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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 李賢源(Shyan-Yuan Lee) | |
dc.contributor.author | En-Tzu Cheng | en |
dc.contributor.author | 鄭恩慈 | zh_TW |
dc.date.accessioned | 2021-06-16T02:52:02Z | - |
dc.date.issued | 2015 | |
dc.date.submitted | 2015-07-13 | |
dc.identifier.citation | 沈中華,金融機構管理,新陸出版社,2012年。
曾令寧、黃仁德,風險基準資本指南—新巴塞爾資本協定,台灣金融研訓院,2004年。 潘雅慧,參加印度央行與金融穩定研究院(FSI)舉辦「資本適足性與Basel III」研討會,2011年。 張睿倩,或有可轉債能抑制金融機構經理人追求過度風險嗎?臺灣大學財務金融所碩士論文,2012年。 郭照榮,Basel III對金融穩定及貨幣政策之影響,2013年。 廖怡婷,銀行應級可轉債之研究與討論,臺灣大學財務金融所碩士論文,2012年。 林智偉,以股權衍生性商品模型評價應急強迫轉換債,臺灣大學財務金融所碩士論文,2014年。 戴詒霖,應急強迫轉換債與違約風險溢酬之探討與研究—以巴克萊銀行2012年發行之應急強迫轉換債為例,臺灣大學財務金融所碩士論文,2014年。 Glionna, Jonathan, Hajiloizou, Christy, Mambro, Yulia di, Winnicki, Dominik, and Gupta, Shobhit (2014). The CoCo Handbook Vol. 3. Barclays Credit Research. Winnicki, Dominik and Gupta, Shobhit (2014). March CoCo madness. Barclays Credit Research. Gupta, Shobhit, Winnicki, Dominik, Monteleone, Brian, Pigott, Conor, Hajiloizou, Christy, and Mambro, Yuliadi (2014). Global Banks Preferreds or CoCos Spoiled for Choice. Barclays Credit Research. Schmid, Michael (2014). Investing in Contingent Convertibles. Credit Suisse Asset Management. Zahres, Meta and Speyer, Bemhard (2011). Contingent Convertibles – Bank bonds take on a new look. Deutsche Bank Research. Auer, Michael and Pfoestl, George von (2012). Basel III Handbook. Accenture. Bank for International Settlements (2011). Basel III: A global regulatory framework for more resilient banks and banking system Bank for International Settlements (2011). Basel III phase-in arrangements. FSB announces update of group of global systemically important banks (G-SIBs) (2013), Financial Stability Boar Avdjiev, Stefan, Kartasheva, Anastasia, and Bogdnova, Bilyana (2013). CoCos: a primer. Albul,B., Jaffee, D. M. and Tchistyi, A. (2010).Contingent Convertible Bonds and Capital Structure Decisions. Coleman Fung Risk Management Research Center, Working Paper, 1–70. Berg, Tobias and Kaserer, Christoph (2011). Does Contingent Capital Include Excessive Risk‐Taking and Prevent an Efficient Recapitalization of Banks. Working Paper, 8–18. Coffee, John C. Jr. (2010).Systemic Risk After Dodd-Frank: Contingent Capital and The Need for Regulatory Strategies Beyond Oversight. Columbia: Columbia University Law School. Duffie, Darrell, and Singleton, Kenneth J. (1997). An Econometric Model of The Term Structure of Interest-Rate Swap Yields. Journal of Finance, Volume 52, 1287–1321. Duffie, Darrell (2009). Contractual Methods for Out-of-Court Restructuring of Systemically Important Financial Institutions. New York: the U.S. Treasury Working Group on Bank Capital. Furlong, F. T., and Keeley, M. C. (1987). Bank Capital Regulation And Asset Risk. Economic Review, Spring, 20–40. Flannery, Mark J. (2009). Stabilizing Large Financial Institutions with Contingent Capital Certificates. Working Paper, 5–20. Glasserman, P. and Nouri, Behzad (2012). Contingent Capital with a Capital-Ratio Trigger. Management Science, Articles in Advance, 1–18. Hart, Oliver and Zingales, L. (2010). How to Make a Bank Raise Equity. Financial Times, 4. Longstaff, F., S. Mithal, and E. Neis. (2005). Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default-Swap Market. Journal of Finance, Volume 60, 2213–53. Murphy, G. Walsh, M., and Willison, M. (2012). Precautionary Contingent Capital. Financial Stability Paper (2012), 1–24. Sharpe, William F. (1978).Capital Asset Pricing Theory: Discussion. Journal of Finance, Volume 33, 917–20. Squam Lake Working Group on Financial Regulation (2009). An Expedited Resolution Mechanism For Distressed Financial Firms: Regulatory Hybrid Securities. Mimeo. Pennacchi, George (2011). A Structural Model of Contingent Bank Capital. FRB of Cleveland, Working Paper, No. 10‐04, 4–13. Sundaresan, S. and Wang, Z. (2010). Design of Contingent Capital With A Stock Price Trigger For Mandatory Conversion. Columbia Business School New York, Working paper. McDonald, R. L. (2010). Contingent Capital With A Dual Price Trigger. Mimeo. Wilkens, Sascha and Bethke, Nastja (2013). Contingent Convertible ('CoCo') Bonds: A First Empirical Assessment of Selected Pricing Models. Financial Analysts Journal, Volume 70, No. 2. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/54352 | - |
dc.description.abstract | 全球金融海嘯催生Basel III問世,促使全球金融機構增加有效資本準備。因應此一重大改革方案推生出一新金融商品—應急強迫轉換債(Contingent Convertibles, CoCos)。本篇論文首先介紹巴賽爾資本協議演進及應急強迫轉換債設定與市場概況,文中亦強調中國現行發行概況與應急強迫轉換債未來對亞洲可能影響。進而以巴克萊銀行為例,建立假說,驗證:
1. 因應急強迫轉換債償付順序後於優先順位及次順位公司債,故推論有最高的違約可能; 2. 因應急強迫轉換債具有可贖回條款、潛在利息損失等特性,影響其流動性,故推論有較高的非違約風險; 3. 應急強迫轉換債具有吸收損失之特性,故金融機構發行後將有效降低原有公司債違約可能。 研究方法根據Longstaff, Mithal, and Neis (2005)的模型;修正戴詒霖(2014)的假設針對上述三項假說加以驗證。 | zh_TW |
dc.description.abstract | The financial tsunami in 2008 was the invisible hands to create the Basel III agreement which pushes banks' to raise their effective capital reserves to a certain level in the near future. Contingent Convertibles (Cocos), a new financial instrument, has launched as an probable solution to this upcoming regulation. This paper begins with the evolution of Basel Capital Accord, the introduction of Cocos and the market overview. It also introduces the booming popularity of Cocos in the Chinese and other Asian markets. This paper then takes one of the Cocos of Barclays as an example to examine the following hypothesis:
1. In terms of priority of compensation which Cocos are subordinated to both senior and subordinated bonds; thus Cocos shall have the highest default probability; 2. In terms of properties including callable and interest loss probability which affects the liquidity of Cocos; thus Cocos shall have the highest non-default risk comparing to senior and subordinated bonds; 3. In terms of loss absorption; thus the financial institutions which issued Cocos shall reduce their default probability after the issuance This paper follows the model of Longstaff, Mithal, and Neis (2005), amends the settings of Yi-Lin Tai (2014) to examine the above 3 hypothesis. | en |
dc.description.provenance | Made available in DSpace on 2021-06-16T02:52:02Z (GMT). No. of bitstreams: 1 ntu-104-R02723060-1.pdf: 1464429 bytes, checksum: bd2e52f5ca5b7ab176ed027df34a4b86 (MD5) Previous issue date: 2015 | en |
dc.description.tableofcontents | 誌謝 i
摘要 ii ABSTRACT iii 目錄 iv 圖目錄 vi 表目錄 vii 第一章、 緒論 1 第一節、 研究背景 1 第二節、 研究目的與動機 1 第三節、 研究架構 2 第二章、 巴塞爾資本協議演進及中國版實施辦法 4 第一節、 巴塞爾銀行監管委員會 4 第二節、 巴塞爾資本協定第一版 4 第三節、 巴塞爾資本協定第二版 7 壹、 第一支柱-最低資本要求 7 貳、 第二支柱-監理審查 8 參、 第三支柱-市場紀律 8 第四節、 巴塞爾資本協定第三版 10 第五節、 中國銀行業實施新監管標準指導意見 15 第三章、 應急強迫轉換債及其市場概況 17 第一節、 應急強迫轉換債之定義及特性 17 第二節、 應急強迫轉換債之組成結構 17 壹、 所屬資本層級 18 貳、 觸發水準 18 參、 吸收損失機制 20 第三節、 應急強迫轉換債之市場現況 22 第四節、 中國應急強迫轉換債市場現況 26 第四章、 文獻回顧 29 第五章、 研究方法 33 第一節、 信用違約交換(Credit Default Swap, CDS) 33 第二節、 模型解說 34 第六章、 實證 38 第一節、 標的債權介紹 38 第二節、 模型參數估計 39 第三節、 實證結果 40 壹、 假說一:λc,t'>λs,t'>λt' 40 貳、 假說二:γc,t=γs,t>γt 42 參、 假說三:λt'<λt,λs,t'<λs,t 43 第七章、 結論 45 參考文獻 46 附錄一、 中國已發行應急強迫轉換債資料整理 50 | |
dc.language.iso | zh-TW | |
dc.title | 應急強迫轉換債之研究 | zh_TW |
dc.title | A Study of Contingent Convertibles | en |
dc.type | Thesis | |
dc.date.schoolyear | 103-2 | |
dc.description.degree | 碩士 | |
dc.contributor.coadvisor | 石百達 | |
dc.contributor.oralexamcommittee | 謝承熹,邱嘉洲 | |
dc.subject.keyword | 巴賽爾資本協議,應急強迫轉換債,中國,違約風險,巴克萊銀行, | zh_TW |
dc.subject.keyword | Basel Capital Accord,Contingent Convertibles,China,default risk,Barclays, | en |
dc.relation.page | 51 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2015-07-14 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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