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Title: | 金融控股公司之資本配置與績效評估 Capital Allocation and Performance Analysis in Financial Holding Company |
Authors: | 温展德 Wen, Chan-Te |
Contributors: | 張士傑 曾毓英 Chang, Shih-Chieh Tzeng, Yu-Ying 温展德 Wen, Chan-Te |
Keywords: | 選擇權定價模型 違約賣權 資本配置 金融控股公司 Option pricing model Default put option Capital allocation Financial holding company |
Date: | 2024 |
Issue Date: | 2024-08-05 14:02:29 (UTC+8) |
Abstract: | 我國金融控股公司法於2001年通過後,陸續有多家金融控股公司設立,截至2024年6月止,國內共有15間金融控股公司。由於金融控股公司並不直接經營業務,因此母公司如何評估子公司資本效益與進行資本管理為一大課題。 本研究分為兩個部分,第一部分探討子公司資產、負債波動對金融控股公司違約賣權價值之影響,透過子公司邊際違約價值相等的方式計算金融控股公司對子公司的最適資本分配。本文以富邦金融控股公司以及旗下證券、銀行、壽險、產險子公司作為研究對象,實證結果顯示其理論資本配置中壽險子公司占比高達62.23%,銀行子公司占比29.84%,證券與產險子公司比例分別為4.52%與3.41%。在考量違約風險後,由於過去兩年台幣美元利率上升,在壽險子公司資產負債幣別錯配的情況下,美元利率上升幅度大於台幣造成發生資產縮水以及股東權益下降,故為避免壽險子公司發生破產危機,母公司應增提壽險子公司的資本比例。 第二部分為金融控股公司之資本成本與績效評估,透過資本資產定價模型計算與完備資訊方法求得我國證券、銀行、壽險、產險業之\beta值,推算各產業之資本成本分別為1.55%、1.11%、1.40%與3.07%。在財務績效評估中,使用前段計算之理論資本與稅後淨利求得各子公司之風險調整資本報酬率,並與股東權益報酬率比較。使用考量違約風險之風險資本計算報酬率後,證券與銀行子公司報酬率提升至21.89%與10.14%;壽險子公司因為理論資本高於實際資本,故其報酬率降低至8.18%;產險子公司因防疫險理賠事件導致目前報酬率仍為負。金融控股公司內部對子公司進行資本配置除考慮資本成本與報酬率外,亦應將違約風險納入考量。 This study examines the impact of volatility in the assets and liabilities of subsidiaries on the value of the financial holding company's default put options. The optimal capital allocation to subsidiaries is determined by equating their marginal default values. Using Fubon Financial Holding Co. and its subsidiaries—securities, banking, life insurance, and property insurance—as subjects, the results show that the theoretical capital allocation is 62.23% for life insurance, 29.84% for banking, and 4.52% and 3.41% for securities and property insurance, respectively. Due to rising US interest rates and falling Taiwanese rates, there is a currency mismatch in the life insurance's assets and liabilities, increasing the risk of asset depreciation and reduced shareholder equity. To mitigate bankruptcy risk, financial holding companies should allocate more capital to life insurance subsidiaries. The second part of the study evaluates the cost of capital and performance of financial holding companies. Using the Capital Asset Pricing Model (CAPM) and the Full-Information Beta method, the capital costs for the securities, banking, life insurance, and property insurance industries were calculated at 1.55%, 1.11%, 1.40%, and 3.07%, respectively. After accounting for default risk, the risk-adjusted returns on capital for the securities and banking subsidiaries increase to 21.89% and 10.14%, respectively, while the return for the life insurance subsidiary decreases to 8.18% due to its theoretical capital being higher than actual capital. Financial holding companies should consider not only capital costs and returns but also default risk when allocating capital to subsidiaries. |
Reference: | 公開資訊觀測站,最後瀏覽日期:2024年6月16日。截自https://mops.twse.com.tw/mops/web/index 王美晴(2007),金控公司下金融業之權益資金成本,未出版碩士論文,國立中正大學財務金融研究所碩士論文。 全國法規資料庫網站,最後瀏覽日期:2024年6月16日。截自https://law.moj.gov.tw 沈中華、王建安(2000),融資限制對公司投資的影響,經濟論文,第28卷第1期(3月):67-95。 沈中華、彭金隆、陳業寧(2010),我國金融控股公司整體經營績效評比。(台北縣三重市:前程文化) 張士傑 (2017),建立安全社會網:風險管理與保險。(臺中市:滄海書局) 許哲瑋(2010)。Fama & French三因子模型與財務指標對股票報酬之影響---以台灣上市電子公司為例,未出版碩士論文,國立臺北大學企業管理學研究所。 蔡清慧(2019)。效率與股價報酬關聯- Fama & French多因子模型應用,未出版碩士論文,國立臺灣大學財務金融學研究所。 Cummins, J.D. (2000). Allocation of capital in the insurance industry. Risk Management and Insurance Review, 3(1), 7-27. Cummins, J. D. & Phillips, R. D. (2005). Estimating the cost of equity capital for property‐liability insurers. Journal of Risk and Insurance, 72(3), 441-478. Fama, E. F. & French, K. R. (2004). The capital asset pricing model: Theory and evidence. Journal of Economic Perspectives, 18(3), 25-46. Kaplan, P. D. & Peterson, J. D. (1998). Full-information industry betas. Financial Management 27, 85-93. Lintner, J. (1965). Security prices, risk, and maximal gains from diversification. The Journal of Finance, 20(4), 587-615. Lo, S. F. & Lu, W. M. (2009), An Integrated Performance Evaluation of Financial Holding Companies in Taiwan. European Journal of Operational Research, 198, 341-350. Margrabe, W. (1978). The Value of An Option to Exchange one Asset for Another. Journal of Finance, 33, 177-186. Merton, R. C. (1977). An analytic derivation of the cost of deposit insurance and loan guarantees an application of modern option pricing theory. Journal of Banking & Finance, 1(1), 3-11. Merton, R. C. & Perold, A. F. (1993). Management of risk capital in financial firms. Harvard Business School. Myers, S. C. & Read Jr, J. A. (2001). Capital allocation for insurance companies. Journal of Risk and Insurance, 545-580. Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442. |
Description: | 碩士 國立政治大學 風險管理與保險學系 111358016 |
Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111358016 |
Data Type: | thesis |
Appears in Collections: | [風險管理與保險學系] 學位論文
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