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| Title: | 金融控股公司之資本配置與績效評估-以國泰金融控股公司為例
Capital Allocation and Performance Analysis in Financial Holding Company: Empirical Study of Cathay Financial Holdings |
| Authors: | 黃馨眉 |
| Contributors: | 張士傑
黃馨眉 |
| Keywords: | 資本配置
違約價值
資金成本
資本報酬
capital allocation
default value
capital cost
capital return |
| Date: | 2012 |
| Issue Date: | 2013-07-11 16:58:40 (UTC+8) |
| Abstract: | 伴隨著台灣的金融整併，產生資本龐大的金融控股公司，為追求資本的效率，資本配置的重要性隨之提升。此研究將資本配置之方法，應用於國泰金融控股公司，檢視其資本分配的狀態。首先使用Margrabe(1978)提出的交換選擇權計價模型來計算金融控股公司的違約價值，並引用Myers and Read(2001)之方法，利用各子公司邊際違約價值應相等的概念，將金融控股公司的資本分配給各子公司。結果顯示，人壽子公司相較於其他子公司而言，最需要資本來支撐其風險。此外計算各子公司之資金成本與資本報酬做比較，結果顯示銀行資金成本低於資本報酬，為獲利最佳子公司，而人壽資金成本高於資本報酬，反映其面臨風險較多，相較其他子公司而言，需要更多資源作為風險的緩衝。
Since Taiwan`s financial consolidation, many financial holding companies possess huge capital. For pursuing the capital efficiency, capital allocation becomes much more important than before. The study applys the capital allocation method on the Cathay Financial Holdings to inspects its capital allocation situation. We first use the exchange option pricing model, which was proposed by Margrabe(1978), to compute the default value of the financial holding company. And then we use the Myers and Read(2001) capital allocation method, allocating capital by the concept that all the subsidiaries should have the same marginal default value. The result shows that, comparing with other subsidiaries, the life insurance subsidiary has much more demand for capital. In addition, comparing the capital return and capital cost, we know that the bank subsidiary is the most profitable subsidiary. And the life insurance subsidiary have higher capital cost than capital return, reflecting the fact that it need more capital to be the buffer of the risk it have. |
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9. Myers, S. C. and Read, J. A., 2001, Capital Allocation for Insurance Company, Journal of Risk and Insurance 68(4): 545-80.
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15. 鄭潔霙(2006)，「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」，國立政治大學風險管理與保險學系碩士論文。
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17. 王美晴(2007)，「金控公司下金融業之權益資金成本」，國立中正大學財務金融研究所碩士論文。
18. 蔡永順、吳榮振(2007)，⌜金融整併與金融不穩定:台灣金融控股公司為例⌟，金融風險管理季刊。
19. 張孝銓(2008)，「台灣產物保險業之資金成本與費率自由化」，國立政治大學風險管理與保險學系碩士論文。
20. 黃昭元、蔡茂寅、陳忠五、林鈺雄(2011)，⌜綜合法典⌟，新學林出版股份有限公司
21. 劉紹樑(2012)，「金融脈動」，金融研訓院。 |
| Description: | 碩士
國立政治大學
風險管理與保險研究所
100358024
101 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0100358024 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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