系統性風險、銀行避險與自有資本管制之關係

Abstract

現今的資本適足率規範大多在規範銀行的個別風險，但並未詳加考慮系統性風險及交易對手風險的部分。由於衍生性金融商品的發達，銀行可以針對自己投資可能產生的損失向保險公司購買信用違約交換來避險。然而，當政府不知道保險公司可能會倒閉時，政府所訂的資本適足率標準即會太過寬鬆，進而可能導致銀行投資過多的風險並危害到整體的社會福利。

The capital adequacy requirement focuses most on a bank’s own risk but fails to consider the systemic risk and counterparty risk. Banks can buy insurance to hedge the losses of their investments. However, when the regulator does not know that the insurance company may go bankrupt, he will impose a lax capital regulation which may causes banks take too much risk and hurts the social welfare.