:::

詳目顯示

回上一頁
題名:台灣金融控股公司市場風險資本配置之研究
作者:賴財慶 引用關係
作者(外文):Tsai-ching Lai
校院名稱:國立中央大學
系所名稱:財務金融研究所
指導教授:史綱
俞明德
學位類別:博士
出版日期:2004
主題關鍵詞:均數條件風險值效率前緣風險值條件風險值均數風險值效率前緣value-at-riskconditional value-at-riskmean-v
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:28
本研究分別以風險值、條件風險值以及增量條件風險值為風險衡量之工具,探討台灣金融控股公司市場風險資本之配置。本研究分三個部分:第一部分以風險值為風險衡量工具,探討台灣金融控股公司市場風險資之最適配置;第二部分以條件風險值為風險衡量工具,探討台灣金融控股公司市場風險資本之配置;第三部分則以增量條件風險值以及風險預算為決策工具,分析台灣大型金融機構購併為完整金融控股公司的決策過程。
第一部分以風險值為風險衡量的工具,構建均數風險值效率前緣,以分析金融控股公司市場風險資本的最適配置,並與傳統常態分配下的均數變異效率前緣作比較,進而檢視我國現行金融控股公司法沿用銀行業、證券業、產險業和壽險業資本適足性規定的合理性。研究結果發現金融控股綜效可以降低金融控股公司市場風險資本額的幅度為52.30 % ,而且在現行四個行業法定配置的報酬水準下,均數變異效率前緣與均數風險值效率前緣的最適配置均與現行最低實收資本額的比例不相同。
第二部分以條件風險值為金融機構風險衡量的工具,構建均數條件風險值效率前緣,以分析金融控股公司市場風險資本的最適配置,並與金融監理機關所逐漸採用的風險值為風險衡量工具,所構建的風險值效率前緣作比較。研究結果發現金融控股綜效可以降低金融控股公司市場風險資本額的最大幅度,在風險值之衡量下為 52.30 %,在條件風險值衡量下則為 49.30 % 。而且在現行四個行業法定配置的報酬水準下,均數風險值效率前緣與均數條件風險值效率前緣的最適配置均與現行最低實收資本額的比例不相同。
第三部分則以增量條件風險值及風險預算為決策工具,分析台灣大型銀行、證券、產險以及壽險公司逐步購併行為。研究結果發現大型銀行和大型壽險之資金雄厚且互補性高可望成為台灣金控風潮的主要推手。
none
參考文獻
莊益源、林文昌、徐嘉彬、邱臙珍 (2003),「動態與靜態風險值模型績效之比較」,《證券市場發展季刊》,第 15 卷第 4 期,107-160.new window
Acerbi, C. (2002), “Spectral Measures of Risk: A Coherent Representation of Subjective Risk Aversion,” Journal of Banking & Finance, 26, 1505-1518.
Acerbi, C., C. Nordio & C. Sirtori (2001), “Expected Shortfall as a Tool for Financial Risk Management,” Working paper, Abaxbank.
Acerbi, C. & D. Tasche (2001), “Expected Shortfall: a Natural Coherent Alternative to Value at Risk,” Economic Notes, 31, 2, 379-388.
Alexander, C. (2001) Market Models—A Guide to Financial Data Analysis, John Wiley & Sons, Inc., 268.
Andersen, J. V. & D. Sornette (1999), “Have Your Cake and Eat It Too: Increasing Returns While Lowering Large Risks,” Working paper, University of Los Angeles.
Artzner, P., (1997), “Application of Coherent Risk Measures to Capital Requirements in Insurance,” North American Actuarial Journa,l Vol 3, No2, 11-25.
Artzner, P., F. Delbaen, M. Eber, and D. Heath (1997), “Thinking Coherently,” Risk, 10, 11(November), 68-71.
______ (1999), “Coherent Measures of Risk,” Mathematical Finance, 9, 3(July), 203-228.
Basak, S. & A. Shapiro (1998), “Value-at-Risk Based Management: Optimal Policies and Asset Prices,” Working paper, Wharton School, University of Pennsylvania.
Berkowitz, J. & J. O’Brien (2002), “How Accurate are Value-at-Risk Models at Commercial Banks,” Journal of Finance, Vol. 57, No. 3, pp. 1093-1111.
Bessis, J. (1999), Risk Management in Banking, John Wiley and Sons, Inc., West Sussex, England, 68, 252-255.
Bogentoft, E., H. E. Romeijn anb S. Uryasev (2001), “Asset/Liability Management for Pension Funds Using CVaR Constraints,” The Journal of Risk Finance, 57, 57-71.
Bowers, N. L., H. U. Hans, J. C. Hickman, D. A. Jones and C. J. Nesbitt (1997), Actuarial Mathematics, Society of Actuaries, Schaumburg, Illinois, second edition.
Brandimarte, P. (2002), Numerical Methods in Finance: a MATLAB-Based Introduction, John Wiley & Sons. Inc., New York, pp. 32-39.
Dowd, K. (2000), “VaR vs. Expected Tail Loss,” Derivatives Week, 2000, Feb., 6-7.
_______ (2002), Measuring Market Risk, John Wiley & Sons, Inc., 30, 322, 329.
Edwards, P., (1999), “Managing Risk and Capital in Financial Conglomerates,” Working Paper, Australia Prudential Regulation Authority.
Engel, J. & M. Gizycki (1999), “Conservatism, Accuracy and Efficiency: Comparing Value-at-Risk Models,” Risk and Capital Management Conference Proceedings, Australia Proudential Regulation Authority, 108-123.
Gaivoronski, A. A. & G. Pflug (2000), “Value at Risk in Portfolio Optimization: Properties and Computational Approach,” Working paper, Department of Industrial Economics and Technology Management, NTNU.
Giorgi, E. D. (2002), “A Note on Portfolio Selections under Various Risk Measures,” Working paper, Institute for Empirical Research in Economics, University of Zurich.
Gooverats, M. L., R. Kaas and J. Dhaene (2002), “Economic Capital Allocation Derived from Risk Measures,” Working Paper, University of Amsterdam.
Grootweld, H. & W. G. Hallerbach (2000), “Upgrading VaR from Diagnostic Metric to Decision Variable: A Wise Thing to Do ?” Report 2003, Erasmus Center for Financial Research.
Hallerbach, W. G. (2001), “Capital Allocation, Portfolio Enhancement and Performance Measurement: A Unified Approach,” Prepared for: EURO WGFM 2001, Haarlem NL & QMF 2001, Sydney AUS.
Jorion, P. (2001), Value at Risk, McGraw-Hill, Inc., New York, 2nd ed., p. 108.
Klugman, S. A., H. H. Panjer and G. E. Willmott (1998), Loss models: From Data to Decisions, John Wiley and Sons, Inc., Toronto, Ontario.
Markowitz, H. M. (1952), “Portfolio Selection,” Journal of Finance, 7(1), 77-91.
____ (1959), Portfolio Selection, John Wiley and Sons, Inc., New York.
Marrison, C. (2002), The Fundamentals of Risk Measurement, the McGraw-Hill Companies, Inc., 18.
Mausser, H., & D. Rosen (1998), “Beyond VaR: From Measuring Risk to Managing Risk,” ALGO Research Quarterly, 1(2), 1998, pp. 5-20.
McKay, R. & T. E., Keefer (1996), “VaR is a Dangerous Technique,” Corporate Finance -- Searching for Systems Integration Supplement 30.
Panjer, H. H. (2002), “Measurement of Risk, Solvency Requriements and Allocation of Capital within Financial Conglomerates,” IntraCompany Capital Allocation Papers, Society of Actuaries.
Pearson, Neil D. (2000), “Value at Risk,” Financial Analysis Journal, March/April 2000, 47-67.
________ (2002), Risk Budgeting: Portfolio Problem Solving with Value-at-Risk, John Wiley and Sons, Inc., New York, U.S.
Penza, P. & V. Bansal (2001), Measuring Market Risk with Value at Risk, John Wiley and Sons, Inc., West Sussex, England. 268-269.
Puelz, A. (1999), “Value-at-Risk Based Portfolio Optimization,” Working paper, Southern Methodist University.
Rockafellar, T., (1970), “Convex Analysis,” Princeton Mathematics, 28, Princeton University Press.
Rockafellar, T., and S. Uryasev (2000), “Optimization of Conditional Value-at-Risk,” Journal of Risk, 2(3), Spring 2000, pp. 21-41.
_______ (2002), “Conditional Value-at-Risk for General Loss Distributions,” Journal of Banking and Finance, 26, 1443-1471.
Skipper, H. D. (2000), “Financial Services Integration Worldwide: Promise and Pitfalls,” North American Actuarial Journal, V4, No3, 71-108.
Tasche, D. (2000), “Risk Contributions and Performance Measurement,” working paper, Munich University of Technology.
Uryasev, S. (2000), “Conditional Value-at-Risk: Optimization Algorithms and Applications,” Financial Engineering News, 14, pp. 1-6.
Williams, D. (2002), “Economic and Regulatory Capital Converge: Risk Systems Challenged,” Meridien Research, Inc., MA, USA.
Yamai, Y. & T. Yoshiba (2002), “Comparative Analysis of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress,” Monetary and Economics Studies, October, 2002, 181-238.
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE