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| 研究生： |
鄭潔霙 Cheng, Chieh-ying |
|---|---|
| 論文名稱： |
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 |
| 指導教授： | 張士傑 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 風險管理與保險學系 Department of Risk Management and Insurance |
| 論文出版年： | 2006 |
| 畢業學年度： | 94 |
| 語文別： | 中文 |
| 論文頁數： | 42 |
| 中文關鍵詞： | 資本效益 、資本配置 、違約風險 、賣權價值 、資金成本 |
| 相關次數： | 點閱：230 下載：91 |
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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。
第一章 緒論..................................1
第一節 研究背景與動機.........................1
第二節 資本配置與風險管理之關係................4
第三節 研究目的..............................6
第二章 文獻探討..............................8
第三章 資本配置模型..........................12
第一節 違約價值.............................12
第二節 邊際違約價值.........................15
第三節 子公司之違約價值與資本需求.............18
第四章 研究方法.............................21
第一節 研究模型.............................21
第二節 研究步驟.............................22
第三節 研究樣本與期間........................24
第五章 實證分析.............................26
第一節 富邦金融控股公司主要子公司之分析........26
第一項 富邦產險.............................26
第二項 富邦人壽.............................28
第三項 台北富邦銀行.........................30
第四項 富邦證券.............................32
第二節 富邦金融控股公司及其子公司之違約值計算..34
第三節 應用資本配置模型之結果................37
第一項 各子公司之邊際資本額..................37
第二項 資本配置之結果.......................38
第三項 實證結果整理.........................39
第六章 結論................................41
參考文獻....................................43
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