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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/77192


    Title: 壽險業信用風險係數之探討
    The Study on the Credit Risk Factor of Life Insurance Industry
    Authors: 王雅玲
    Wang, Ya Ling
    Contributors: 蔡政憲
    Tsai, Cheng hsien
    王雅玲
    Wang, Ya Ling
    Keywords: 信用風險係數
    信用評等
    信用風險
    Date: 2015
    Issue Date: 2015-08-03 13:23:09 (UTC+8)
    Abstract: 本研究以國外資產信用風險係數為對象,分別運用將經驗違約機率配置至伯努力分配、採用條件尾端期望值並改變調整係數後之模擬法,與同時考量違約風險與轉移風險的信用計量法,計算出資產之國外資產信用風險係數,而與現行方式計算出之係數比較。此外,探討現行國內外資產信用風險係數差異之合理性。
    實證結果發現,於模擬法中,計算之結果與現行制度有些微差異。此外,於信用計量法,不論計算方法是標準差法或百分位水準法,納入轉移風險之國外資產信用風險係數大致顯著高於現行或採用模擬法計算出之係數。最後,現行國內外資產信用風險係數逕以相差兩個細分之信用評等決定風險係數,估計應為評等歷史、受評對象及評等差異等原因造成之折衷作法。
    Reference: 一. 中文文獻
    中華信用評等公司網站, http://www.taiwanratings.com/,搜尋日期:2015年6月8日。
    林佳蓉,2001,信用風險模型之發展與衡量-以中長期資金運用制度為例,國立中山大學財務管理學系研究所未出版之碩士論文。
    林妙宜,2002,信用風險之衡量,國立政治大學金融學系未出版之碩士論文。
    施佳華,2001,產險業信用評等模式之研究-美國產險公司之實證結果分析,國立政治大學風險管理與保險研究所未出版之碩士論文。
    財團法人保險事業發展中心,「人壽保險業資金運用表(2010-2014)」, http://www.tii.org.tw/fcontent/Actuarial_Statistics/genrep_setGL.asp/。
    財團法人保險事業發展中心,2014,「103年度檢查報表-壽險(RBC相關)」,http://www.tii.org.tw/fcontent/Actuarial_Statistics/genrep_chk_result1_1.asp。
    張書評,2014,「認識中華信評評等定義」,http://www.taiwanratings.com/portal/front/listCustomArticle?catalogCategoryName=ratingCriteria。
    張大成、劉宛鑫、沈大白, 2002,「信用評等模型之簡介」,中國商銀月刊,第21卷11 期:頁 1~5。
    黃培琳 、黃聖茵,2009,「Moody`s信評新方法簡介」,貨幣觀測與信用評等,76期:頁95-123。
    黃聖茵,2009,「S&P 評等方法之簡介」,貨幣觀測與信用評等,80期:頁88-92。
    董瑾,2015,「違約、評等變動與回收研究:中華信評2014 年企業違約與評等變動研究」,http://www.taiwanratings.com/portal/front/listCustomArticle?catalogCategoryName=ratingCriteria。
    雷明峰,2011,「中華信用評等公司信用評等之基本原則」,http://www.taiwanratings.com/portal/front/listCustomArticle?catalogCategoryName=ratingCriteria。
    二. 英文文獻
    Altman, E. I., 1968, Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy, Journal of Finance, 23(4):589-609.
    American Council of Life Insurers(ACLI), 2014, Life Insurance Fact Book 2014,
    https://www.acli.com/Tools/Industry%20Facts/Life%20Insurers%20Fact%20Book/Pages/RP14-012.aspx.
    Fitch Ratings,https://www.fitchratings.com/, Accessed May 12, 2015.
    J.P. Morgan, 1997, CreditMetrics Technical Document, http://www.macs.hw.ac.uk/~mcneil/F79CR/CMTD1.pdf.
    Moody`s Investors Service,https://www.moodys.com/, Accessed May 12, 2015.
    Moody’s Investors Service, 2015, Annual Default Study: Corporate Default and Recovery Rates, 1920-2014, https://www.moodys.com/Pages/GuideToDefaultResearch.aspx.
    Moody’s Investors Service, 2015, 2014 Annual Global Corporate Default Study And Rating Transitions, https://www.moodys.com/Pages/GuideToDefaultResearch.aspx.
    National Association of Insurance Commissioners (NAIC), 2014, Risk-Based Capital Forecasting & Instructions Life, 2013.
    RiskMetrics Group, Inc, 2007, CreditMetrics™—Technical Document, https://www.msci.com/resources/technical_documentation/CMTD1.pdf.
    Saunders, A. and M. Cornett, 2014, Financial Institutions Management: A Risk Management Approach, 8th edition, McGraw-Hill.
    Standard & Poor`s Corp,http://www.standardandpoors.com/en_EU/web/guest/home, Accessed May 12, 2015.
    Standard & Poor`s Corp, 2013, Corporate Methodology, http://www.maalot.co.il/CriteriaDocs/Paper16.pdf.
    Yahoo Finance,http://finance.yahoo.com/bonds, Accessed Jun 8, 2015.
    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    102358020
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0102358020
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系] 學位論文

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