治水策略、洪災損失防護與其法制化分析---總計畫暨子計畫：洪災損失之經濟分析與金融防護—使用財務工程方法---洪災風險證券化與金融防護體制之可行性研究(III)

Abstract

近年來全球氣候變遷，導致自然災害不斷發生，影響人類生活甚劇。台灣屬海島型地 理環境，每年皆遭受颱風洪水之侵襲，造成鉅額損失。本研究之目的在研擬洪水災害 損失證券化之方法，以設計洪水災害風險證券，並進一步探討使用金融防護體制，協 助洪災風險之管理，降低政府財政壓力。本研究將使用水利工程之水文分析，結合地 理資訊系統的應用，建立累積超越機率曲線，並以此曲線估計洪水災害損失金額的規 模，利用金融市場風險移轉之功能，設計相關證券，將洪災之風險轉由金融市場投資 人承擔，降低對受災人之財務衝擊。本研究結合水利工程與財務金融之專業知識，考 量洪水災害風險之不確定性，分析洪水災害發生造成之可能損失，以估計洪水災害損 失證券之發行量，協助政府或大眾對洪水災害之管理，並提供金融業對新金融商品設 計的參考，對相關之法規機制，亦一併提出討論。

Global weather changes have caused frequent natural disasters in recent years. As an island nation at west Pacific, Taiwan suffers from typhoon and flooding almost every year, with substantial losses. The purpose of this study is to apply the concept of securitization to transfer the losses of flooding to the investors in the financial market, and explore the potential problems in the related regulation. Using hydraulic method to simulate the flooded area and its potential depth, we establish the exceedance probability curve with historical rainfall distribution, and calculate the expected losses to be securitized. Combining the domain knowledge in hydraulic engineering and financial industry, we analyze the possible losses from flooding under uncertainty. One of the specific river in Taiwan will be used as demonstration for security size with various parameter assumptions. The result of the study should be useful for government and the public to manage the losses caused by flooding, and for financial institutions to design new instruments.