The first chapter defines the liquidity and determines the cost forming the illiquidity discount. The second chapter assesses the various methods and studies relating to estimation of the discount for lack of marketability for minority interests within the U.S. markets. The third chapter identifies the effects of factors that influence the discount in the in the Czech Republic differently from the U.S. markets. The fourth chapter focuses on factors affecting the level of the discount within převiously observed range and determines the basic method for calculating the discount for lack of marketability for minority interest in the Czech Republic. The fifth chapter deals with the possibility of converting the discount for lack of marketability into risk premium in the CAPM model. The last chapter focuses on determination of the discount for lack of marketability for majority interests.

自2000年來，學術界開始廣泛地討論系統流動性風險因子以及非流動性因子是否在資產評價上有重要的影響，尤其在最近的金融危機中，市場的流動性風險應該如何被衡量及量化也是實務上重視的課題。不同於傳統的市場微結構模型，著重在衡量個股的流動性以及非流動性，本文嘗試以系統流動性評價模型建構流動性風險因子及非流動性因子來衡量整體市場的流動性，並探討市場流動性如何應用在資產評價上。 在Lee, Lin, Lee, and Tsao (2006)研究中，嘗試分析台灣市場個別股票流動性的共同因素(common factor)，並已得到確切的結論。然而此一系統性的流動風險因子尚未應用在資產評價模型上。本文在建構市場的流動性以及市場的非流動性兩個因子之後，並用以評價市場的股票報酬，結果發現若以市場流動性因子評估，則持有對市場流動性衝擊(liquidity shock)具有高度敏感性的股票(Beta>0)並同時賣出低敏感性的股票(Beta<0)，將會得到顯著的異常報酬。另一方面，若以市場非流動性因子衡量，則持有非流動性較高的股票並同時賣出非流動性較低的股票，也會得到顯著的異常報酬。 / Market-wide liquidity drain has aroused grave concerns in the recent financial tumult and prompted a number of academics to query how much the liquidity risk is incorporated into the pricing of those assets that are blamed for the recent financial collapse. Though this market-wide liquidity risk factor has started being acknowledged as a key component of asset pricing models, it has not yet been applied to Taiwan’s financial market. Based on the commonality in liquidity is confirmed by Lee, Lin, Lee, and Tsao (2006) in the Taiwan’s stock market, this study is the first one to include systematic liquidity factor in asset pricing model. Two different dimensions are employed due to liquidity is an elusive characteristic to measure. This study intends to measure the degree of liquidity shock and illiquidity characteristic that afflicts Taiwan’s stock market by looking into temporary price changes accompanying the order flow in the lag period and the trading volume in the contemporaneous period. Stock excess return has always been considered a compensation for risk. This study also explores whether excess return reflects compensation of market-wide liquidity, and provides evidences that the premium for systematic liquidity shock factor and illiquidity factor in the Taiwan’s stock market are all significant.

Despite the fact that illiquid assets pose several difficulties regarding portfolio allocation problems for investors, more investors are increasing their allocation towards them. Alternative assets are characterized as being harder to value and trade because of their illiquidity which raises the question of how they should be managed from an allocation optimization perspective. In an attempt to demystify the illiquidity conundrum, shadow allocations are attached to the classical mean-variance framework to account for liquidity activities. The framework is further improved by replacing the variance for the coherent risk measure conditional value at risk (CVaR). This framework is then used to first stress test and optimize a theoretical portfolio and then analyze real-world data in a case study. The investors’ liquidity preferences are based on common institutional investors such as Foundations &amp; Charities, Pension Funds, and Unions. The theoretical results support previous findings of the shadow allocations framework and decrease the allocation towards illiquid assets, while the results of the case study do not support the shadow allocations framework. / Trots det faktum att illikvida tillgångar medför flera svårigheter när det gäller portföljallokeringsproblem för investerare, så ökar allt fler investerare sin allokering mot dem. Alternativa tillgångar kännetecknas av att de är svårare att värdera och handla på grund av sin illikviditet, vilket väcker frågan om hur de ska hanteras ur ett allokeringsoptimeringsperspektiv. I ett försök att avmystifiera illikviditetsproblemet adderas skuggallokeringar till det klassiska ramverket för modern portföljteori för att ta hänsyn till likviditetsaktiviteter. Ramverket förbättras ytterligare genom att ersätta variansen mot det koherenta riskmåttet CVaR. Detta ramverk används sedan för att först stresstesta och optimera en teoretisk portfölj, och sedan analysera verkliga data i en fallstudie. Investerarnas likviditetspreferenser baseras på vanliga institutionella investerare såsom stiftelser &amp; välgörenhetsorganisationer, pensionsfonder samt fackföreningar. De teoretiska resultaten stödjer tidigare forskning om ramverket för skuggallokeringer och sänker allokeringen mot illikvida tillgångar, samtidigt som resultaten från fallstudien inte stödjer ramverket för skuggallokeringar.

La recrudescence des crises bancaires et financières place la problématique de la sécurité financière au centre des grands enjeux des politiques de régulation économique. En effet, la crise dite des Subprimes et les crises budgétaires y consécutives, puis la crise chypriote avec le sentiment de défiance du public qui en a résulté, amènent à penser que seule la sécurité financière permet de sauvegarder l’industrie financière malgré elle. Cet enjeu, plus pragmatique du reste, semble davantage trouver un écho en droit, contrairement à celui de stabilité financière qui apparait plutôt subjective, voire incantatoire.En Afrique centrale, comme dans les systèmes juridiques de tradition romano-latine, la question de la sécurité financière procède d’abord du statut juridique des déposants bancaires, de leur place dans l’ordre légal de désintéressement des créanciers, en cas défaillance. Mais la question de la sécurité d’un système bancaire intéresse aussi les établissements de crédit eux-mêmes, non simplement en raison de la nature risquée de leurs activités de transformation, mais surtout en raison de l’existence d’un risque systémique exacerbé par l’ingénierie financière. La question de la sécurité se pose dès lors non simplement en terme de protection des acteurs pris individuellement, mais davantage en terme de préservation voire de sauvegarde de l’outil économique qu’est le système bancaire et/ou financier. / The resurgence of banking and financial crises up the issue of financial security at the center of major policy issues of economic regulation. Indeed, the so-called subprime crisis and subsequent fiscal crises there, and the Cyprus crisis with a sense of public defiance that resulted, one may suggest that financial security will save the financial industry in spite of herself. This issue, more pragmatic moreover, seems to resonate more in law, unlike that of financial stability that appears rather subjective or incantatory. In Central Africa, as in the legal systems of Roman- Latin tradition, the question of financial security shall first the legal status of bank depositors, their place in the legal order of payment of creditors in the event of failure. But the question of the security of the banking system as interest credit institutions themselves, not simply because of the risky nature of their processing activities, but mainly because of the existence of systemic risk exacerbated by financial engineering. The question of safety arises therefore not simply in terms of protection of individual players , but more in terms of preservation or backup tool called economic banking and / or financial .

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.