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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/59320


    Title: 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
    Authors: 蕭瑋翔
    Contributors: 張士傑
    蕭瑋翔
    Keywords: 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
    Date: 2012
    Issue Date: 2013-09-02 16:06:38 (UTC+8)
    Abstract: 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。
    Reference: 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
    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    100358022
    101
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0100358022
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系] 學位論文

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