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研究生: 王睿昇
研究生(外文): Ruei-Sheng Wang
論文名稱: 台灣地區金融控股公司整體風險值之研究
論文名稱(外文): An Evidence about the Whole Value at Risk of Financial Holding Companies in Taiwan
指導教授: 陳麗惠
指導教授(外文): Li-Hui Chen
學位類別: 碩士
校院名稱: 樹德科技大學
系所名稱: 經營管理研究所
論文出版年: 2005
畢業學年度: 93
語文別: 中文
論文頁數: 59
中文關鍵詞: 金融控股公司風險值
外文關鍵詞: FHCVaR
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  • 點閱:35
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台灣地區因加入世界貿易組織後金融市場競爭更加激烈,政府意識金融改
革之重要,故宣示2000 年為金融改革元年,先於2000 年11 月通過「金融機
構合併法」,再於2001 年6 月通過「金融控股公司法」,提供國內金融機構
轉型、整合與跨業經營之多元化轉型機制與空間,而遂有金融控股公司
(financial holding company, FHC)之成立。FHC 經營模式已為國際金融發展
之新趨勢,對台灣金融市場而言為一種經營方式之創新,也是一種挑戰。國際
交換及衍生性金融商品協會等重要財務金融機構組織及管理單位皆強調風險
管理之重要性,並要求市場參與者採用客觀方法評估市場變動對持有部位價格
的影響。我國財務會計準則委員會也在27 號公報,強調市場風險數量資訊揭
露之重要性,並建議以風險值 (Value at Risk, VaR)作為有效之風險控管指標模
式處理之。然成立FHC 是否能透過異業結合進而產生風險分散,為求FHC 得
以永續經營以及彰顯政府允許設立FHC 之效益,實有進一步探討FHC 整體
VaR 之必要性。本文運用拔靴法補抓台灣地區FHC 營運後股票報酬變動率之
實際分配,建構優良之FHC 之VaR 衡量模式,以求得FHC 整體VaR,並進
行回溯測試,分析FHC 目前營運狀況之良窳,並利用可補抓金融商品價格波
動性之GARCH 理論建構FHCVaR 預測模式,將此預測值與整體VaR 進行差
異分析。研究結果為本文所建立之VaR 預測模式預測精準度平均可達95%之
水準,以及分析發現可供FHC 經營者判斷企業體所面對之風險程度,實證結
果發現台灣地區之FHC 皆處於營運良好之狀況。FHC 可由此模式獲取相關訊
息並調整公司經營策略方針,使企業體得以永續經營。
According with Taiwan participated in WTO, Taiwan financial market has
become extremely intense. The government recognized the importance of financial
reform and therefore announced that the year 2000 would be the first Year of
Financial Reform, the Law of in Financial Businesses Merger as passed in Nov.
2000, and the Financial Holding Company Act was in June 2001. Those provide
domestic financial businesses the plaralism transformations, integration and
industries combination management. The financial holding company(FHC), was
then established. It’s a new tendency of international financial development to
operate FHC business. This new business is not only an operation innovation but
also a challenge in Taiwan financial market. Financial institutions and
organizations, such as International Exchange Association and Derivative Financial
Products Association, etc., were emphasized the important of risk management.
They also requested that market participators evaluate the influence on market
alteration to commodity at certain price based on objective aspects. The Financial
Accounting Standards Board No. 27 stressed the significant of exposing market
risk, and suggested that the Value at Risk,(VaR)could be an effective risk control
index measurement model. Could FHC distribute the risk caused by integrating
various industries? Or could it be a sustainable operation? Or could it manifest the
effect of FHC? Its entire VaR has to be studied further. This study employ
bootstrapping method to determine the actual distribution of stock return change
rate after operated in Taiwan, constructing an excellent FHCVaR evaluation
model, so that used model the FHC whole the VaR can be acquired, and the Back
Test method coast implemented to analyze the advantages/disadvantages of the
current operation. Furthermore, Established and aims to set up the of FHCVaR
forecasting model based on GARCH theory that considered the price fluctuation for
the derivative. The diversity of anticipative value and the entire VaR are subject for
analysis. The researching result were the accuracy of VaR forecasting model was
reache 95%, The risk degree of FHC that managers concerted has been analyzed
and revealed and know that FHC in Taiwan was in good operation condition. By
using the models that built in this investigation, the managers of FHC can receive
relevant information and adjust management strategies to arrive the purpose of
perpetual operation.
目  錄
頁次
中文論文題目…………………………………...………………..Ⅰ
英文論文題目.................................................................................Ⅱ
博碩士論文授權書.........................................................................Ⅲ
博碩士論文電子檔案上網授權書.................................................Ⅳ
博碩士論文電子檔案上網授權書.................................................Ⅴ
論文指導教授推薦書…………………………………………….Ⅵ
論文指導教授推薦書………………………………………….…Ⅶ
誌謝…………………………………………...…………………..Ⅷ
中文摘要……………………………………...…………………..Ⅸ
英文摘要.........................................................................................Ⅹ
目錄…………………………………….….……….………….XI
圖目錄…………………………………....……………………..XIV
表目錄...........................................................................................XV
第一章 緒論.....................................................................................1
1.1 研究背景……………………..…………...………………………………1
1.2 研究動機………………………..……………...…………………………3
XII
1.3 研究目的……………………………………….....………………………6
1.4 研究方法…………………………………………….……………………6
1.5 研究流程…………………………………………...……..………………7
1.6 論文結構………………………………………...……………..…………8
第二章 文獻探討...........................................................................10
2.1 金融控股公司發展概況.......……..……………………………………..10
2.2 企業營運風險結構與衡量………...……………..……………………..13
2.3 數量方法論…………………………………………..…………...……..20
2.4 小結………………………………………..……………………...……..24
第三章 數量模式之建立...............................................................26
3.1 符號定義與假設…………….…………………....……………………..26
3.2 FHCVaR 衡量模式之建立……………………………...………………..29
3.3 FHCVaR 預測模式之建立………………………………...……………..30
3.4 回溯測試模式之建立與應用......…………………...……………..35
3.5 小結………………………………………………….…………………..37
第四章 實證研究...........................................................................38
4.1 研究假設………………………………..………………………...……..38
4.2 研究設計…………………………………………………..…...………..38
4.3 實證分析…………………………………..………………...…………..40
4.4 實證結果…………………………………………..………………...…..45
4.5 小結…………………………………………………..…………...……..46
第五章 結論...................................................................................47
5.1 研究結果…………………………………………………..…………….47
5.2 後續研究建議與限制………………………………………..……...…..48
XIII
參考文獻…………………………………………………………………...…...50
附錄………………………………………….….………………………...……...58
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