English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 111200/142120 (78%)
Visitors : 48098250      Online Users : 436
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/140.119/94444


    Title: 金融控股公司之資本配置與績效評估
    Authors: 胡涵棻
    Contributors: 張士傑
    胡涵棻
    Keywords: 金控公司
    資本配置
    資本成本配置
    資本資產訂價模型
    Date: 2007
    Issue Date: 2016-05-06 16:38:25 (UTC+8)
    Abstract: 本研究引用Myers and Read(2001)邊際違約價值相等原則進行資本配置。以金融控股公司為對象,考慮市場資產及負債,將金融控股公司各子公司資產負債之加總。利用Margrabe(1978)交換選擇權評價模型計算違約價值,推導各子公司邊際違約價值公式,利用邊際違約價值相等計算資本配置。由Cummins and Phillips(2005)估計產險公司各個險種之資本成本,利用CAPM及Fama-French三因子模型估算beta值,估計充分資訊下各子公司beta值與資本成本,最終利用風險調整報酬(RAROC)比較配置資本報酬與資本成本,進行績效評估。
    Reference: Brealey, R. A., and S. C. Myers, 2002, Principles of Corporate Finance, 7th edition (Boston:McGraw-Hill/Irwin)
    Butsic, R. P., 1994, Solvency Measurement for Property-Liability Risk Based Capital Application, Journal of Risk and Insurance, 61(4):656-690
    Cummins, J. David, 2000, Allocation of Capital in the Insurance Industry, Risk Management and Insurance Review 3(1): 7-28.
    Cummins, J. David, and Phillips Richard D., 2005, Estimating the Cost of Equity Capital for Property-Liability Insurers, Journal of Risk and Insurance, 72(3):441-478
    Fama, E. F., and K. R. French, 1992, The Cross-Section of Expected Stock Returns, Journal of Finance, 47:427-465.
    Fama, E. F., and K. R. French, 1993, Common Risk Factors in the Returns on Stocks and Bonds, Journal of Financial Economics, 39:3-56.
    Fama, E. F., and K. R. French, 1993, Industry Costs of Equity, Journal of Financial Economics, 43:153-193.
    Graham, J. R., and C. R. Harvey, 2001, The Theory and Practice of Corporate Finance: Evidence From the Field, Journal of Financial Economics, 60:187-243.
    Margrabe, W. 1978, The Value of an Option to Exchange One Asset for Another. Journal of Finance 33(1): 177-86
    Merton, R. C., and A. F. Perold, 1993, Theory of Risk Capital in Financial Firms. Journal of Applied Corporate Finance 6:16-32
    Myers, S. C., and J. A. Read, JR. 2001. Capital Allocation for Insurance Companies. Journal of Risk and Insurance 68(4): 545-80
    Phillips, R. D., J. D. Cummins, and F. Allen. 1998. Financial Pricing of Insurance in the Multiple-Line Insurance Company. Journal of Risk and Insurance 65(4): 597-636.
    Sherris, M. 2003. Equilibrium Insurance Pricing, Market Value of Liabilities and Optimal Capitalization. Proceedings of the 13th AFIR International Colloquium, Maastricht, Netherlands, Vol. 1, 195-220, and UNSW Actuarial Studies Working Paper. www.actuary.unsw.edu.au.
    Sherris M., and John van der Hoek. 2006. Capital Allocation in Insurance: Economic Capital and the Allocation of the Default Option Value. North American Actuarial Journal 10(2): 39-61.
    彭金隆,(民93),金融控股公司-法制監理與經營策略,智勝文化
    鄭潔瑛,(民95),金融控股公司資本配置之實證分析,政治大學風險管理與保險學研究所碩士論文
    林天中,(1997),「台灣股票市場三因子,系統風除公司規模及淨值市價比實證研究」,國立清華大學經濟學系未出版之碩士論文。
    李銘仁,(1996),「多空時期下公司本益比淨值市價比與股票報酬率間關係之研究」,國立成功大學企業管理學系未出版之碩士論文。
    張慧玲,(1998),「台灣股市規模效果與股票報酬關係之實證研究」,淡江大學財務金融學系未出版之碩士論文。
    蕭雅尤,(2000),「風除與預期報酬之橫斷面分析-台灣股市之實證研究」,義守大學管理科學研究所出版之碩士論文。
    雷雅淇,(2000),「公司規模、股價、益本比、淨值市價比與股票超常報酬關係之實證研究」,國立中央大學企業管
    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    94358021
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094358021
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系] 學位論文

    Files in This Item:

    There are no files associated with this item.



    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