系統性風險

Abstract

2007年的金融風暴後，金融監理機構開始注重從宏觀的觀點來管理風險。以往的金融機構風險的管理，著重在單獨金融機構個體的風險衡量，並未將金融機構所產生的系統性風險納入考量，但風暴後，將系統性風險納入金融機構風險的控管中顯得越來越重要。本篇提出以金融機構的系統性脆弱來衡量其對系統性風險貢獻的想法，以金融機構在風暴時的脆弱性為其對系統性風險貢獻高低的指標，並提出系統性脆弱為衡量的方法。管理者可由金融機構的系統脆弱性來預測其在金融風暴中的表現，並為此事先預防。藉由控制金融機構在風暴中的表現，監理機構控管其系統性風險的貢獻性，更進一步控管金融市場中的系統性風險。

In the aftermath of 2007-2009 financial crisis, the emphasis on macro-prudential regulation is rising. The current regulations of financial institutions focus on individual institutions’ risk. In contrast, macro-prudential regulation goes beyond to incorporate systemic risk. In this paper, we propose measures as proxies for the institutions’ fragility during financial crises. It is shown that these measures provide valuable information on how financial institutions in Taiwan performed during the 2007-2009 financial crisis. By identifying which financial institutions are likely to perform poorly during financial crises, these measure will help regulators to take prompt corrective actions to reduce the probability of a financial crisis.