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新金融商品與金融海嘯

新金融商品與金融海嘯. 張焯然 國立清華大學計量財務金融系. 水能載舟 , 亦能覆舟. OUTLINES. 新金融商品 金融海嘯 (financial tsunami) 起因 金融海嘯對台灣的影響. 1. 新金融商品. 1.1 結構債 structured notes 1.2 擔保債權憑證 collateralized debt obligation (CDO) 1.3 信用違約交換 credit default swap (CDS) 1.4 合成債權抵押證券 synthetic CDO. 1.1 結構債 structured notes.

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新金融商品與金融海嘯

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  1. 新金融商品與金融海嘯 張焯然 國立清華大學計量財務金融系

  2. 水能載舟, 亦能覆舟

  3. OUTLINES • 新金融商品 • 金融海嘯 (financial tsunami) 起因 • 金融海嘯對台灣的影響

  4. 1. 新金融商品 1.1 結構債 structured notes 1.2 擔保債權憑證collateralized debt obligation (CDO) 1.3 信用違約交換credit default swap(CDS) 1.4 合成債權抵押證券synthetic CDO

  5. 1.1 結構債 structured notes • 結構型商品又稱為合成證券 (synthetic securities) • 債券可以拆解為利息與本金部分 利息 =A * r% 本金 = A

  6. 1.1 結構債 structured notes • 可轉換公司債 (convertible bonds), 黃金連動債券 (gold-linked bonds), 棉花連動債券 (cotton-linked bonds) • 風險: 連動商品價格風險, 交易對手風險

  7. 1.2 擔保債權憑證 collateralized debt obligation (CDO) Tranche 1 yield=35% 1st 5% of loss Bond 1 Bond 2 . . Bond n Average yield=8.5% Tranche 2 yield=15% 2nd 10% of loss Trust Tranche 3 yield=7.5% 3rd 10% of loss Tranche 4 yield=6% Residual loss

  8. 1.3 信用違約交換 credit default swap(CDS) 90 basis points per year Default protection buyer Default protection seller Payment if default by reference entity

  9. 1.4 合成債權抵押證券 synthetic CDO Tranche 1 yield=35% 1st 5% of loss CDS 1 CDS 2 . . CDS n Average yield=8.5% Tranche 2 yield=15% 2nd 10% of loss Trust Tranche 3 yield=7.5% 3rd 10% of loss Tranche 4 yield=6% Residual loss

  10. 2. 金融海嘯起因 2.1 Lehman Brothers 2.2 AIG 2.3 Others (Goldman Sachs, Morgan Stanley, Merrill Lynch…)

  11. 2.1 Lehman Brothers • 15 Sep, 2008 進入 chapter 11 • 次級房貸 • Collateralized Debt Obligation (CDO) • Hedge Fund 避險基金 • 結構債

  12. No financialrestructuring 49% Privateworkout 47% 51% Financialrestructuring Reorganize and emerge 83% 53% Merge withanother firm Legal bankruptcyChapter 11 7% 10% Liquidation Bankruptcy Process Financialdistress

  13. 2.2 AIG • 美國政府接管 • Credit Default Swap (CDS) • Synthetic CDO

  14. 2.3 Others • Goldman Sachs 與Morgan Stanley 由之investmentbank 轉型為 commercial bank, • Merrill Lynch 被 Bank of America 併購 • 冰島國家破產 • 歐洲銀行 Fortis 被歐洲各國政府接管

  15. 3. 金融海嘯對台灣的影響 3.1 金融機構 3.2 一般投資人

  16. 3.1 金融機構 • 銀行 (自己, 客戶) • 保險公司 (自己, 客戶) • 券商 (投信, 投顧, 經紀, …) • 國內投資 (股票, 基金, 公司債), • 國外投資 (CDO, 結構債, 基金) • 34 號公報的影響

  17. The Capital Structure Question Balance Sheet Asset Liability (debtholder, bondholder) Equity (shareholder, equityholder)

  18. 3.2 一般投資人 • 股票 • 債券 • 定存 • 外匯 • 不動產 • 另類投資

  19. Q&A

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