劉啟群臺灣大學:會計學研究所劉亭君Liu, Ting-ChunTing-ChunLiu2010-05-052018-06-292010-05-052018-06-292009U0001-2606200918011000http://ntur.lib.ntu.edu.tw//handle/246246/180008次貸風暴所造成的金融危機在全球金融體系緊密相連下，迅速從美國擴散至其他國家，其蔓延速度、範圍、複雜程度都是前所未見。本研究首先分析次貸風暴發生之原因及經過，並探討涉及之金融商品創新架構。而後透過介紹不同性質金融機構發生危機之經過，了解次貸風暴所造成之影響。接著分析對於次貸風暴發生原因，國際上提出之金融監理建議及方案。最後，參考國際上之建議，考量台灣目前金融市場和法規狀況，對台灣提出短期及中長期金融監理之建議：一)短期建議.加強追踪銀行貸放業務的品質。.監管金融機構薪酬制度之合理性。.對整體金融體進行總體壓力測試，並要求個別金融機構進行壓力測試。.實施境外結構型商品預審制度及限制特定交易之對手種類。二)中長期建議.評估可標準化的店頭市場交易改為集中交易之可能。.協助金融業者建立證券化、衍生性商品及其標的資產之資料庫。.未來若銀行業由標準法轉採內部評等法計提最低資本，監督其採行更健全之壓力測試程序。.監理金融機構之資本適足性，並尋求反景氣循環效果的工具。參考國際增提資本之規範，並採漸進方式強化資本適足率之要求。.評估資訊揭露的成本，逐步要求金融機構加強資訊揭露之質與量。.修法禁止信評機構提供與評等相關之顧問服務，並研擬信評機構故意為虛偽評等之處罰規定。.增進和國際監理機構之合作與資訊交流.推動公平價值會計時，提供企業評價及會計處理指引，加強查核評價相關假設是否合理、一致。Because of the highly integrated global financial system, the Subprime Crisis spreads quickly from the United States to other countries. Its spreading speed, breadth, and complexity have never been seen before. This study first discusses the causes and processes underlying the Subprime Crisis, as well as the financial innovation involved. Then, to examine the damage it may cause, this study introduces the crises happened to different types of financial institutions. Furthermore, this study analyzes financial supervisory reports and recommendations proposed by other countries’ governments and international financial supervisory organizations. Finally, considering the recommendations from them, together with the financial markets and laws in Taiwan, this thesis proposes the following recommendations, divided into short-term and medium- and long-term, for Taiwan’s financial supervisory authorities:.Short-term recommendations:.Reinforcing the oversight of mortgage products and lending practices.Supervising the appropriateness of compensation schemes in financial institutions.Implementing macroeconomic stress tests and requiring financial institutions to undertake stress tests.Implementing previews of offshore-structured products and restricting the types of counterparties that could participate in particular transactionsI.Medium- and long-term recommendations:.Evaluating the movement of standardized OTC trades onto a regulated centralized exchange system .Working with financial institutions to establish a database of securitized products, derivatives, and their underlying assets .Overseeing banks to conduct sound stress tests if they adopt the internal rating based approach for credit risk to capital requirement instead of the standardized approach.Examining capital adequacy for financial institutions and developing new counter-cyclical measures; considering international regulations of incremental capital charge and gradually increasing capital requirements.Assessing the cost of information disclosure and gradually requiring financial institutions to enhance the quality and quantity of information disclosure .Amending the existing law to prohibit credit rating agencies from conducting consulting services and to develop penalties for fictitious ratings .Improving information exchange and cooperation with international supervisory authorities .Providing fair value accounting and valuation guidance for corporations and performing strengthened audit of relating assumptions when implementing fair value accounting謝辭I文摘要II文摘要III一章 緒論1一節 研究背景與目的1二節 論文架構2二章 次貸風暴發生始末及原因4一節 次貸風暴發生始末4二節 次貸風暴成因分析9三章 次貸風暴涉及之金融商品與創新方式12一節 信用風險管理12二節 金融資產證券化14三節 信用衍生性金融商品20四節 次級房貸涉及之金融商品架構29四章 次貸風暴重大公司發生危機經過39一節 兩大房貸融資機構─房利美、房地美39二節 雷曼兄弟控股公司42三節 美國國際集團45四節 貝爾斯登公司47五節 英國北岩銀行48六節 其他歐洲國家之金融機構49五章 國際上針對次貸風暴提出之金融監理方案與建議50一節 美國─衍生性商品監理之改革建議50二節 美國─次級房貸建議聲明書54三節 美國─金融監理架構現代化藍圖58四節 英國─英格蘭銀行金融穩定報告64五節 國際─Basel Ⅱ修正討論方案與議題70六節 國際─金融穩定論壇74六章 以次貸風暴為鑑對台灣金融監理之建議84七章 結論98考文獻104目錄2-1次貸風暴發生始末83-1金融機構放款信用風險之管理方式演變133-2證券化所包含之種類153-3金融資產證券化之架構183-4信用違約交換253-5總報酬交換263-6信用價差選擇權273-7信用連結債券283-8次貸所涉及的金融商品創新架構293-9傳統型CDO架構333-10合成型CDO架構343-11CDO Squared基本架構37application/pdf1399490 bytesapplication/pdfen-US次貸風暴金融資產證券化信用衍生性商品金融監理the Subprime Crisisfinancial assets securitizationcredit derivativesfinancial supervisionhttp://ntur.lib.ntu.edu.tw/bitstream/246246/180008/1/ntu-98-R96722016-1.pdf