金控公司資本適足性之研究

Assessing the Capital Adequacy for Financial Holding Companies

王姿雯(Tzu-Wen Wang)

指導教授 ： 俞明德 ； 陳軒基

元智大學/管理學院/財務金融學系/碩士(2003年)

摘要

延伸Merton 1977年之概念 ,本文運用選擇權評價方式,建立一模型,來衡量金控公司之違約風險貼水及成立金控之優劣條件.透過此一模型,我們更可以客觀確認子公司與母公司間關係.

關鍵字

金控公司 ； 資本適足性 ； 違約風險貼水 ； 選擇權評價

並列摘要

Following the concept of Merton (1977), this thesis studies the capital adequacy for a financial holding company and how to create the maximum default risk premium. Passing through this model, we find not only the highest default risk premium value for a financial holding company but also the interrelation between the subsidiary companies and the financial holding company.

並列關鍵字

Financial holding company ； capital adequacy ； Default risk premium ； Option pricing ； Monte Carlo simulation ； CIR

參考文獻

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