Riskiness在財產保險業監理上的應用

Abstract

監理金融業的財務健全主要可分為三個部分：公司內部之風險管理與公司治理、政府監理機關、金融市場之外部監理。公司內部之風險管理，大部分都使用JP Morgan在1980年代末期所提出的風險值法(VaR, Value at Risk)，主要是衡量該公司整體的投資組合因為市場價格變動，在持有期間與假設的信賴區間之內所導致的最大預期損失，受到廣泛的應用。可惜VaR法仍有美中不足之處，例如信心水準的決定沒有一致的標準、只考慮最壞的情形而完全忽略分配另一端的情形，以及忽略了信賴區間外的可能巨大損失風險。政府監理部分，是採行自有資本佔RBC所計算出來的風險性資本的比率來規範，但RBC在計算上稍微複雜，且只將比率分為三大比率區間，因此對於能否準確掌握金融機構的風險是有疑慮的。 Aumann and Serrano在JPE (2008)中提出了全新的Riskiness的概念，本文利用這個全新的風險衡量指標，搭配目前現有的資本適足率(RBC)監理制度，希望能夠發展出另外一套風險監理的標準。 本文先從金融機構中保險業的財產保險作為試算對象，探討影響Riskiness直的大小的原因，並與現有的RBC做比較。未來希望能夠將此計算方法逐步拓展到人身保險、乃至於銀行、投信、證券商及其他金融機構，成為另外一種衡量風險管理的指標。

Many financial industries use the Value at Risk (VaR) as the capital requirement which developed by JP Morgan in the late 1980’s to manage their risk. VaR measures the company’s overall portfolio risk due to the price change, it determines the maximum expected loss under the assumption of confidence interval and the given holding period which is quite popular among the industry. However, VaR is not flawless. For example, the confidence level of the decision is not constant and it is quite subjective. Secondly, VaR only consider the worst case scenario under the assumption and completely ignore the possibility of the gain side. Besides, it does not take the extremely loss into account although the probability for this may be really small, while it happens, it may crush the company. In the Journal Political Economy, 2008, Aumann and Serrano brought us about the new concept “Riskiness” in their “An Economic Index of Riskiness”. By using this new method compared with the existed RBC regulation, this article wish to develop another type of risk management in capital requirement. Because RBC only divided into three categories which this article think it is insufficient to judge which company may be impaired and may affect the efficiency for the authority to regulate them. We try to use the Non-life Insurance company as the experimental subjects in this article. Analyzing the results and compare them with the current regulations. We wish to expand to other financial industries such as Life Insurance company, Banks, Securities, Mutual Funds company, etc. Final goal is to become another measure of risk management indicator regulated by the authority.