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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 曾郁仁 | |
dc.contributor.author | Meng-Hsuan Tsai | en |
dc.contributor.author | 蔡孟璇 | zh_TW |
dc.date.accessioned | 2021-05-12T09:34:33Z | - |
dc.date.available | 2020-06-29 | |
dc.date.available | 2021-05-12T09:34:33Z | - |
dc.date.copyright | 2018-06-29 | |
dc.date.issued | 2018 | |
dc.date.submitted | 2018-06-22 | |
dc.identifier.citation | (1) Morgan, J. P. (1996). Riskmetrics technical document.
(2) Artzner, P., Delbaen, F., Eber, J. M., & Heath, D. (1999). Coherent measures of risk. Mathematical finance, 9(3), 203-228. (3) Aumann, R. J., & Serrano, R. (2008). An economic index of riskiness. Journal of Political Economy, 116(5), 810-836. (4) Foster, D. P., & Hart, S. (2009). An operational measure of riskiness. Journal of Political Economy, 117(5), 785-814. (5) Homm, U., & Pigorsch, C. (2012). An operational interpretation and existence of the Aumann–Serrano index of riskiness. Economics Letters, 114(3), 265-267. (6) Schnytzer, A., & Westreich, S. (2013). A global index of riskiness. Economics Letters, 118(3), 493-496. (7) 曾于芳. (2009). 台灣保險業資產風險係數之探討. 政治大學風險管理與保險學研究所學位論文, 1-60. (8) 洪麗煌. (2000). 運用風險值方法衡量風險基礎資本額, 逢甲大學保險學研究所, 碩士論文. (9) 江易燊. (2011). 新風險指標Riskiness 在保險業風險管理上的應用. 臺灣大學財務金融學研究所學位論文, 1-35. (10) 邵喬淵. (2012). Riskiness 在財產保險業監理上的應用. 臺灣大學財務金融學研究所學位論文, 1-37. (11) 陳姵均. (2012). 台灣股市風險之研究─Aumann and Serrano 與Hong and Zhai風險指標之應用. 臺灣科技大學財務金融學研究所學位論文, 1-43. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/handle/123456789/1227 | - |
dc.description.abstract | 風險資本額(Risk Based Capital, RBC)為目前監理機關用以判斷保險公司清償能力的指標,透過風險係數來衡量保險公司的風險,其中,風險值(Value at Risk,VaR)是目前最廣為使用的風險指標,但仍存在某些問題,而Aumann 與Serrano 在2008 年所提出新風險指標 Riskiness,擁有許多VaR 缺少的良好特性,因此本篇論文希望探討Riskiness 在計算RBC 中風險項目的風險係數,相較VaR,能夠展現的特性,以期未來能發展出更客觀公正、更具經濟意涵的風險係數計算方法。
本篇論文專注於保險公司的股票風險,透過圖形及排序的方式比VaR 與Riskiness 計算風險係數的表現,研究結果發現,相較於VaR,Riskiness 能適當地反應損失及獲利,且做出符合直覺的風險決策。因此,若未來監理機關以新風險指標Riskiness 計算國內股票的風險係數,或許能兼顧風險與獲利,更有立場地進行監理。 | zh_TW |
dc.description.abstract | Risk Based Capital, so called RBC, is an indicator used by the authority to evaluate the solvency of insurance companies, which measures the risks of insurance companies by the risk weights. Among them, Value at Risk, so called VaR, is currently the most widely used whereas not the perfect one; Aumann and Serrano proposed one new risk index “ Riskiness” in 2008, which has many good features that VaR is lack of. Therefore, the propose of this master thesis is to explore the potential of Riskiness on developing a more objective and economical method to calculation the risk weights of RBC.
This thesis mainly focuses on the stock risk of insurance companies, comparing the performance of VaR and Riskiness on calculating risk weights through graphing and ranking. As a result, in contrast to VaR, the study finds that Riskiness can properly reflect losses and gains and make rational decisions on risk management. Therefore, if Riskiness is used on risk weight calculations in the future, the authority may be able to implement the regulations that takes into account losses and gains, which may be more properly. | en |
dc.description.provenance | Made available in DSpace on 2021-05-12T09:34:33Z (GMT). No. of bitstreams: 1 ntu-107-R05723041-1.pdf: 4045078 bytes, checksum: c202e3edd66cd42e21616d8df687e43a (MD5) Previous issue date: 2018 | en |
dc.description.tableofcontents | 口試委員會審定書 - 1
中文摘要 - 2 英文摘要 - 3 圖目錄 - 5 表目錄 - 5 第一章 緒論 - 6 1.1 研究動機 - 6 1.2 研究範圍 - 6 第二章 文獻回顧 - 7 2.1 風險資本額Risk Based Capital - 7 2.2 風險值Value at Risk - 10 2.3 新風險指標Riskiness - 13 第三章 研究方法與結果 - 15 3.1 性質比較 - 16 3.2 資料蒐集與處理 - 17 3.3 風險係數計算 - 20 3.4 計算結果比較與分析 - 21 3.5 延伸分析 - 26 第四章 結論 - 33 4.1. 研究結果 - 33 4.2. 未來研究方向 - 34 參考資料 - 35 | |
dc.language.iso | zh-TW | |
dc.title | Riskiness對保險公司之股票風險在監理上的應用 | zh_TW |
dc.title | The Application of 'Riskiness' on Regulation of Insurance Companies' Stock Risk | en |
dc.type | Thesis | |
dc.date.schoolyear | 106-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 黃瑞卿,王仁宏 | |
dc.subject.keyword | 新風險指標,風險值,保險公司,監理, | zh_TW |
dc.subject.keyword | Riskiness,Value at Risk (VaR),Insurance Company,Regulation, | en |
dc.relation.page | 35 | |
dc.identifier.doi | 10.6342/NTU201801022 | |
dc.rights.note | 同意授權(全球公開) | |
dc.date.accepted | 2018-06-22 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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