次貸風暴與金融監理探析

Abstract

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 1.加強追踪銀行貸放業務的品質。 2.監管金融機構薪酬制度之合理性。 3.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。 4.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 1.評估可標準化的店頭市場交易改為集中交易之可能。 2.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。 3.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。 4.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。 5.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。 6.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。 7.增進和國際監理機構之合作與資訊交流 8.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: I.Short-term recommendations: 1.Reinforcing the oversight of mortgage products and lending practices 2.Supervising the appropriateness of compensation schemes in financial institutions 3.Implementing macroeconomic stress tests and requiring financial institutions to undertake stress tests 4.Implementing previews of offshore-structured products and restricting the types of counterparties that could participate in particular transactions II.Medium- and long-term recommendations: 1.Evaluating the movement of standardized OTC trades onto a regulated centralized exchange system 2.Working with financial institutions to establish a database of securitized products, derivatives, and their underlying assets 3.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 4.Examining capital adequacy for financial institutions and developing new counter-cyclical measures; considering international regulations of incremental capital charge and gradually increasing capital requirements 5.Assessing the cost of information disclosure and gradually requiring financial institutions to enhance the quality and quantity of information disclosure 6.Amending the existing law to prohibit credit rating agencies from conducting consulting services and to develop penalties for fictitious ratings 7.Improving information exchange and cooperation with international supervisory authorities 8.Providing fair value accounting and valuation guidance for corporations and performing strengthened audit of relating assumptions when implementing fair value accounting