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    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)
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    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
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    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。
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    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。
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    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

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