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| Title: | 從信用評等探討保險業企業風險管理之建置
The study of establishment for enterprise risk management in insurance industry from rating agency views |
| Authors: | 李志剛
Li, Chih Kang |
| Contributors: | 張士傑
Chang, Shih Chieh
李志剛
Li, Chih Kang |
| Keywords: | 企業風險管理
整合性風險管理
信用評等
Enterprise Risk Management
Integrated Risk Management
Credit Rating |
| Date: | 2009 |
| Issue Date: | 2010-12-08 01:58:21 (UTC+8) |
| Abstract: | 落實風險管理為公司治理與透明化過程之重要指標－2008年金融風暴之發生再度引起國內外對風險管理之重視，此也顯示風險管理並無真正落實；為達成此目標，企業風險管理之推動為關鍵因素，此部分除依賴監理機關制定規範要求保險業實行外，獨立第三者之信用評等機制亦扮演重要訊息提供之角色，藉由其對企業風險管理發展出之評鑑標準，及其對眾多受評公司進行評等的過程及瞭解，可提供保險業建置與落實企業風險管理之方向及做法。
保險業主要信用評等機構對企業風險管理的評鑑標準不同，本研究找出最佳信用評等機構之評鑑項目－風險管理文化、風險控管程序、新興風險管理、風險及經濟資本模型、策略性風險管理，及相關之評鑑標準；另藉由信用評等機構對保險業企業風險管理之調查分析，瞭解國內保險業者目前所面臨之關鍵問題：(1)大部分仍停留在傳統風險管理階段；(2)風險胃納、風險容忍度及風險限額定義及關聯不明瞭；(3)經濟資本及風險調整後報酬量化能力不足。
歸納本研究結果，(1)藉信評機制對企業風險管理之評鑑項目及標準，可為國內保險業建置企業風險管理之參考依據；(2)從信評機構對企業風險管理之評等，可瞭解國內保險業之執行成果及問題，具有值得參考之價值。本文亦提出風險管理文化、風險及經濟資本模型相關之建議，以落實企業風險管理。
To truly implement risk management is the important indicator of corporate governance and transparency progresses－the finanacial crisis in 2008 has resulted in the focus of risk management again, of which the implications have presented it hadn’t been done well. The Enterprise Risk Management (ERM) is the key factor to achieve the objective of truly implemented. In addition to the supervisors imposing those regulations so as to request execuation by insurance industy, the independent third party－rating agencies have provided valuable information. By way of the ERM indicators developed by rating agencies, together with the experiences and understandings getting from rating procedures, they can give the ERM directions and practises to insurance industry.
The major rating agencies for insurance industry have different views to ERM critirias. The thesis has found out the best items and their relative indicators developed by rating agency－Risk Management Culture, Risk Control Processes, Emerging Risk Management, Risk & Economic Capital Models, and Strategic Risk Management. Moreover, the thesis has explored the key issues faced by domestic insurance industry through the ERM surveys conducted by rating agencies: (1)the majority of insurers have still positioned at the stage of traditional risk management; (2)the understanding to definitions and relatives of risk appetite, risk tolerance and risk limit are inambigious; (3)the quantibility of economic capitals and risk-adjusted returns aren’t appropriate.
The thesis has concluded: (1)the ERM items and critirias developed by rating agencies can be the references to establish their own ERM by domestic insurance industy; (2)they are valuable references to know the situations of implementation and issues faced by domestic insurance industry through the ERM rating items and critirias. In the end, the thesis has submited the suggestions within risk management culture and risk & economic capital models in oder to truly implement ERM.
第一章 緒論……………………………………………………………………01
第一節 研究動機與目的………………………………………………………01
第二節 研究方法、範圍與架構………………………………………………02
第二章 理論與文獻探討………………………………………………………05
第一節 企業風險管理之理論演進……………………………………………05
第二節 保險業企業風險管理架構之探討……………………………………08
第三章 信用評等之企業風險管理評鑑………………………………………16
第一節 標準普爾之企業風險管理評鑑………………………………………16
第二節 貝氏之企業風險管理評鑑……………………………………………21
第三節 惠譽之企業風險管理評鑑……………………………………………23
第四節 穆迪之企業風險管理評鑑……………………………………………24
第四章 保險業企業風險管理之建置…………………………………………27
第一節 風險管理文化…………………………………………………………27
第二節 風險控管程序…………………………………………………………29
第三節 新興風險管理…………………………………………………………31
第四節 風險及經濟資本模型…………………………………………………33
第五節 策略性風險管理………………………………………………………36
第五章 保險業實行企業風險管理概況………………………………………39
第一節 國內保險業實行企業風險管理概況…………………………………39
第二節 國際再保險業實行企業風險管理概況………………………………47
第三節 個案公司企業風險管理發展概況……………………………………51
第六章 結論與建議……………………………………………………………63
第一節 結論……………………………………………………………………63
第二節 建議……………………………………………………………………66
第三節 後續研究建議…………………………………………………………70
參考文獻.………………………………………………………………………72
附錄.……………………………………………………………………………75
表目錄
表3-1 標準普爾之企業風險管理評鑑等級標準（1）.……………………19
表3-2 標準普爾之企業風險管理評鑑等級標準（2）.……………………20
表3-3 貝氏之最低BCAR標準…………………………………………………22
表4-1 風險管理文化之評鑑指標……………………………………………28
表4-2 風險控管之實務做法…………………………………………………30
表4-3 風險控管程序之評鑑指標……………………………………………31
表4-4 新興風險管理之評鑑指標……………………………………………32
表4-5 風險及經濟資本模型之評鑑指標……………………………………35
表4-6 策略性風險管理之評鑑指標…………………………………………38
表5-1 國內保險業風險管理執行成果（2008年）…………………………40
表5-2 國內保險業企業風險管理評等（標準普爾）………………………42
表5-3 國際再保險業企業風險管理評等（標準普爾）……………………50
表5-4 個案公司近五年簡明損益表…………………………………………52
表5-5 再保險公司ROE比較.…………………………………………………53
表5-6 個案公司財務強度歷史評等（標準普爾及貝氏）…………………54
表5-7 個案公司企業風險管理評等（2007年至2009年）.………………55
圖目錄
圖2-1 IAIS企業風險管理架構………………………………………………10
圖2-2 SolvencyII實行架構.………………………………………………11
圖2-3 保險業風險管理實務守則之企業風險管理架構……………………14
圖3-1 標準普爾之企業風險管理架構………………………………………17
圖3-2 貝氏之企業風險管理架構……………………………………………22
圖5-1 國際再保險業企業風險管理評等……………………………………49 |
| Reference: | 壹、中文文獻
1. 李潤之、李麗妍、彭金隆、蔡政憲，2010，企業風險管理實務守則實施後，保險公司如何做好準備？中華民國風險管理學會年會暨企業風險管理(ERM)趨勢與發展研討會。
2. 財團法人保險事業發展中心，2008，保險業企業風險管理架構之介紹與應用。
3. 馬秀如等譯，2005，企業風險管理－整合架構，財團法人中華民國會計研究發展基金會。
4. 黃秀如譯，2006，藍海上的風險，時報文化出版企業公司。
5. 張士傑，2007，EU Solvency II：整合型態風險管理的保險監理架構，中央再保險公司：風險與保險雜誌，第12期，第2-6頁。
6. 張士傑，2010，保險產業於企業風險管理(ERM)之監理架構，中華民國風險管理學會年會暨企業風險管理(ERM)趨勢與發展研討會。
7. 張書評、朱素徵，2008，在面臨多元化發展需求下台灣保險業終於邁向ERM發展，中華信用評等公司。
貳、外文文獻
1. A.M. Best, 2006, A.M. Best Comments on Enterprise Risk Management and Capital Models, Special Report.
2. A.M. Best, 2008, Risk Management and the Rating Process for Insurance Companies, Best’s Rating Methodology.
3. A.M. Best, 2009, Global Life and Non-Life Edition, Best’s Credit Rating Methodology.
4. A.M. Best, 2009, Natural Catastrophe Stress Test Methodology, A.M. Best Methodology.
5. Andre P. Liebenberg and Robert E. Hoyt, 2003, The Determinants of Enterprise Risk Management: Evidence from The Appointment of Chief Risk Officers, Risk Management and Insurance Review, Vol.6, No.1, 37-52.
6. Aon Benfield, 2008, Navigating Financial Strength Ratings: Maintaining the Momentum in Shifting Tides.
7. Axel P. Lehmann and Daniel M. Hofmann, 2010, Lessons Learned from the Finanacial Crisis for Risk Management: Contrasting Developments in Insurance and Banking, The Geneva Papers, 35, 63-78.
8. Fitch Ratings, 2009, Insurance Rating Methodology.
9. Hiltrud Besgen and Laura Santori, 2009, Raising The ERM Bar: Tighter Practices for Tougher Times, Standard and Poor’s Global Reinsurance Highlights, 11-14.
10. International Association of Insurance Supervisors, 2003, Insurance Core Principles and Methodology.
11. International Association of Insurance Supervisors, 2007, Guidance Paper on Enterprise Risk Management for Capital Adequacy and Solvency Purposes.
12. International Association of Insurance Supervisors, 2008, Standard on Enterprise Risk Management for Capital Adequacy and Solvency Purposes.
13. James Lam, 2003, Enterprise Risk management: From Incentives to Controls, Wiley Finance, 44-45.
14. Jean-Luc Besson, 2009, Enterprise Risk management: Setting the Scene, SCOR Focus, October, 10-13.
15. Laura Santori, 2009, Enterprise Risk Management for Insurers: The Rating Agency’s View, SCOR Focus, October, 14-19.
16. Margarita von Tautphoeus, 2009, Enterprise Risk Management–Framwork Essentials for Insurer, Munich Re.
17. Michel Crouhy, Dan Galai, and Robert Mark, 2006, The Essentials of Risk Management, McGraw-Hill, 363-385.
18. Moody`s, 2008, Moody`s Global Rating Methodology for Property and Casualty Insurers, Moody’s Global: Rating Methodology.
19. Moody`s, 2008, Moody`s Global Rating Methodology for Reinsurers, Moody’s Global: Rating Methodology.
20. Munich Re, 2008, Annual Report.
21. Patrick M. Liedtke, 2009, Drivers for Change: Key Global Issues for The Risk Industry, The Geneva Papers, 34, 1-8.
22. Paul Horgan, 2007, ERM: No Longer a Nice-To-Have, Journal of Reinsurance, Vol.14, No.2, 15-26.
23. PricewaterhouseCooper, 2008, Does ERM Matter? Appendix B Rating Agency and Regulatory Expections for ERM, 92-93.
24. Rob Jones, Yann Le Pallec and Wolfgang Rief, 2009, Solvency II: Wounded, But Alive and Kicking, Standard &Poor’s Global Reinsurance Highlights, 28-32.
25. Robert E. Hoyt, 2003, The Determinants of Enterprise Risk Management: Evidence from The Appointment of Chief Risk Officers, Risk Management and Insurance Review, Vol.6, No.1, 37-52.
26. Standard & Poor’s, 2005, Evaluating the Enterprise Risk Management Practices of Insurance Companies, Ratings Direct.
27. Standard & Poor’s, 2006, Refining the Focus of Insurer Enterprise Risk Management Criteria, Ratings Direct.
28. Standard & Poor’s, 2006, Summary of Recent Enhancements to Insurer Enterprise Risk Management Criteria, Ratings Direct.
29. Standard & Poor’s, 2007, Summary of Standard & Poor’s Enterprise Risk Management Evaluation Process for Insurers.
30. Standard & Poor’s, 2008, Enterprise Risk Management Is Improving in North American and Bermudan Insurers.
31. Standard & Poor’s, 2009, Expanded Definition of Adequate Classification in Enterprise Risk Management Scores, Ratings Direct.
32. Standard & Poor’s, 2009, Methodology: Assessing Management’s Commitment to and Execution of Enterprise Risk Management Processes, Ratings Direct.
33. Swiss Re, 2008, Annual Report.
34. Swiss Re, 2009, Sigma: Scenario Analysis in Insurance, No.1.
35. Wayne Ratcliffe, Frank Samer and Bernd Langer, 2009, Enterprise Risk Management: From Risk Management to ERM, SCOR Focus, 20-27.
36. Willis, 2008, Newsletter: ERM and the Rating Agencies. |
| Description: | 碩士
國立政治大學
經營管理碩士學程(EMBA)
96932255
98 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0096932255 |
| Data Type: | thesis |
| Appears in Collections: | [經營管理碩士學程EMBA] 學位論文
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