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題名 金融控股公司之資本配置與績效評估-以國泰金融控股公司為例
Capital Allocation and Performance Analysis in Financial Holding Company: Empirical Study of Cathay Financial Holdings
作者 黃馨眉
貢獻者 張士傑
黃馨眉
關鍵詞 資本配置
違約價值
資金成本
資本報酬
capital allocation
default value
capital cost
capital return
日期 2012
上傳時間 11-Jul-2013 16:58:40 (UTC+8)
摘要 伴隨著台灣的金融整併，產生資本龐大的金融控股公司，為追求資本的效率，資本配置的重要性隨之提升。此研究將資本配置之方法，應用於國泰金融控股公司，檢視其資本分配的狀態。首先使用Margrabe(1978)提出的交換選擇權計價模型來計算金融控股公司的違約價值，並引用Myers and Read(2001)之方法，利用各子公司邊際違約價值應相等的概念，將金融控股公司的資本分配給各子公司。結果顯示，人壽子公司相較於其他子公司而言，最需要資本來支撐其風險。此外計算各子公司之資金成本與資本報酬做比較，結果顯示銀行資金成本低於資本報酬，為獲利最佳子公司，而人壽資金成本高於資本報酬，反映其面臨風險較多，相較其他子公司而言，需要更多資源作為風險的緩衝。
Since Taiwan`s financial consolidation, many financial holding companies possess huge capital. For pursuing the capital efficiency, capital allocation becomes much more important than before. The study applys the capital allocation method on the Cathay Financial Holdings to inspects its capital allocation situation. We first use the exchange option pricing model, which was proposed by Margrabe(1978), to compute the default value of the financial holding company. And then we use the Myers and Read(2001) capital allocation method, allocating capital by the concept that all the subsidiaries should have the same marginal default value. The result shows that, comparing with other subsidiaries, the life insurance subsidiary has much more demand for capital. In addition, comparing the capital return and capital cost, we know that the bank subsidiary is the most profitable subsidiary. And the life insurance subsidiary have higher capital cost than capital return, reflecting the fact that it need more capital to be the buffer of the risk it have.
參考文獻 1. Cummins, J. David, 2000, Allocation of Capital in the Insurance Industry, Risk Management and Insurance Review 3(1): 7-27.
2. Cummins, J. David, and Phillips, Richard D., 2005, Estimating the Cost of Equity Capital for Property-Liability Insurers, Journal of Risk and Insurance, 72(3): 441-478.
3. Cummins, J. David, Scott E. Harrington, and Greg Niehaus,1993, An Economic Overview of Risk-Based Capital Requirement in the Property-Liability Insurance Industry, Journal of Insurance Regulation, 11:427-447.
4. Ehrhardt, M. C. and Y. N. Bhagwat, 1991, A full-information approach for estimating divisional betas, Financial Management 20: 60-69.
5. Fama, Eugene F. and Kenneth R. French, 1992, The Cross-Section of Expected Stock Returns on Stocks and Bonds, Journal of Financial Economics, 25: 23-49.
6. Fuller, R. J. and Kerr H. S., 1981, Estimating the divisional cost of capital: An analysus of the pure play technique, Journal of Finance 36: 997-1009.
7. Lintner, John, 1965, The Valuation of Risk Asset and the Selection of Risky Investment in Stock Portfolios and Capital Budgets, Review of Economics and Statistics, 47(1):13-37.
8. Merton, R., and Perold, A., 1993, Theory of Risk Capital in Financial Firms, Journal of Applied Corporate Finance 6:16-32.
9. Myers, S. C. and Read, J. A., 2001, Capital Allocation for Insurance Company, Journal of Risk and Insurance 68(4): 545-80.
10. Margrabe, W. 1978, The Value of an Option to Exchange One Asset for Another, Journal of Finance 33(1): 177-86
11. Sharpe, William F., 1964, Capital Asset Prices: A Theory of Market Equillibrium under Conditions of Risk, Journal of Finance, 19(3):425-442.
12. Venter Gary., 2004, Capital Allocation Survey with Commentary, North American Actuarial Journal 8(2): 96-107.
13. 李儀坤(2003)，「金融控股大未來」，大樹林出版社。
14. 林維義(2004)，金融預警制度與金融控股公司之風險管理（下)，金融風險管理季刊。
15. 鄭潔霙(2006)，「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」，國立政治大學風險管理與保險學系碩士論文。
16. 胡涵棻(2007)，「金融控股公司之資本配置與績效評估」，國立政治大學風險管理與保險學系碩士論文。
17. 王美晴(2007)，「金控公司下金融業之權益資金成本」，國立中正大學財務金融研究所碩士論文。
18. 蔡永順、吳榮振(2007)，⌜金融整併與金融不穩定:台灣金融控股公司為例⌟，金融風險管理季刊。
19. 張孝銓(2008)，「台灣產物保險業之資金成本與費率自由化」，國立政治大學風險管理與保險學系碩士論文。
20. 黃昭元、蔡茂寅、陳忠五、林鈺雄(2011)，⌜綜合法典⌟，新學林出版股份有限公司
21. 劉紹樑(2012)，「金融脈動」，金融研訓院。
描述 碩士
國立政治大學
風險管理與保險研究所
100358024
101
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0100358024
資料類型 thesis
dc.contributor.advisor 張士傑zh_TW
dc.contributor.author (Authors) 黃馨眉zh_TW
dc.creator (作者) 黃馨眉zh_TW
dc.date (日期) 2012en_US
dc.date.accessioned 11-Jul-2013 16:58:40 (UTC+8)-
dc.date.available 11-Jul-2013 16:58:40 (UTC+8)-
dc.date.issued (上傳時間) 11-Jul-2013 16:58:40 (UTC+8)-
dc.identifier (Other Identifiers) G0100358024en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58807-
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) 100358024zh_TW
dc.description (描述) 101zh_TW
dc.description.abstract (摘要) 伴隨著台灣的金融整併，產生資本龐大的金融控股公司，為追求資本的效率，資本配置的重要性隨之提升。此研究將資本配置之方法，應用於國泰金融控股公司，檢視其資本分配的狀態。首先使用Margrabe(1978)提出的交換選擇權計價模型來計算金融控股公司的違約價值，並引用Myers and Read(2001)之方法，利用各子公司邊際違約價值應相等的概念，將金融控股公司的資本分配給各子公司。結果顯示，人壽子公司相較於其他子公司而言，最需要資本來支撐其風險。此外計算各子公司之資金成本與資本報酬做比較，結果顯示銀行資金成本低於資本報酬，為獲利最佳子公司，而人壽資金成本高於資本報酬，反映其面臨風險較多，相較其他子公司而言，需要更多資源作為風險的緩衝。zh_TW
dc.description.abstract (摘要) Since Taiwan`s financial consolidation, many financial holding companies possess huge capital. For pursuing the capital efficiency, capital allocation becomes much more important than before. The study applys the capital allocation method on the Cathay Financial Holdings to inspects its capital allocation situation. We first use the exchange option pricing model, which was proposed by Margrabe(1978), to compute the default value of the financial holding company. And then we use the Myers and Read(2001) capital allocation method, allocating capital by the concept that all the subsidiaries should have the same marginal default value. The result shows that, comparing with other subsidiaries, the life insurance subsidiary has much more demand for capital. In addition, comparing the capital return and capital cost, we know that the bank subsidiary is the most profitable subsidiary. And the life insurance subsidiary have higher capital cost than capital return, reflecting the fact that it need more capital to be the buffer of the risk it have.en_US
dc.description.tableofcontents 第一章 緒論 3
第一節 研究背景 3
第二節 研究動機與目的 7
第三節 文章架構 9
第二章 文獻回顧 12
第一節 資本配置文獻回顧 12
第二節 績效評估與資金成本 15
第三章 研究方法 18
第一節 資本配置 18
第二節 績效評估 29
第三節 研究流程 32
第四章 實證分析 33
第一節 分析對象與取樣期間 33
第二節 金融控股公司之資本配置 34
第三節 績效評估 39
第四節 實證結果 46
第五章 結論與建議 48
參考文獻 50		zh_TW
dc.format.extent 872849 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0100358024en_US
dc.subject (關鍵詞) 資本配置zh_TW
dc.subject (關鍵詞) 違約價值zh_TW
dc.subject (關鍵詞) 資金成本zh_TW
dc.subject (關鍵詞) 資本報酬zh_TW
dc.subject (關鍵詞) capital allocationen_US
dc.subject (關鍵詞) default valueen_US
dc.subject (關鍵詞) capital costen_US
dc.subject (關鍵詞) capital returnen_US
dc.title (題名) 金融控股公司之資本配置與績效評估-以國泰金融控股公司為例zh_TW
dc.title (題名) Capital Allocation and Performance Analysis in Financial Holding Company: Empirical Study of Cathay Financial Holdingsen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 1. Cummins, J. David, 2000, Allocation of Capital in the Insurance Industry, Risk Management and Insurance Review 3(1): 7-27.
2. Cummins, J. David, and Phillips, Richard D., 2005, Estimating the Cost of Equity Capital for Property-Liability Insurers, Journal of Risk and Insurance, 72(3): 441-478.
3. Cummins, J. David, Scott E. Harrington, and Greg Niehaus,1993, An Economic Overview of Risk-Based Capital Requirement in the Property-Liability Insurance Industry, Journal of Insurance Regulation, 11:427-447.
4. Ehrhardt, M. C. and Y. N. Bhagwat, 1991, A full-information approach for estimating divisional betas, Financial Management 20: 60-69.
5. Fama, Eugene F. and Kenneth R. French, 1992, The Cross-Section of Expected Stock Returns on Stocks and Bonds, Journal of Financial Economics, 25: 23-49.
6. Fuller, R. J. and Kerr H. S., 1981, Estimating the divisional cost of capital: An analysus of the pure play technique, Journal of Finance 36: 997-1009.
7. Lintner, John, 1965, The Valuation of Risk Asset and the Selection of Risky Investment in Stock Portfolios and Capital Budgets, Review of Economics and Statistics, 47(1):13-37.
8. Merton, R., and Perold, A., 1993, Theory of Risk Capital in Financial Firms, Journal of Applied Corporate Finance 6:16-32.
9. Myers, S. C. and Read, J. A., 2001, Capital Allocation for Insurance Company, Journal of Risk and Insurance 68(4): 545-80.
10. Margrabe, W. 1978, The Value of an Option to Exchange One Asset for Another, Journal of Finance 33(1): 177-86
11. Sharpe, William F., 1964, Capital Asset Prices: A Theory of Market Equillibrium under Conditions of Risk, Journal of Finance, 19(3):425-442.
12. Venter Gary., 2004, Capital Allocation Survey with Commentary, North American Actuarial Journal 8(2): 96-107.
13. 李儀坤(2003)，「金融控股大未來」，大樹林出版社。
14. 林維義(2004)，金融預警制度與金融控股公司之風險管理（下)，金融風險管理季刊。
15. 鄭潔霙(2006)，「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」，國立政治大學風險管理與保險學系碩士論文。
16. 胡涵棻(2007)，「金融控股公司之資本配置與績效評估」，國立政治大學風險管理與保險學系碩士論文。
17. 王美晴(2007)，「金控公司下金融業之權益資金成本」，國立中正大學財務金融研究所碩士論文。
18. 蔡永順、吳榮振(2007)，⌜金融整併與金融不穩定:台灣金融控股公司為例⌟，金融風險管理季刊。
19. 張孝銓(2008)，「台灣產物保險業之資金成本與費率自由化」，國立政治大學風險管理與保險學系碩士論文。
20. 黃昭元、蔡茂寅、陳忠五、林鈺雄(2011)，⌜綜合法典⌟，新學林出版股份有限公司
21. 劉紹樑(2012)，「金融脈動」，金融研訓院。		zh_TW