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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 李賢源 | |
| dc.contributor.author | Yi-Lin Tai | en |
| dc.contributor.author | 戴詒霖 | zh_TW |
| dc.date.accessioned | 2021-06-16T08:04:24Z | - |
| dc.date.available | 2019-07-15 | |
| dc.date.copyright | 2014-07-15 | |
| dc.date.issued | 2014 | |
| dc.date.submitted | 2014-06-30 | |
| dc.identifier.citation | 中文部分
沈中華，金融機構管理，新陸出版社，2012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？台灣大學財務金融所碩士論文，2012。 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。 黃玉玫，參加金融穩定學院（FSI）「金融穩定議題研討會」出國報告，2011年。 廖怡婷，銀行應級可轉債之研究與討論，台灣大學財務金融所碩士論文，2012。 鄭魁瑋，參加瑞士巴賽爾金融穩定學院(FSI) 「最新監理改革與內部稽核之角色」出國報告，2011年。 羅靖霖，BASEL III對國內銀行股利發放及籌資方式影響之初步觀察，貨幣觀測與信用評等，91券，2011年。 英文部分 Albul,B.,Jaffee, D. M. and Tchistyi, A. (2010).Contingent Convertible Bonds and Capital Structure Decisions . Coleman Fung Risk Management Research Center, working paper (2010/01),pp.1-70. Berg, Tobias and Christoph Kaserer (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 Kenneth J. Singleton(1997). An econometric model of the term structure ofinterest-rate swap yields, Journal of Finance 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, pp.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,April 27 (2012),pp.1-18. Hart, Oliver and Zingales, L.(2010).How to Make a Bank Raise Equity. Financial Times, February 7(2010), pp. 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 60:2213–53 Murphy, G. Walsh, M. and Willison, M. (2012). Precautionary Contingent Capital. Financial Stability Paper, No.16 (May/2012),pp.1-24. Sharpe, William F. (1978).Capital Asset Pricing Theory: Discussion. Journal of Finance, vol. 33 (3), pp. 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. Working paper, Columbia Business School, New York. 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, Vol. 70, No. 2, 2014. Basel III: A global regulatory framework for more resilient banks and banking system(2011), Bank for International Settlements. FSB announces update of group of global systemically important banks (G-SIBs) (2013), Financial Stability Board | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/58002 | - |
| dc.description.abstract | 2008年全球金融海嘯催生Basel III問世，此一重大改革方案也甫於2013年起分階段實施，Basel III所重視資本吸收損失的能力。在此協議下推生出一新金融商品，應急強迫轉換債(Contingent Convertible Bond, CoCo Bond)。本篇論文首先介紹資本適足率監理演進及CoCo Bond市場概況。此外，CoCo Bond具有吸收損失的能力，在償付順位後於債權而先於股權，因此銀行或金融機構發行CoCo Bond後應能降低原有債務違約的可能性。此外CoCo Bond因具有提早吸收損失之特性，且流動性不足等原因，其非違約性風險應高於公司債。本篇論文根據Longstaff, Mithal, and Neis (2005)的模型針對上述兩項假說加以驗證。 | zh_TW |
| dc.description.abstract | Since 2008, the outburst of global financial crisis have made the Basel Committee on Banking Supervision publish so called basel 3 agreement which require banks' capital have the loss absorption mechanism. Under this Accord, an new financial instrument, Contingent Convertible(CoCo) Bond, have launched. This paper introduce the evolution of supervision on capital adequacy ratio and the overview CoCo Bond market. In terms of priority of payment in liquidation, CoCo Bond is subordinated to debt but prior to equity; thus the bank or financial institution who issued CoCo shall reduce it default probability. Besides, due to its loss absorption mechanism and illiquidity, CoCo Bond shall have higher risk premium compared to corporate bond. This paper follow Longstaff, Mithal, and Neis (2005)'s model to examine the hypothesis mentioned above. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T08:04:24Z (GMT). No. of bitstreams: 1 ntu-103-R01723075-1.pdf: 1005589 bytes, checksum: 2161e84dd2ac1a5581bb5084c9ad516a (MD5) Previous issue date: 2014 | en |
| dc.description.tableofcontents | 中文摘要 i
ABSTRACT ii 目錄 iii 圖目錄 v 表目錄 vi 第一章 緒論 1 第一節 研究背景 1 第二節 研究目的與動機 2 第三節 研究架構 3 第二章 資本適足率監理演進 4 第一節 巴塞爾銀行監理委員會 4 第二節 BASEL I 5 第三節 BASEL II 7 第四節 BASEL III 11 第三章 CoCo Bond及其市場概況 17 第一節 CoCo Bond之特色 17 第二節 CoCo Bond之設計 17 第三節 CoCo Bond市場概況 21 第四章 文獻回顧 26 第五章 研究方法 29 第六章 實證結果 33 第一節 模型參數估計 33 第二節 資料描述 34 第三節 實證結果 35 第四節 討論 41 第七章 結論 42 附錄一 公式推導 43 附錄二 公司代碼 48 參考文獻 49 | |
| dc.language.iso | zh-TW | |
| dc.subject | 應急強迫轉換債 | zh_TW |
| dc.subject | 違約風險溢酬 | zh_TW |
| dc.subject | 資本適足率 | zh_TW |
| dc.subject | 巴塞爾資本協定 | zh_TW |
| dc.subject | Basel III | en |
| dc.subject | Default Premium | en |
| dc.subject | Contingent Convertible Bond | en |
| dc.subject | Capital Adequacy Ratio | en |
| dc.title | 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 | zh_TW |
| dc.title | A Study of Contingent Convertible Bond and Default Premium: The Case of Barclays Bank in 2012 | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 102-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 謝承熹,邱嘉洲 | |
| dc.subject.keyword | 巴塞爾資本協定,資本適足率,應急強迫轉換債,違約風險溢酬, | zh_TW |
| dc.subject.keyword | Basel III,Capital Adequacy Ratio,Contingent Convertible Bond,Default Premium, | en |
| dc.relation.page | 50 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2014-06-30 | |
| 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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