（The International Organization of Securities Commissions, IOSCO）認為自律機構（Self-Regulatory Organization, SRO）是管理證券市場之必要條件之一。我國證券交易法第四、五章對證券商同業公會與證券交易所皆設有專章特別規範，亦可看出自律機構在證券市場的重要性。惟目前臺灣證券交易所、財團法人中華民國證券櫃檯買賣中心及中華民國證券商業同業公會等協助管理證券市場之機構，在法律規範面及執行面皆存有許多待改進之處。本文以證券自律機構對證券商及其人員之管理規範為探討重點，試著從比較立法例說明美國、英國及日本等國家證券市場自律監理制度演變過程及法制規範，並分析探討前述臺灣證券交易所等機構所存在之問題，期能藉由制度比較，整理歸納提出我國證券自律機構在法制架構及實務運作上可供改進之具體建議。

隨網際網路、行動載具及數位科技之進步，金融服務之提供不再受限於地域上之隔閡。邇來，有許多國際性投資銀行擬透過其所經營之網路交易平台向我國投資人提供證券經紀服務，然因我國現今並未開放外國證券商得跨境提供我國投資人證券經紀服務，在相關規範上付之闕如。 然而，法律上之禁止並無法阻止科技進步興起之跨境證券活動浪潮。如有朝一日我國擬開放外國證券商跨境提供我國投資人證券經紀等金融服務時，應採取何種規範方式及相關規範內容為何，有其討論之需要性及必要性。 按此，本文首先將介紹我國現行證券商相關之規範制度，後參酌美國、澳洲及德國對於外國證券商跨境提供其國內投資人證券經紀服務之規範方式及內容，輔以國際證券管理機構組織所歸納使用於跨境證券活動之三種規範制度，嘗試提出我國對外國證券商跨境提供我國投資人證券經紀服務得採行之規範方式及內容之建議。 本文研究結果建議，我國應針對不同身分別之投資人分別採用國民待遇規範制度及認可規範制度。即在非屬專業投資人部分，採用國民待遇規範制度；而在專業投資人部分，採用認可規範制度。同時，建議就有關跨境提供證券經紀服務之開放可分階段進行。最後，針對我國現行證交法及其相關規定，本文亦參考美國、澳洲及德國在相關規範架構下之細部規定，提出法規修正之建議及我國可能可以考慮之細部規範內容。 在跨境金融服務興起的今日，重新思考及架構一套符合證券及金融市場國際化之規範架構及方式是一個必經的歷程，希望透過本文之研究結果及建議，能幫助我國在此波金融國際化之浪潮中立足國際。 / With the progress of the Internet, mobile vehicles and digital technology, the provision of financial service is no longer limited to geographical barriers. Recently, there are a lots of international investment banks intend to provide securities brokerage services to our domestic investors through their electronic trading platform. However, since Taiwan is not yet open to foreign securities firms to provide securities brokerage service to our domestic investors on a cross-border basis, there is lack of any relevant regulation. Nonetheless, the legal prohibition on the provision of service on a cross-border basis can not stem the tide of the cross-border securities activities resulted by the technological advancement. If one day Taiwan opens the foreign securities firms to provide securities brokerage services and/ or other financial services to our domestic investors on a cross-border basis, it is necessary and a must for Taiwan to consider what regulatory model and what regulations should be taken. Given the above, this study will first introduce the current regulatory regime related to the securities firms in Taiwan, and then take the regulatory regime and regulations governing the foreign securities firms providing securities brokerage service to the domestic investors on a cross-border basis adopted by the US, Australia and Germany and the three types of regulatory regimes summed up by the IOSCO, which are used for the regulation of cross-border securities activities, into account to try to propose the suggestions on the possible regulatory regime and regulations for Taiwan to adopt for this issue. The results of this study suggest that Taiwan should adopt the regulatory tools called National Treatment and Recognition and used them depend on the type of investor. That is, as to the non-professional investor, Taiwan should adopt National Treatment to regulate the cross-border securities brokerage service; and as to the professional investor, Taiwan should adopt Recognition to regulate the same. At the same time, this study suggests the cross- border provision of securities brokerage service could be considered to be opened by phases. Finally, as to the current Taiwan Securities and Exchange Act and its relevant regulations, this study also provide the proposed amendments and the relevant details by making reference to the regulations adopted by the US, Australia and Germany under the regulatory regime of each of them. In today’s world, it is a must to rethink and structure a regulatory regime and regulations that conform to the internationalization of securities and financial markets. It is hopeful that the results and suggestions in this study could assist Taiwan to gain a footing in the arena of the international financial market.