傳統間接金融型態係指金融機構以吸收存款、同業拆借、發行可轉讓定存單或金融債券等方法，向資金過剩單位籌措或匯集資金後，再透過徵授信審查程式，以放款等方式提供至資金不足單位，而發揮金融仲介功能；雖說銀行是金融仲介機構，但是另一方面，間接金融機構業者如銀行，其實是資金的買賣斷者，銀行承擔一切的資金風險，銀行實際上是以風險來換取利潤。一旦銀行對風險的管理不當，或資金環境的變化太快，銀行無力應變，便會引發重大的金融問題。與國際大型金融機構相較，台灣金融機構持有之資產中涵蓋多項流動性不足、清償期過長者（特別是佔有台灣金融業者相當大比例的房屋貸款），導致金融機構經營風險升高，而影響金融體系穩定與金融環境發展。觀諸金融先進國家廣為採納之金融資產證券化（asset securitization），或稱組合式金融（structured finance ）等創新作法，係由創始機構對其擁有得產生現金流量（cash flow）之資產進行組群、包裝及重組為單位化、小額化之證券形式，以向投資人銷售之過程，使得創始機構無待於債權資產清償期之屆至，而先行回收資金，並降低持有資產之風險。故透過金融資產證券化之妥善運用，可協助金融機構改善資產負債管理、分散降低資產風險、提高自有資本比率及經營績效，並增加金融機構籌措資金管道等功能，適為我國當前金融發展所需。也就是說，透過金融資產證券化，銀行不再是資金的買賣斷者，不再是以資金風險換取利潤，而是以金融服務換取利潤，真真正正的成為資金仲介者。
金融資產證券化的實行對創始人（原債權資產持有人）而言，除了可以增加資產的流動性、獲利性以及增加經營的彈性外，最主要的是可以降低金融機構的風險，達到「預防勝於治療」的原則。美國近年來金融機構經營趨於穩定，除了各方面的努力外，金融資產證券化之有效施行，防範風險於未然，實功不可沒。
本研究透過銀行實施金融資產證券化後之最適資產分配模型發現：
n 銀行在實施金融資產證券化後，整體市場資金供給具有乘數效果。銀行之整體風險性資產初期會降低，而後增加至原有規模。
n 對資本適足率的影響方面，在實施金融資產證券化初期資本適足率會上升，而後逐漸恢復原有水準。
n 至於對銀行的稅前純益而言，在證券化資產並未因證券化而產生資本利得或損失的假設下，發現銀行實施證券化初期會有利潤下滑的現象，但在逐步推動證券化後，利潤會加速上升。
n 在加入風險的考量後，本研究發現，銀行在實施金融資產證券化後，最適資本分配線（CAL）斜率變陡，代表每一風險可獲得更高的報酬。銀行整體的資產更有效益。
金融資產證券化除了可以改善銀行的資產效益與降低風險外，美國清理信託公司（RTC）將之應用於不良債權的處分亦獲得重大的成就。金融資產證券化不僅可以防範金融機構風險於未然，亦可以有效的處理已經發生的不良債權。至於其成功的關鍵因素，則在資產重組與信用強化兩方面。另外，某些成功的案例引進外部專業合夥人制度，亦值得國內處理不良債權之參考！

In the financial industry , typical indirect-financial institution attracts deposit, inter-bank loan, or issuing negotiable certificate of time deposit and bonds.　After collecting money from excess capital units through auditing procedure then loan to the needed parties as a financial intermediary in the market. The roles of financial institutions such as banks are acting as a financial intermediary by providing buy-sell funding to enterprises or individuals. Those banks actually take whole funding liquidity risk to exchange main resource of bank’s profitability. Once failure in managing risk or facing dynamically financial environment changing, bank may engage in difficulty and cause serious financial crisis. Comparison with large international financial institutions, our financial institutions hold a lot of NPL (Non-Performing Loan; Taiwan major NPL almost came from mortgage), it not only lower the liquidity of fund, longer payment duration but also raise operation risk can’t recover financial assets. The quality of asset has also been worse off rapidly. These phenomena raise financial institution operation risk and influence stability of financial system and development of financial environment. With the financial environment is changing, those developed countries mostly adopted structured finance or financial asset securitization methods. The purpose of financial asset securitization in general is to raise fund for originator. Originator is the most important participant on the securitization process.
The originators pool and reorganize those assets, which could create cash flow into small-amount unit security and sell to the investors. By this way originator don’t have to wait till maturity and buyback those securities. That is why by using financial asset securitization will help financial institution to improve asset/liability management, spread asset risk and increase the ratio of equity to assets. At the same time, this will improve the effect and efficiency of finance institution’s operating and open up the funding market. Mortgage securitization can raise banks’ capital adequacy and current ratio. By way of asset securitization, the originators enjoy higher asset liquidity, lower funding cost, and improved capital ratio; while investors can use mortgage-backed securities to diversity their portfolios, improve liquidity and enhance yields. For originators, securitization is not only lower the cost of capital, increase the net profit but also enhances the liquidity of cash and balances the assets’ structure. Assets-backed securitization has been prevailed in USA for years. It effectively controls the NPL (Non-performing Loans) problem and stabilizes financial management. Through financial asset securitization optimal asset allocation model, this thesis has the following finding:
1. Financial market funding supply shows multiple effects after Banking Financial asset securitization. In the initial stage of securitization, banks will lower risky assets and then will increase to original size.
2. After Financial asset securitization, a capital adequate ratio will rise first then become normal level.
3. Under assumption that financial asset securitization does not create any capital gain or loss; bank will lower profitability at initial stage. Then after a while, profitability will increase dramatically later.
4. After consideration of risk, this research discovers that securitization wills steeper Capital Allocation Line. It means every risk taking will compensate higher return. Improve Banking efficiency and profitability.
Securitization provides a groundbreaking tool to increase profitability and avoid risk. Under MBS structure, the commissions and fees, absolutely out of risk, is major and stable income of the bank. On the other hand, the successful development of USA RTC implement is another contribution to resolve NPL. In sum, financial asset securitization not only accelerates the efficiency of financial institutions for more balance capital markets but also avoids financial risk in the banking system. At present, the prime theme of he banking sector should be how to maintain sound operations by strengthening credit risk management and restructure assets quality. Introducing successful external professional partner system is another way to deal with NPL problems.

目 錄
論文提要------------------------------------------------------------------------------------------ 一
中文摘要------------------------------------------------------------------------------------------ 二
Abstract--------------------------------------------------------------------------------------------- 四
致謝詞---------------------------------------------------------------------------------------------- 七
第一章 緒 論------------------------------------------------------------------ 1
第一節、研究背景與動機----------------------------------------------------------- 1
第二節、研究目的-------------------------------------------------------------------- 5
第三節、研究步驟與流程----------------------------------------------------------- 6
第四節、研究限制-------------------------------------------------------------------- 8
第二章 文獻探討------------------------------------------------------------- 9
第一節、金融資產證券化之制度及經驗之相關文獻探討------------------- 9
第二節、國內相關法規及運作環境之相關文獻探討-------------------------- 13
第三節、金融資產證券之定價模型之相關文獻探討-------------------------- 16
第四節、不良債權之相關文獻探討----------------------------------------------- 22
第三章 金融資產證券化---------------------------------------------------- 26
第一節、基本概念------------------------------------------------------------------- 26
第二節、金融資產證券化之緣起-------------------------------------------------- 30
第三節、金融資產證券化之流程-------------------------------------------------- 39
第四節、金融資產證券化之分類-------------------------------------------------- 54
第五節、金融資產證券化之優缺點分析----------------------------------------- 68
第六節、我國目前之發展進度----------------------------------------------------- 81
第四章 銀行實施金融資產證券化後之最適資產配置-------------- 85
第一節、金融資產證券化的乘數效果------------------------------------------- 87
第二節、金融資產證券化對資本適足率的影響-------------------------------- 91
第三節、銀行最大資產報酬率模型----------------------------------------------- 99
第四節、銀行實施金融資產證券化後之最適資產配置----------------------- 110
第五章 不良債權證券化---------------------------------------------------- 119
第一節、不良債權之定義--------------------------------------------------------------- 125
第二節、銀行不良債權之狀況及現行處理方式---------------------------------- 128
第三節、不良債權證券化之運作架構----------------------------------------------- 134
第四節、1990年RTC 1991-1案例----------------------------------------------------- 144
第五節、1992年RTC 1992-N1A案例------------------------------------------------- 151
第六章 結論與建議---------------------------------------------------------- 158
中文參考文獻
英文參考文獻

中文參考文獻
美國聯邦存款保險公司（Federal Deposit Insurance Corporation）著，中央存款保險公司編譯，美國聯邦存款保險公司與清理信託公司處理金融危機之經驗與啟示（上）（下），（The FDIC and RTC experience---MANAGING THE CRISIS），1999，中央存款保險公司編印。
郭敏華，2000，債信評等，智勝文化事業有限公司。
徐梁心漪，2000，美國聯邦存款保險公司處理問題金融機關相關法規之研究，中央存款保險公司編印。
臧大年、謝勝哲、鄭惠佳，2000，不動產抵押貸款債權證券化，翰蘆圖書出版有限公司。
林大鈞，2000，不動產抵押貸款債權證券化之研究---銀行經理人觀點及其對銀行營運風險之影響，朝陽科技大學財務金融研究所碩士論文。
顏龍男，2001，國內資產管理公司（AMC）設立對不動產市場可能影響之研究，國立中山大學財務管理研究所碩士論文。
林慶賢，2002，台灣不動產抵押貸款債權證券化之研究，淡江大學財務金融研究所碩士論文。
王志誠，2002，金融資產證券化---立法原理與比較法制，五南圖書出版社。
陳文達，李阿乙，廖鹹興，2002，資產證券化---理論與實務，智勝文化出版有限公司

英文參考文獻(Reference)
Frank J. Fabozzi，1993，Fixed Income Mathematics：Analytical & Statistical Techniques，McGraw-Hill, Inc.
Laurence G. Taff，2003，I