| 摘要: | 商業銀行是高度槓桿操作的行業，若以法定資本適足率8%計算，銀行每1 元自有資金，可以從事12.5 元的授信或投資，意涵其餘11.5 元來自其它資金來源。根據統計資料，整體本國銀行的總存款佔總負債的82%，總放款佔總資產的60%，因此，無論是存款人或借款人的資金，皆與往來銀行的流動性有高度關聯性。金融海嘯見證了流動性風險會從不同面向(管道)影響銀行的穩健性，歐美許多體質不錯的銀行亦難倖免於外，無預警地造成存款人或借款人的權益受到損害。這也使得近期一系列關於流動性風險管理的國際規範先後公佈，各國銀行及監理機關全面配合自不在話下，尤其巴塞爾協定三訂定了流動性衡量指標與監理技術的全球標準，同時亦在流動性管理原則中強調資訊揭露的重要性，其最終目的即在保護利害關係人的權益。有鑑於此，業者在導入這些規範的同時，亦當思考如何完整揭露相關指標，使利害關係人能夠清楚明瞭往來銀行的流動性強度。本文以國際的流動性規範為主軸，依次探討流動性風險管理的發展、衡量方法、監理技術，以及流動性風險助長金融海嘯、流動性管理漸趨困難的原因等，並據以架構商業銀行資金流動性穩健指標。透過穩健指標的建立，利害關係人可以獲得充分且完整的資訊，也可以讓銀行有更加健全的經營體質，不易受到流動性風險之影響。Commercial banking is a highly leveraged industry. The statutory capital adequacy ratio isset to 8%, that is, a bank is allowed to have 12.5 dollar invested or lent for every dollar it owns,which means the other 11.5 dollars would have to be funded by other means. The statistics showthat the total deposits saved in domestic banks amount to 82% of their total liabilities. Meanwhile,60% of their total assets are loans. Accordingly, those funds are highly correlated to the liquidityof banks whether they are from the depositors or from the borrowers.Liquidity risk affects the stability of banks from different aspects and in various ways, asalready witnessed by the recent financial crisis. From Europe to North America, even those banksconsidered financially healthy were not exempt from it, and their depositors and borrowers wereexposed without warning. This event triggered a series of international regulations on liquidityrisk management and they are welcomed by banks and supervisory authorities across nations.Basel III, in particular, has set out a global standard for measuring and monitoring liquidity,emphasizing the importance of information disclosure as a principle of liquidity management.The purpose of which, ultimately, is to better protect the stakeholders. In the light of thisdevelopment, the implementation of these regulatory requirements needs to take intoconsideration the comprehensive disclosure of relevant indicators, and, as a result, stakeholdersare better informed regarding the liquidity of their banks.The main theme of this thesis is the international framework for liquidity risk management.The development of managing, measuring, and supervising liquidity risk will be discussed. Itdocuments how the 2008-2009 financial crisis was fuelled by liquidity risk and the causes ofincreasing difficulty in its management. The effort is to establish a set of stable funding liquidityindicators, by which the stakeholders are fully and sufficiently informed about bank liquidity.Furthermore, the use of liquidity indicators can improve the operation structure of banks makingthem less vulnerable to liquidity risk. |
