本研究探討美國經濟大蕭條以來的幾次重大金融危機經驗。歷史上曾發生四次重大的金融危機，分別是1929年代的大蕭條、1980美國儲貸危機、1992年北歐金融危機以及1990年至2003年的日本金融危機。歸納其原因，包含匯率不穩、銀行倒閉、外債過高等等。本研究認為從2000年以來的全球低利率環境下金融機構之過度槓桿,金融法規鬆綁與管理階層對風險之判斷錯誤是造成目前金融危機之主要原因。 2007年暴發次級房貸危機之星星之火，經一年後演變成雷曼兄弟破產之金融海嘯，投資人無法得知海嘯何時結束，且因過去高信評之組合式產品所引起之巨大損失，為避免於金融海嘯之信用暴險，金融機構投資人紛紛買入無信用風險之美國國債。然而此項信用保守操作策略卻隱含利率反轉下之市場風險與低資產報酬率，不同於過去之依賴模型，本研究提供其它資產投資策略，來說服高階主管與董事會。利用修正式德菲法，我們找出10種對於選擇國外投資標的之關鍵因素，因應金融危機下之市場風險之投資組合，並利用理想點法，挑選出因應金融危機下信用風險之投資組合。本研究顯示專業金融機構可將修正式德菲法與理想點法之群體決策應用於投資面。 This article offers a review of past financial crises since the Great Depression. There are four important financial crises in history, including the Great Depression of 1929, the Savings and Loan Crisis of 1980s, the Scandinavian Banking Crisis of 1992 and Japan’s Banking Crisis during 1990 - 2003. The causes behind these crises include currency instability, bankruptcy of banks, excessive foreign debts, etc. This article attributes the excessive leverage taken by financial institutions at global low interest environment since 2000; banking deregulation and false assurance of risk taken by the management are the cause of the financial tsunami. The financial crisis continued from sub-prime crisis 2007 and, through contagion effects, has spread globally and became financial tsunami after the failure of Lehman Brothers. No one knows when the financial crisis will end. With the huge loss incurred from the failure of high credit rating structured products, the institutional investors at banking industry chased credit risk free US treasuries to avoid credit risk exposure at financial tsunami. However, this credit conserve strategy exposed the market risk when interest rate reversal and low return on assets at the portfolio. This study provides some portfolio strategies other than models based ones to convince the management and the board. Using the Modified Delphi Method, we identified 10 attributes that are important in choosing overseas investment objectives. For stock portfolio, the study selects an appropriate combination of equalities using the Technique for order preference by similarity to ideal solution method (TOPSIS) to deal with credit risk during the credit crunch in this financial tsunami. This study shows that financial institutions could use Modified Delphi Method and TOPSIS in-group decision in the investment sector.
