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---氣候型衍生性金融商品設計---台灣雨量選擇權(II)

Abstract

近年來全球氣候之變遷，導致颱風洪水等巨大災害，影響人類生活甚劇，台灣是海島 型的國家，每年皆遭受颱風洪水之侵襲，在防洪工程措施之減災成效已達極致下，乃 將防洪之觀念由「洪水控制」轉移至「洪災管理」，討論以非工程性措施減災之可行性， 這些涉及到經濟、法律、金融、水利等跨領域之研究。本計畫為整合性計畫「治水策 略、洪災損失防護與其法制化分析」之子計畫三：「洪災損失之經濟分析與金融防護- 使用財務工程方法」，計畫為期三年，第一年主要探討各項防洪工程措施與非工程措施 之經濟分析，尤其著重非工程措施與無形之效益；第二年研究使用金融證券為防災減 災之工具，以轉移洪災風險與損失，設計可用以避險之台灣雨量選擇權，並發展其評 價模型；第三年進一步探索洪災之金融防護體制，採用證券化之財務工程技術，將洪 災風險透過金融市場，由具有承擔風險能力之投資人承擔，希冀達到防災、減災之目 的，降低洪災造成之財產損失，減輕政府之財政負擔。研究之結果除與子計畫四與子 計畫二相互參考外，並供給子計畫一在防洪綜合策略做比較，研究結果並將探討在法 規層面之意義，以便實務上可行性之參考。

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. Since the engineering approach has reached its limit, the other alternatives are frequently discussed. These solutions are usually related to economics, finance, legal consideration as well as hydraulic engineering system. This project, which is part 3 of the integrated project “Flood Damage Analysis and Flood Control Management with Regulation Feasibility Study”, aims to apply the financial engineering techniques for economic analysis and risk management on flood damages. In the first year, the cost and benefit analysis is applied in various flood control procedures. In the second year, risk transfer concept is used to manage the possible losses from flood damages. Rainfall options useful in Taiwan are designed for hedging, and its value is simulated. Securitization to transfer the losses of flooding to the investors in the financial market is considered in the third year. Using hydraulic method to simulate the flooded area and its potential depth, with historical rainfall distribution, we calculate the expected losses to be securitized. The results of this study are useful for financial institutions to design new instruments and for government and the public to manage the losses caused by flooding.