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題名 金融控股公司下資產負債表之資本配置實證分析
Capital Allocation in Total Balance Sheet Management for Financial Conglomerates: An Empirical Study
作者 蕭瑋翔
貢獻者 張士傑
蕭瑋翔
關鍵詞 金融控股公司
資本配置
經濟資本
違約選擇權
經濟附加價值
日期 2012
上傳時間 2-Sep-2013 16:06:38 (UTC+8)
摘要 由於保險產業有各種不同之保險業務與金融控股公司架構由不同金融機構(銀行、壽險、產險、證券)所構成的觀念一樣，本研究採用Margrabe(1978)之交換選擇權方式，計算控股公司經營所隱含的違約風險之賣權價值，再利用Myers and Read(2001)之邊際價值相等原則，探討金融控股公司下各子公司之資本配置，並以兩家金融控股公司富邦金與國泰金為研究對象，比較兩家金控實際資本與理論資本之差異，在2011年富邦金將富邦產險透過減資方式，將過剩的資本上繳金控，對正在成長之富邦人壽增資，與Myers and Read(2001)之邊際價值相等之資本配置相符，並應用此結果討論資本配置前後對金控價值的影響。
參考文獻 英文部分
Altman, E. I. (1984), "A Further Empirical Investigation of the Bankruptcy Cost Question," The Journal of Finance, 39, 1067-1089.

Butsic, R. P. (1999), "Capital Allocation for Property-Liability Insurers: A Catastrophe Reinsurance Application," in Casualty Actuarial Society Forum, pp. 1-70.

Cox, L. A., and Griepentrog, G. L. (1988), "The Pure-Play Cost of Equity for Insurance Divisions," Journal of Risk and Insurance, 442-452.

Cummins, J. D. (1988), "Risk‐Based Premiums for Insurance Guaranty Funds," The Journal of Finance, 43, 823-839.

Cummins, J. D., and Phillips, R. D. (2005), "Estimating the Cost of Equity Capital for Property‐Liability Insurers," Journal of Risk and Insurance, 72, 441-478.

David Cummins, J., and Sommer, D. W. (1996), "Capital and Risk in Property-Liability Insurance Markets," Journal of Banking & Finance, 20, 1069-1092.

Ehrhardt, M. C., and Bhagwat, Y. N. (1991), "A Full-Information Approach for Estimating Divisional Betas," Financial Management, 60-69.

Fuller, R. J., and Kerr, H. S. (1981), "Estimating the Divisional Cost of Capital: An Analysis of the Pure‐Play Technique," The Journal of Finance, 36, 997-1009.

Jensen, M. C., and Meckling, W. H. (1976), "Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure," Journal of financial economics, 3, 305-360.

Margrabe, W. (1978), "The Value of an Option to Exchange One Asset for Another," The Journal of Finance, 33, 177-186.

Matten, C., and Warburg, S. (2000), Managing Bank Capital: Capital Allocation and Performance Measurement, Wiley.

Merton, R. C., and Perold, A. (1993), "Theory of Risk Capital in Financial Firms," Journal of Applied Corporate Finance, 6, 16-32.

Myers, S. C., and Read Jr, J. A. (2001), "Capital Allocation for Insurance Companies," Journal of Risk and Insurance, 545-580.

Nakada, P., Shah, H., Koyluoglu, H. U., and Collignon, O. (1999), "P&C Raroc: A Catalyst for Improved Capital Management in the Property and Casualty Insurance Industry," Journal of Risk Finance, The, 1, 52-69.

Phillips, R. D., Cummins, J. D., and Allen, F. (1998), "Financial Pricing of Insurance in the Multiple-Line Insurance Company," Journal of Risk and Insurance, 597-636.

Rappaport, A. (1986), Creating Shareholder Value: The New Standard for Business Performance (Vol. 22), Free press New York.

Saita, F. (1999), "Allocation of Risk Capital in Financial Institutions," Financial Management, 95-111.

Scott Jr, J. H. (1976), "A Theory of Optimal Capital Structure," The Bell Journal of Economics, 33-54.


中文部分
沈中華(2012)，金融機構管理，新陸書局
吳啟銘(2010)，企業評價：個案實證分析，智勝文化
描述 碩士
國立政治大學
風險管理與保險研究所
100358022
101
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0100358022
資料類型 thesis
dc.contributor.advisor 張士傑zh_TW
dc.contributor.author (Authors) 蕭瑋翔zh_TW
dc.creator (作者) 蕭瑋翔zh_TW
dc.date (日期) 2012en_US
dc.date.accessioned 2-Sep-2013 16:06:38 (UTC+8)-
dc.date.available 2-Sep-2013 16:06:38 (UTC+8)-
dc.date.issued (上傳時間) 2-Sep-2013 16:06:38 (UTC+8)-
dc.identifier (Other Identifiers) G0100358022en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/59320-
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) 100358022zh_TW
dc.description (描述) 101zh_TW
dc.description.abstract (摘要) 由於保險產業有各種不同之保險業務與金融控股公司架構由不同金融機構(銀行、壽險、產險、證券)所構成的觀念一樣，本研究採用Margrabe(1978)之交換選擇權方式，計算控股公司經營所隱含的違約風險之賣權價值，再利用Myers and Read(2001)之邊際價值相等原則，探討金融控股公司下各子公司之資本配置，並以兩家金融控股公司富邦金與國泰金為研究對象，比較兩家金控實際資本與理論資本之差異，在2011年富邦金將富邦產險透過減資方式，將過剩的資本上繳金控，對正在成長之富邦人壽增資，與Myers and Read(2001)之邊際價值相等之資本配置相符，並應用此結果討論資本配置前後對金控價值的影響。zh_TW
dc.description.tableofcontents 第一章 緒論 1
第一節 前言 1
第二節 風險管理與資本配置 5
第三節 研究動機與目的 9
第二章 文獻回顧 13
第一節 資金成本與資本配置 13
第二節 違約價值與資本配置 14
第三章 資本配置模型 16
第一節 違約價值 16
第二節 邊際違約價值 18
第三節 資本配置模型 20
第四章 研究方法 23
第一節 研究模型 24
第二節 評價方法 26
第五章 實證分析 29
第一節 研究樣本與期間 29
第二節 估計金融控股公司旗下各金融產業子公司之權益資金成本 30
第三節 金融控股公司資本配置結果 32
第四節 應用資本配置模型的結果 34
第五節 實證結果的分析 36
第六章 結論 41
參考文獻 42		zh_TW
dc.format.extent 1271531 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/#G0100358022en_US
dc.subject (關鍵詞) 金融控股公司zh_TW
dc.subject (關鍵詞) 資本配置zh_TW
dc.subject (關鍵詞) 經濟資本zh_TW
dc.subject (關鍵詞) 違約選擇權zh_TW
dc.subject (關鍵詞) 經濟附加價值zh_TW
dc.title (題名) 金融控股公司下資產負債表之資本配置實證分析zh_TW
dc.title (題名) Capital Allocation in Total Balance Sheet Management for Financial Conglomerates: An Empirical Studyen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 英文部分
Altman, E. I. (1984), "A Further Empirical Investigation of the Bankruptcy Cost Question," The Journal of Finance, 39, 1067-1089.

Butsic, R. P. (1999), "Capital Allocation for Property-Liability Insurers: A Catastrophe Reinsurance Application," in Casualty Actuarial Society Forum, pp. 1-70.

Cox, L. A., and Griepentrog, G. L. (1988), "The Pure-Play Cost of Equity for Insurance Divisions," Journal of Risk and Insurance, 442-452.

Cummins, J. D. (1988), "Risk‐Based Premiums for Insurance Guaranty Funds," The Journal of Finance, 43, 823-839.

Cummins, J. D., and Phillips, R. D. (2005), "Estimating the Cost of Equity Capital for Property‐Liability Insurers," Journal of Risk and Insurance, 72, 441-478.

David Cummins, J., and Sommer, D. W. (1996), "Capital and Risk in Property-Liability Insurance Markets," Journal of Banking & Finance, 20, 1069-1092.

Ehrhardt, M. C., and Bhagwat, Y. N. (1991), "A Full-Information Approach for Estimating Divisional Betas," Financial Management, 60-69.

Fuller, R. J., and Kerr, H. S. (1981), "Estimating the Divisional Cost of Capital: An Analysis of the Pure‐Play Technique," The Journal of Finance, 36, 997-1009.

Jensen, M. C., and Meckling, W. H. (1976), "Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure," Journal of financial economics, 3, 305-360.

Margrabe, W. (1978), "The Value of an Option to Exchange One Asset for Another," The Journal of Finance, 33, 177-186.

Matten, C., and Warburg, S. (2000), Managing Bank Capital: Capital Allocation and Performance Measurement, Wiley.

Merton, R. C., and Perold, A. (1993), "Theory of Risk Capital in Financial Firms," Journal of Applied Corporate Finance, 6, 16-32.

Myers, S. C., and Read Jr, J. A. (2001), "Capital Allocation for Insurance Companies," Journal of Risk and Insurance, 545-580.

Nakada, P., Shah, H., Koyluoglu, H. U., and Collignon, O. (1999), "P&C Raroc: A Catalyst for Improved Capital Management in the Property and Casualty Insurance Industry," Journal of Risk Finance, The, 1, 52-69.

Phillips, R. D., Cummins, J. D., and Allen, F. (1998), "Financial Pricing of Insurance in the Multiple-Line Insurance Company," Journal of Risk and Insurance, 597-636.

Rappaport, A. (1986), Creating Shareholder Value: The New Standard for Business Performance (Vol. 22), Free press New York.

Saita, F. (1999), "Allocation of Risk Capital in Financial Institutions," Financial Management, 95-111.

Scott Jr, J. H. (1976), "A Theory of Optimal Capital Structure," The Bell Journal of Economics, 33-54.


中文部分
沈中華(2012)，金融機構管理，新陸書局
吳啟銘(2010)，企業評價：個案實證分析，智勝文化		zh_TW