| dc.contributor.advisor | 張士傑 | zh_TW |
| dc.contributor.author (作者) | 鄭潔霙 | zh_TW |
| dc.contributor.author (作者) | Cheng, Chieh-ying | en_US |
| dc.creator (作者) | 鄭潔霙 | zh_TW |
| dc.creator (作者) | Cheng, Chieh-ying | en_US |
| dc.date (日期) | 2005 | en_US |
| dc.date.accessioned | 18-九月-2009 20:20:31 (UTC+8) | - |
| dc.date.available | 18-九月-2009 20:20:31 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-九月-2009 20:20:31 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0933580181 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36973 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 風險管理與保險研究所 | zh_TW |
| dc.description (描述) | 93358018 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (摘要) | 本研究基於資本效益之概念，探討金融控股公司合理之資本配置，並以2002年第4季至2005年第2季間富邦金融控股公司之財務資訊進行實證分析。首先，本研究應用Margrabe (1978)互換選擇權評價模式，計算金融控股公司經營所隱含違約風險之賣權價值。其次，利用Myers and Read (2001)邊際違約價值相等之原則，將資本分配至旗下各子公司。實證結果歸納如下：1.各子公司所需配置之邊際資本大小依序為台北富邦銀行、富邦人壽、富邦證券、富邦產險。即邊際資本越大，子公司每承擔1單位負債需要配置更多之資本。2.富邦產險、富邦人壽與富邦證券實際資本均遠高於理論配置之資本，台北富邦銀行實際資本則低於理論資本。在給定固定門檻利率下，各子公司資金成本大小依序為台北富邦銀行、富邦人壽、富邦證券、富邦產險。 本研究結果顯示，富邦產物保險公司以減資方式，將過剩之資本退還富邦金融控股母公司，與Myers and Read (2001)邊際違約價值相等之資本配置原則相符。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論..................................1第一節 研究背景與動機.........................1第二節 資本配置與風險管理之關係................4第三節 研究目的..............................6第二章 文獻探討..............................8第三章 資本配置模型..........................12第一節 違約價值.............................12第二節 邊際違約價值.........................15第三節 子公司之違約價值與資本需求.............18第四章 研究方法.............................21第一節 研究模型.............................21第二節 研究步驟.............................22第三節 研究樣本與期間........................24第五章 實證分析.............................26第一節 富邦金融控股公司主要子公司之分析........26第一項 富邦產險.............................26第二項 富邦人壽.............................28第三項 台北富邦銀行.........................30第四項 富邦證券.............................32第二節 富邦金融控股公司及其子公司之違約值計算..34第三節 應用資本配置模型之結果................37第一項 各子公司之邊際資本額..................37第二項 資本配置之結果.......................38第三項 實證結果整理.........................39第六章 結論................................41參考文獻....................................43 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0933580181 | en_US |
| dc.subject (關鍵詞) | 資本效益 | zh_TW |
| dc.subject (關鍵詞) | 資本配置 | zh_TW |
| dc.subject (關鍵詞) | 違約風險 | zh_TW |
| dc.subject (關鍵詞) | 賣權價值 | zh_TW |
| dc.subject (關鍵詞) | 資金成本 | zh_TW |
| dc.title (題名) | 金融控股公司資本配置之實證研究-以富邦金融控股公司為例 | zh_TW |
| dc.type (資料類型) | thesis | en |
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