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題名：流動性、作業及主權三種風險衡量之實證研究
作者：方鏘傑
作者(外文)：Chiang-Jye Fang
校院名稱：淡江大學
系所名稱：財務金融學系博士班
指導教授：李沃牆
學位類別：博士
出版日期：2012
主題關鍵詞：流動性風險；作業風險；主權風險；政府干預；外溢效果；大額支付系統；風險值；期望損失；利率平價說；Liquidity risk；Operational risk；Sovereign risk；Official intervention；GARCH；Copula function；Spillover effect；GPD；LVPS；Value at risk；Expected shortfall；Interest rate parity；Copula- ARMAX-GJR-GARCH model
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本論文內容涵蓋衡量流動性風險、作業風險及主權風險三部分的實證研究，分述如下：
第一部分、流動性風險的衡量實證研究係以蒐集台灣全體金融機構於2002年9月16日至2010年8月31日期間，參加大額支付系統的金融機構支付中央銀行之日間透支利息之成本資料，進行實證建模及估計銀行流動性成本風險尾部參數。本研究首先考量巴賽爾資本協定III有關改進衡量標準之概括性設計，是否有助於提升銀行部門吸收財務及經濟壓力帶來衝擊之能力，並藉以瞭解支付系統之流動性風險的特性與集中度，再者運用配適一般化柏瑞圖分配(Generalized Pareto Distribution, GPD)並透過標準參數模型比較，以拔靴法(Bootstrap)估計該參數之信賴區間。另計算風險值(Value at Risk, VaR)及期望損失(Expected Shortfall, ES)以有效衡量流動性風險。研究結果顯示在大額支付系統下銀行之流動性損失的尾部行為，能提供精準及有用資訊予金融監理主管機關及中央銀行當局參考。本研究亦成功地應用統計方法，藉由潛在監理行動衡量分析台灣銀行體系之流動性成本，以有效建立另一種監理方法。
第二部分、有關作業風險的衡量係先蒐集於1995年至2009年期間台灣地區全體商業銀行的共計323筆重要作業損失資料，以構建模型及估計銀行的作業風險分配之尾部參數。藉由三種Coupla函數計算各種損失事件間之相關性。在巴賽爾資本協定II下，檢定不同的損失型態分類間之獨立性，俾瞭解商業銀行作業風險的特性與集中度。再者，對一般化柏瑞圖分配(GPD)估計參數，並比較各種標準參數模型之配適情形，以拔靴法估計該參數之信賴區間。另計算風險值(VaR)及期望損失(ES)以有效衡量作業風險。研究結果能提供台灣金融機構作為執行作業風險管理之有用資訊，並賦予金融監理之參考，且有助於銀行衡量其作業風險資本計提參考。
第三部分、主權風險衡量之研究係利用Coupla-ARMAX-GJR-GARCH模型探討政府干預匯率市場下產生主權風險，藉由歐元與人民幣匯率波動關連，顯示中國人民幣匯率制度的政策干預現象。本研究使用2005年1月至2010年3月人民幣與歐元匯率日資料，先建立ARMAX-GJR-GARCH方程式模型以重新檢視利率平價理論，並發現人民幣匯率之結構轉變狀況。該研究結果提供一種驗證政府干預之主權風險與政治影響經濟現象之重要資訊，有助於金融機構風險管理者的檢驗歐元與人民幣之匯率制度間差異。
This dissertation includes three aspects of the empirical study of measurement on liquidity risk, operational risk and sovereign risk illustrate as follows:
First, using the intraday overdraft cost of all Taiwanese banks pay to Central Bank (CB) in the Large Value Payment System (LVPS) to measure the liquidity risk from Sep 16, 2002 to Aug 31, 2010, I collected the interest cost of overdraft to focus on modeling and estimating tail parameters of bank liquidity cost. I first take into account to illustrate whether the Basel III is a comprehensive set of reform measures, to improve the banking sector’s ability to absorb shocks arising from financial and economic stress and to understand the characteristic and concentration of liquidity risk of payment system. I further centralize the Generalized Pareto Distribution (GPD) and compare it with standard parametric modeling. Bootstrap method is used to estimate the confidence interval of parameters. In addition, Value at Risk (VaR) and expected shortfall (ES) calculations were performed. My results captured the tail behavior of banks’ liquidity losses from the LVPS, which provide the precise and useful information for the supervisory authorities and the central bank of Taiwan. I contributed to setting alternative oversight method by using potential supervisory action to measure liquidity cost of the banking system of Taiwan, and apply the statistic methodology successfully.
Secondly, from the loss data associated with significant operational risks of Taiwanese commercial banks over the period from 1995 to 2009, I collected a set of 323 observations to use for modeling and estimating tail parameters of bank’s operational distribution. By means of three copula functions, I calculated correlations between event pairs, test for independent between different classifications of risk types of the Basel II framework and seek to understand the characteristic and concentration of commercial banks’ operational risks. Further, I estimated parameters for the generalized Pareto distribution (GPD) and compare its fit with those of standard parametric models. A bootstrap method is used to estimate the confidence intervals for parameter values. In addition, value-at-risk (VaR) and expected shortfall (ES) calculations are performed. My result provides important information that financial supervisory authorities can use when accounting for operational losses of commercial banks. This research also contributes to the measurement of Taiwanese commercial banks operational risk capital for the banks.
Last, I provided new evidence regarding the shock effects of the PBC intervention in the FX market by comparing the volatility of exchange rate of Euro dollar (EUD) and Chinese Ranminbi (RMB) against the US dollar (USD) and showing policy interference of Chinese the exchange rate system. Firstly I modeled the ARMAX-GJR-GARCH equation to reexamine interest parity theory and find the structure break of the exchange rate of the RMB then I set up the new Copula-ARMAX-GJR-GARCH model by using daily exchange rate of EUD and RMB against USD during the period from January 2005 to March 2010. The result provides the very important information that I proved the sovereign risk of official intervention and political influence economy. My new research also contributes to examine a discrepancy between the exchange rate system of EU and China for risk managers in financial institutions.
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