| 摘要(中) |
本文中所介紹的題材, 主要是以實務上曾發生過的交易為參考依據, 資料的來源係收集許多金融機構所承作的國內外案例, 經過篩選後擷取不同的交易型態為探討之依據。
有些金融機構將資產交換當作是有價證券投資, 有些是當授信案件處理; 雖然資產交換是屬於資本市場的交易產品, 但基本上, 其性質就是一種放款結合利率交換與選擇權的交易, 只是其損益的評估與風險較一般的放款或投資業務來得複雜, 同時必須具備有相當程度的專業知識才能對該部位的風險掌握得宜。 也因為如此, 在新巴塞爾資本協定中(Basel II), 對於資產交換相關的交易產品在資本計提方面之要求有特別的規範, 顯示該項產品的重要性是全球公認的。 |
| 摘要(英) |
In the early years, Asset Swaps was a type of Credit Derivatives introduced to Taiwan by foreign financial institutions, at the time Taiwan financial market participants has insufficient know-how of the Credit Derivatives market hence the regulatory sited due to lack of legal binding regulations the door is shut for banks whom wish to conduct trading of such instrument. Later, financial institutions utilize Offshore Banking Unit – OBU, in the organization and traded under the table with foreign institutions, the result was a catastrophe. To sugar coat it, the banks initiated economic diplomacy on the behalf of the government free of charge, but in reality the banks were the loser. This research’s objective is to discuss practical issues concerning Asset Swaps profit and lost analysis and risk management, and enables industry, regulators and academia further understanding of the financial product in question.
The material of this research paper is base on real incident that actually occur in trading scenarios. The source of the information and data were collected from various foreign and local financial institutions that had done the trading. After careful screening and selection, variations of trading samples will be use to compare and contrast.
Some financial institutions sees Asset Swaps as a marketable securities investment, others utilize it as a loan or lending instrument. Although Asset Swaps belong to one of capital market transactions, but in principal, its characteristics consist a loan plus interest rate swap and option. The difference is the profit and lost analysis and risk is extra sophisticated than a loan or investment, at the same time one must posses substantial professional knowledge to manage the position and risk. The new Basel Accord (Basel II) stipulates that Asset Swaps related instruments in capital requirement or charge has specific terms and condition. This is evident that this product’s imperativeness is globally recognized. |
| 參考文獻 |
參考文獻
英文部份:
1.Bob Steiner ,“Key Market Concepts”- Assets Swap & Liability Swap
pp: 128-135, “Risk Management” pp: 209-224,First published in Great
Britain in 2001。
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EPIGON (Training & Development) Company, (1999)。
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(2002) 。
8.Anthony Saunders, Marcia Millon Cornett, “Financial Institutions
Management” , Chapter 26 : Swap , pp: 690-711 , Fourth Edition , (2003) 。
中文部份:
1. 謝劍平著, 民國92年, 固定收益證券投資與創新, 智勝文化出版。
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專文推薦: 證期會主委丁克華, 證券公會理事長簡鴻文 ,日盛金控董事長陳國和。
4. 周大慶 沈大白 張大成 敬永康 柯瓊鳳合著, 民國91年, 風險管理新標竿-風險值理論
應用 , 107至118頁: 權益證券類金融商品 固定收益類金融商品 , 125至128頁: 現金流
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因應 Basel II 須以大量國內實證研究為基礎 , 43至54頁: 風險值在投資組合上的應
用, 數位財經公司與台灣經濟新報社合作出版。
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貨市場發展基金會出版。
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10.民國92年9月,大華證券股份有限公司網站: 可轉換公司債與資產交換說明資料。
11.民國92年9月,證券櫃檯月刊第87期 第37至46頁-如何提升公司債次級市場之效率(中) 。
12.民國92年10月15日,經濟日報社論, 銀行大買可轉債應該重視但不必恐慌。
13.民國92年10月13日, 經濟日報第17版, ECB債權列銀行授信設限。 |
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