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    Title: 逆景氣循環在股票風險係數之分析
    Counter-cyclical adjustments analysis of stock risk factors
    Authors: 鄭吉翔
    Cheng, Chi Hsiang
    Contributors: 林士貴
    鄭吉翔
    Cheng, Chi Hsiang
    Keywords: 資本適足率
    逆景氣循環
    股票風險係數
    RBC
    Counter-cyclical adjustments
    Stock risk factors
    Date: 2017
    Issue Date: 2017-07-24 12:03:06 (UTC+8)
    Abstract: 本研究主要針對保險公司的RBC制度在股票風險係數上,進行逆景氣循環調整,並研究其可行性。研究的方法為蒐集各國的逆景氣循環模型,並探討各模型在台灣RBC制度上施行的可行性。並在進一步考量其他模型的全面行及經濟直覺上,選出新加坡模型及歐盟模型來進一步研究其於台灣可行性。除上述兩模型外,並進一步加入本研究建議之台灣建議模型於台灣股票市場資料,進行驗證及參數校準,並以新加坡官方報告建議的逆景氣循環模型的判斷指標進行評估模型的適用程度。
    本研究發現台灣建議模型考量到成長率移動調整的方式,以長久自動調整的方式,有較佳的適應性,得更有效的反應景氣變化以做調整。同時在考量上述三模型於本研究適用的評分方式下,新加坡模型與台灣建議模型整體差異不大,最後透過回測過去資料台灣建議模型的整體優勢較多下,最終本研究建議使用台灣建議模型作為台灣RBC制度未來的改進方向以納入逆景氣循環。
    In this thesis, we focus on stock risk factors of insurer’s RBC regulation. We consider adding a counter-cyclical adjustments on current regulation framework. We take other countries’ models of counter-cyclical adjustments as reference and apply their adjustments on Taiwan’s stock indices. By widely consideration, we choose Singapore model, European model and Taiwan model which was recommended by this thesis as further evaluation. We use the model judging approach using by Singa-pore’s governance association to evaluate which model best fit our need.
    In this research we come out that Taiwan model has the best efficiency relating to its moving calculation of growing rate. The empirical results show that either Sin-gapore or Taiwan model has qualified results, but when considering the advantages that Taiwan model contains that we finally recommend Taiwan model for Taiwan’s RBC regulation framework for further enhancement.
    Reference: 中國保險監督管理委員會,保險公司償付能力監管規則第7號:市場風險最低資本,2015年,7-9 ~7-10。
    安明璿,我國人壽保險業利率風險資本監理之探討,2014,p.1-8。
    邱國欽、林鳴琴、呂偉傑, 股價、景氣狀態與貨幣政策─台灣證券交易所發行量加權指數實證研究,2006,p.6-10。
    財團法人保險事業發展中心,105年度檢查手冊(RBC相關),2016年,p.119-120。
    財團法人保險事業發展中心,105年度檢查報表-壽險(RBC相關),2016年, 表30-1~表30-17。
    曾于芳,台灣保險業資產風險係數之探討,2010,p.4 -16。
    梁正德、許永明、袁曉芝、詹芳書、黃芳文、郭榮堅、陳昱廷、余柔萱、郭荏妤,金融監督管理委員會102年度委託研究計劃-國際保險業清償能力監理制度之研究,2016年,p.5-19。
    Australian Prudential Regulation Authority, Information Paper Asset Risk Charge, 2013, p.5-6.
    European Insurance and Occupational Pensions Authority, EIOPA symmetric adjustment of the equity capital charge, Feb 2017, Section:Legal Background - Example.
    Monetary Authority of Singapore, Consultation Paper, Annex K: Technical Specifications for QIS2, 2016, p.24-25.
    Singapore Actuarial Society, Review of the Risk-Based Capital Framework for Insurers in Singapore (“RBC 2 Review”), Second Consultation, 2015, p.5-22.
    Description: 碩士
    國立政治大學
    金融學系
    104352007
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0104352007
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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