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1、张焯然国立清华大学计量财务金融系Stillwatersrundeep.流静水深流静水深,人静心深人静心深Wherethereislife,thereishope。有生命必有希望。有生命必有希望水能載舟, , 亦能覆舟2024/8/321.新金融商品2.金融海嘯 (financial tsunami) 起因3.金融海嘯對台灣的影響2024/8/33OUTLINESOUTLINES1.1 結構債 structured notes1.2 擔保債權憑證 collateralized debt obligation (CDO) 1.3 信用違約交換 credit default swap (CDS)1.
2、4 合成債權抵押證券 synthetic CDO2024/8/341.1. 新金融商品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2024/8/351.11.1 結構債 structured notesstructured notes本金 = A利息 = A * r%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2024/8/361.11.1 結構債 structured note
3、sstructured notes2024/8/371.21.2 擔保債權憑證 collateralized collateralized debt obligation (CDO) debt obligation (CDO) Bond 1Bond 2.Bond nAverage yield=8.5%TrustTranche 1 yield=35%1st 5% of lossTranche 2 yield=15%2nd 10% of lossTranche 3 yield=7.5%3rd 10% of lossTranche 4 yield=6%Residual loss2024/8/381.
4、31.3 信用違約交換 credit default credit default swapswap (CDS)(CDS)Default protection buyerDefault protection seller90 basis points per yearPayment if default by reference entity2024/8/391.41.4 合成債權抵押證券 synthetic CDO synthetic CDOCDS 1CDS 2.CDS nAverage yield=8.5%TrustTranche 1 yield=35%1st 5% of lossTran
5、che 2 yield=15%2nd 10% of lossTranche 3 yield=7.5%3rd 10% of lossTranche 4 yield=6%Residual loss2.1 Lehman Brothers2.2 AIG 2.3 Others (Goldman Sachs, Morgan Stanley, Merrill Lynch) 2024/8/3102.2. 金融海嘯起因15 Sep, 2008 進入 chapter 11次級房貸Collateralized Debt Obligation (CDO)Hedge Fund 避險基金結構債2024/8/3112.1
6、Lehman Brothers2.1 Lehman Brothers2024/8/312Bankruptcy ProcessBankruptcy ProcessReorganize and emergeMerge withanother firmLiquidation83%83%10%10%7%7%FinancialdistressFinancialrestructuringNo financialrestructuring49%49%51%51%Legal bankruptcyChapter 11Privateworkout47%47%53%53%美國政府接管Credit Default S
7、wap (CDS)Synthetic CDO2024/8/3132.2 AIG 2.2 AIG Goldman Sachs 與 Morgan Stanley 由之investment bank 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2024/8/3142.3 Others 2.3 Others 3.1 金融機構3.2 一般投資人2024/8/3153.3. 金融海嘯對台灣的影響銀行 (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2024/8/3163.13.1 金融機構 Balance Sheet Asset Liability (debtholder, bondholder) Equity (shareholder, equityholder) 2024/8/317The Capital Structure QuestionThe Capital Structure Question股票債券定存外匯不動產另類投資2024/8/3183.23.2 一般投資人Q&AQ&A2024/8/319
