金控公司在次貸風暴發生後之風險變化：兼論投資結構化商品的影響

Abstract

美國次級房貸風暴所引發的全球性金融問題，至今仍發人深省。各界相信由於國際化與衍生性金融商品使得國與國之間、公司與公司之間關係密不可分，造成金融市場環境與風險結構的改變。各種風險糾結會產生巨大的系統性風險，因此風險的管理不該再侷限於單一面向。政府、金融機構、投資人等面對這樣的變革，該如何重新了解風險是重要的議題。本研究將探討各風險因子與系統性風險的關聯與次貸風暴發生前後此關聯的變化，結果指出，有部分的風險因子在次貸風暴發生過後對系統性風險的催化程度減少。另外，本研究亦將探討認列較多結構化商品損失的金控公司，其風險結構是否異於其他公司。

The subprime mortgage crisis in the United States has raised a lot of global financial problems. Internationalization and the inventions of derivatives have tightened the relations between nations and between companies. This entanglement has changed the financial environments and the risk structures. Various risks will be complicatedly integrated into the uncontrollable systematic risk. Hence, the management of risks should not be considered in each aspect independently. It thus becomes important issues to reunderstand the risks for governments, financial institutes, and investors. In this thesis, the relationships between various risk factors and the systematic risk will first be investigated. Moreover, the variations of these relationships after the subprime mortgage crisis will be discussed. It is found that the dependence of the systematic risk on some risk factors decreases. In addition, we will discuss whether the holding companies with more losses on structured investment vehicles and collateralized debt obligations will have different risk structures or not.