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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。
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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:	[Department of Risk Management and Insurance] Theses

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