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    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。
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    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

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