English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 111200/142120 (78%)
Visitors : 48098223      Online Users : 456
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/36973


    Title: 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
    Authors: 鄭潔霙
    Cheng, Chieh-ying
    Contributors: 張士傑
    鄭潔霙
    Cheng, Chieh-ying
    Keywords: 資本效益
    資本配置
    違約風險
    賣權價值
    資金成本
    Date: 2005
    Issue Date: 2009-09-18 20:20:31 (UTC+8)
    Abstract: 本研究基於資本效益之概念,探討金融控股公司合理之資本配置,並以2002年第4季至2005年第2季間富邦金融控股公司之財務資訊進行實證分析。首先,本研究應用Margrabe (1978)互換選擇權評價模式,計算金融控股公司經營所隱含違約風險之賣權價值。其次,利用Myers and Read (2001)邊際違約價值相等之原則,將資本分配至旗下各子公司。實證結果歸納如下:
    1.各子公司所需配置之邊際資本大小依序為台北富邦銀行、富邦人壽、富邦證券、富邦產險。即邊際資本越大,子公司每承擔1單位負債需要配置更多之資本。
    2.富邦產險、富邦人壽與富邦證券實際資本均遠高於理論配置之資本,台北富邦銀行實際資本則低於理論資本。在給定固定門檻利率下,各子公司資金成本大小依序為台北富邦銀行、富邦人壽、富邦證券、富邦產險。
    本研究結果顯示,富邦產物保險公司以減資方式,將過剩之資本退還富邦金融控股母公司,與Myers and Read (2001)邊際違約價值相等之資本配置原則相符。
    Reference: Altman, E., 1984, A Further Empirical Investigation of the Bankruptcy Cost Question, The Journal of Finance, 34, pp. 1067-1089.
    Butsic, R., 1999, Capital Allocation for Property-Liability Insurers: A Catastrophe Reinsurance Application,” Casualty Actuarial Society Forum, Spring, pp. 1–70.
    Chris Matten., 1996, Managing Bank Capital: Capital Allocation and Performance Measurement, John Wiley & Sons Ltd, UK.
    Culp, C.L., 2000, Revisiting RAROC, The Journal of Lending and Credit Risk Management, 82, March, pp. 50
    Cummins, J. D., 1988, Risk-Based Premiums for Insurance Guaranty Funds, Journal of Finance, 43, pp. 823-839.
    Cummins, J. D., 1992, Financial Pricing of Property and Liability Insurance in Contribution to Insurance Economics, G. Dionne ed., Boston: Massachsett, Kluwer Academic Publisher, pp. 139-168.
    Cummins, J. D., and Danzon P.M., 1997, Price, Financial Quality, and Capital Flows in Insurance Markets, Journal of Financial Intermediation, January, pp. 3-38.
    Cummins, J. D., and G. P. Nini, 2002, Optimal Capital Utilization by Financial Firms: Evidence from the Property-Liability Insurance, Journal of Financial Services Research, 21, pp. 15-54.
    Cummins, J. D., and Phillips, R. D., 2005, Estimating the Cost of Equity Capital for Property-Liability Insurers, Journal of Risk and Insurance, 72, 3, pp. 441-478.
    Cummins, J. D., and Sommer, D. W., 1996, Capital and Risk in Property-Liability Insurance Markets, Journal of Banking & Finance, 20, pp. 1069-1092.
    Derrig, Richard A., 1989, Solvency Levels and Risk Loadings Appropriate for Fully Guaranteed Property-Liability Insurance Contracts: A Financial View, Financial Models of Insurance Solvency, J. D. Cummins and R. A. Derrig eds., Kluwer Academic Publishers, Boston, pp. 303-354.
    Doherty, Neil A. and James R. Garven., 1986, Price Regulation in Property-Liability Insurance: A Contingent Claims Approach, Journal of Finance, Vol. 41, No. 5, pp. 1031-1050.
    Fama, E. F., and K. R. French., 1997, Industry Costs of Equity, Journal of Financial Economics, 43, pp. 153-193.
    Fischer B. and Scholes, M. 1973, The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 81, pp. 637-654.
    Francesco Saita., 1999, Allocation of Risk Capital in Financial Institutions, Financial Management, Vol.28, No.3, pp. 95-111.
    Franco Modigliani, and Merton H. Miller., 1958, The Cost of Capital, Corporation Finance and the Theory of Investment, The American Economics Review, Volume 48, Issue3, pp. 261-297.
    Fuller, R.J. and Kerr H.S., 1981, Estimating the divisional cost of capital: an analysis of the pure play technique, Journal of Finance, 36, 5, pp. 997-210.
    Gennotte, G., and Pyle, D., 1991, Capital controls and bank risk, Journal of Banking and Finance, 15, pp. 805-24.
    Hovakimian, Armen, and Edward Kane, 2000, Effectiveness of Capital Regulation at U.S. Commercial Banks, 1985 to 1994, Journal of Finance, 51, pp. 125-137.
    Jensen, M. C., and W. Meckling, 1976, Theory of the firm: Managerial Behavior, Agency Costs, and Capital Structure, Journal of Financial Economics, 3, pp. 305-360.
    Karl Borch., 1962, Equilibrium in a Reinsurance Market, Econometrica, Vol.30, pp. 424-444.
    Kneuer, P. J., 2003, Review of “Capital Allocation for Insurance Companies” by Stewart C. Myers and James R. Read Jr., in: The Casualty Actuarial Society Forum, Fall, pp. 377–390.
    Linter, J., 1965, The Valuation of Risk Assets and Selection of Risky Investments in Stock Portfolios and Capital Budgets, Review of Economics and Statistics, 47, pp. 13-37.
    Marcus, Alan, and Israel Shaked., 1984, The Valuation of FDIC Deposit Insurance Using Option-pricing Estimates, Journal of Money, Credit, and Banking, 16, pp. 446-460.
    Margrabe, M., 1978, The Value of An Option to Exchange One Asset For Another, Journal of Finance, Vol. XXXIII, No.1, pp. 177-186.
    Merton, R. and Perold, A., 1993, Theory of Risk Capital in Financial Firms, Journal of Applied Corporate Finance, No. 3, Fall, pp. 16-32.
    Merton, R.C., 1977, An Analytic Derivation of The Cost of Deposit Insurance and Loan Guarantee Journal of Banking and Finance, 1, pp. 3-11.
    Myers, S. C. and Read, J. A., 2001, Capital Allocation for Insurance Company, Journal of Risk and Insurance, 68, pp. 545-580.
    Peter Nakada, Hemant Sha, H. Ugur Koyluoglu, and Olivier Collignon., 1999, P&C RAROC: A Catalyst for Improved Capital Management in the Property and Casualty Insurance Industry, Journal of Risk Finance, Fall, pp. 1-18.
    Phillips, R. D., J. D. Cummins, and F. Allen, 1998, Financial Pricing of Insurance in a Multiple-Line Insurance Company, Journal of Risk and Insurance, 65, pp. 597-633.
    Rappaport, A., 1986, Creating Shareholder Value, Collier Macmillan Ltd, London.
    Ronn, Ehud, and Avinash Verma, 1986, Pricing Risk-adjusted Deposit insurance: An Option-Based Model, Journal of Finance, 41, pp. 871-895.
    Ross, S., 1977, The Determination of Financial Structure: The Incentive Signaling Approach, The Bell Journal of Economics, 8, pp. 23-40.
    Scott, J. H. Jr., 1976, A Theory of Optimal Capital Structure, The Bell Journal of Economics, 7, 1, pp. 33-54.
    Sharpe, W.F., 1964, Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk, Journal of Finance, 19, pp.425-442.
    Sommer, D. W., 1996, The Impact of Firm Risk on Property-Liability Insurance Prices, Journal of Risk and Insurance, 63, pp. 501-514.
    Venter Gary., 2004, Capital Allocation Survey with Commentary, North American Actuarial Journal, pp. 96-107.
    Vrieze K. and Brehm, P., 2003, Capital Allocation for Insurance Companies Practical Considerations for Implementing the Myers-Read Model A Review, Discussion paper.
    周大慶,風險的概念及其在銀行管理上的應用,台灣金融財務季刊,第二輯第四期,90年12月,111-130
    林惠敏,金融控股公司之資本配置,國立中正大學財務金融研究所,民國93年度
    陳松男,金融工程學:金融商品創新選擇權理論,華泰出版,民國91年1月初版,137-144
    彭金隆,金融控股公司—法制監理與經營策略,智勝出版,民國93年9月初版
    楊蓁海,新版巴賽爾資本協定與銀行信用風險測度模型的發展:兼論對我國銀行  體系與央行政策的影響,中央銀行季刊,第二十七卷第一期,47-86
    謝俊,金融控股公司之風險管理與資本配置,國立政治大學經營管理碩士學程風險管理組,民國92年度
    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    93358018
    94
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0933580181
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系] 學位論文

    Files in This Item:

    File Description SizeFormat
    58018101.pdf45KbAdobe PDF2792View/Open
    58018102.pdf85KbAdobe PDF2806View/Open
    58018103.pdf61KbAdobe PDF2829View/Open
    58018104.pdf60KbAdobe PDF2838View/Open
    58018105.pdf144KbAdobe PDF21016View/Open
    58018106.pdf108KbAdobe PDF21775View/Open
    58018107.pdf185KbAdobe PDF21427View/Open
    58018108.pdf118KbAdobe PDF2929View/Open
    58018109.pdf255KbAdobe PDF21140View/Open
    58018110.pdf81KbAdobe PDF2994View/Open
    58018111.pdf66KbAdobe PDF21509View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback