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    题名: 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
    作者: 鄭潔霙
    Cheng, Chieh-ying
    贡献者: 張士傑
    鄭潔霙
    Cheng, Chieh-ying
    关键词: 資本效益
    資本配置
    違約風險
    賣權價值
    資金成本
    日期: 2005
    上传时间: 2009-09-18 20:20:31 (UTC+8)
    摘要: 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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    周大慶，風險的概念及其在銀行管理上的應用，台灣金融財務季刊，第二輯第四期，90年12月，111-130
    林惠敏，金融控股公司之資本配置，國立中正大學財務金融研究所，民國93年度
    陳松男，金融工程學：金融商品創新選擇權理論，華泰出版，民國91年1月初版，137-144
    彭金隆，金融控股公司—法制監理與經營策略，智勝出版，民國93年9月初版
    楊蓁海，新版巴賽爾資本協定與銀行信用風險測度模型的發展：兼論對我國銀行　　體系與央行政策的影響，中央銀行季刊，第二十七卷第一期，47-86
    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
    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    93358018
    94
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0933580181
    数据类型: thesis
    显示于类别:[風險管理與保險學系] 學位論文

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