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| Title: | 利用PFM衡量我國未上市保險公司之違約風險 |
| Authors: | 許士偉 |
| Contributors: | 蔡政憲
許士偉 |
| Keywords: | 違約風險
保險公司
PFM
Default Risk
Insurance Company
KMV |
| Date: | 2004 |
| Issue Date: | 2009-09-18 19:24:40 (UTC+8) |
| Abstract: | 透過KMV公司用來衡量公開發行公司違約風險之Private Firm Model (PFM)，衡量台灣公開發行的產壽險保險公司之違約距離，藉由違約距離與違約機率之關係，以得知我國未上市產壽險公司違約風險之大小。估計資產市值時，本文以稅前息前折耗前淨利(EBITDA)前三年、前四年、前五年的平均，期望解決公開發行公司所對應出資產市值為負的情況，但結果不顯著。估計資產報酬標準差時，對觀察值公司規模大小進行群組區分。壽險公司分組臨界點11.25，產險公司分組臨界點10.4，小規模群組呈現顯著。
由於我國上市保險公司家數有限，使得未上市保險公司之資產市值及資產報酬標準差必須以上市保險公司之迴歸式來估計，但少數幾家未上市保險公司估計出來之結果並不合理。並且都在往後的一年或兩年內即退出市場，或者這些少數公司，在市場的認知下原本就是具有財務問題之公司，故PFM可以適用於我們產壽險公司。
This paper mainly discusses the listed companies’ default risks by KMV’s Private Firm model (PMF) and focuses on evaluating Taiwan’s insurance companies’ distance-to-default (DD). By comparing DD with respective historical default probability, we can obtain the magnitude of default risk of each listed companies. In estimating market asset value, we utilize the average EBITDA of 3-year-ago, 4-year-ago and 5-year-ago data as the proxy to resolve the probable minus-asset-value phenomenon, however the result is insignificant. Pertaining to forecasting asset variance, we categorize the studied companies by its respective capitalization.
11.25 is the decision point for life insurance companies and 10.4 is for Property & Casualty companies. Among the researched objectives, we find that small category displays significantly.
Because of insufficient data from publicly traded insurers, while conducting asset value and asset variance by implementing regression methodology, our conclusion indicates acceptable only with few unsatisfactory exceptions. We successfully predict those distressed insurers stepped out the market in the following years. Hereafter, we assert that the PFM model is suitable for both life and P&C companies. |
| Reference: | 1. 王懷德，KMV模型於國內未上市、未上櫃之公開發行公司之研究，東吳大學會計研究所論文，民92年7月。
2. 林妙宜，公司信用風險之衡量，政治大學金融研究所碩士論文，民91年7月。
3. 林景春、陳達新、林允永、邱智偉，銀行的授信風險評估：KMV 實質選擇權理論之應用，產業金融季刊，108，民89年9月，28-37。
4. 陳松男，金融工程學，華泰書局，民91年1月。
5. 黃仁德、陳淑郁，信用風險衡量，台灣金融財務季刊，第五輯，第三期，民93年9月，77-111。
6. Saunders, A. and M. M. Cornett,2003,Financial Institutions Management： A Risk Management Approach, Taipei：McGraw-Hill.
7. Crosbie, P. J. and J. R. Bohn,2001, Modeling Default Risk, KMV, http://www.defaultrisk.com/pp_model_35.htm
8. Nyberg, M.,2000,Benchmarking Deutsche Bundesbank’s Default Risk Model,the KMV Private Firm Model and Common Financial Ratios for German Corporations,KMV,http://www.bis.org/bcbs/events/oslo/liebigblo.pdf
9. Roger M. S., A. E. Kocagil, J. R. Bohn and J. Akhaveh,2003,Systematic And Idiosyncratic Risk In Middle-Market Default Prediction: A Study Of The Performance Of The RiskCale And PFM Model,KMV, http://www.moodyskmv.com/research/whitepaper/RiskCalc_PFM.pdf
10. Black F. and J. Cox,1976,Valuing Corporate Securities: Some Effects of Bond Indenture Provisions, Journal of Fianace,31,2,351-367. |
| Description: | 碩士
國立政治大學
風險管理與保險研究所
92358017
93 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0923580171 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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