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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/60043


    Title: 台灣保險業資產風險係數之探討
    The study on the asset risk factor of insurance industry in Taiwan
    Authors: 曾于芳
    Contributors: 蔡政憲
    曾于芳
    Keywords: 風險基礎資本額制度
    風險值
    條件尾端期望值
    RBC
    GARCH
    EGARCH
    VaR
    ETL
    CTE
    Date: 2009
    Issue Date: 2013-09-04 15:00:26 (UTC+8)
    Abstract: 台灣風險基礎資本額制度實施至今已將近七年，但風險係數卻從未調整，本研究主要針對股票指數與匯率之風險係數探討其是否有更新之必要，藉由1986年12月至2009年12月之資料，利用GARCH模型及EGARCH模型進行風險係數之估計，除了和風險基礎資本額制度相同，以風險值為考量外，另外加入條件尾端期望值，並比較其與風險值之差別。
    實證結果發現，僅部分財務時間序列有顯著之槓桿效果，因此使用GARCH模型估計風險係數較為合適；所估計之風險係數，無論是股價指數或是匯率，其估計結果皆比現行標準高出許多。
    In Taiwan, Risk-based capital (RBC) is set up in 2003. From 2003 until now, no matter how the economical environment has changed, the risk factors have remained all the same.This research mainly focuses on the risk factors of stock index and foreign exchange and wants to know if the risk factors need to be changed. The data this research encompasses is from December 1986 to December 2009.The risk factors are estimated by GARCH model and EGARCH model, utilizing not only the VaR but also the conditional tail expectation (CTE).
    From the result, only a few financial time series have shown leverage effect, therefore it is indeed more appropriate to apply GARCH model in risk factors estimation. Moreover, the risk factors from the result of this research, whether it is stock index or foreign exchange rate, are significantly higher than the risk factors standard applicable in Taiwan at the present.
    Reference: 1. 行政院金融監督管理委員會保險局，人身保險業資本適足性報告，2009年
    2. 李進生、林允永、謝文良、蔣旨坪、陳達新、盧陽正，風險管理-風險值（VaR）理論與應用，新竹：清蔚科技，2001年。
    3. 陳嘉敏，衡量銀行市場風險-VaR與ETL模型的應用，政治大學金融研究所碩士論文，2007年。
    4. 黃芳文，歐盟「Solvency II」淺談，風險與保險雜誌，第10期，2006年，35-38。
    5. Basel Committee on Banking Supervision, 2006, International Convergence of Capital Measurement and Capital Standards.
    6. Bollerslev, T., 1986, Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, 31, 3, 307-327
    7. Engle, R., 2001, GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics, Journal of Economic Perspectives, 15, 4, 157-168.
    8. Engle, R. F., 1982, Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica, 50, 4, 987-1008
    9. European Commission, 2008, QIS4 Technical Specifications.
    10. Jorion, P., 2007, Value at Risk – the new benchmark for managing financial risk, McGraw-Hill, third edition.
    11. National Association of Insurance Commissioners, 2008, 2008 Life Risk-Based Capital Report.
    12. Nelson, D. B., 1991, Conditional Heteroskedasticity in Asset Returns: A New Approach, Econometrica, 59, 2, 347-370.
    13. Zivot , E. and Jiahui Wang, 2006, Modelling Financial Time Series with S-PLUS, second edition.
    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    97358018
    98
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097358018
    Data Type: thesis
    Appears in Collections:[Department of Risk Management and Insurance] Theses

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