臺灣博碩士論文加值系統

我國保險業國外投資比例逐年上升，且主管機關為持續深化保險業的資金運用效率以及擴大資金運用管道，因此如何有效監控保險公司國外投資的風險益顯重要。

本研究擬探討我國保險公司國外投資風險的屬性，我國現行風險基礎資本額制度如何捕捉該風險，以及其他國家國外投資風險的相關規範等，主要的目的是希望藉由本研究可以更即時且清楚地了解目前保險公司所面臨國外投資風險的狀況，並釋出相關風險測量的方法，即以國家主權信用評等作為風險分類之依據予主管機關和保險公司，以供保險監理或公司內部風險管理需求之參考。實證結果發現，國家主權信用評等與該國股價指數具有相當的關聯性，符合本研究所預期之結果。

The proportion of foreign investment by the insurance industry in Taiwan has been increasing yearly, and regulators in charge continuously increase the fund operation efficiency and channels of fund utilization. Therefore, how to effectively monitor the foreign investment made by insurance industry has become increasingly important.

This research plans to explore the nature of risk involved when insurance companies in our country invest overseas, how our current system of risk-based capital captures such risks and the related rules and regulations of other countries regarding foreign investment risks. The main purpose is to understand more clearly the risk profiles faced by insurance companies when they invest overseas and to come up with methods of risk measurement, i.e., using sovereign rating to provide regulator in charge and insurance companies with risk categorization for the reference needs of insurance monitoring or internal risk management of the company. Results show that sovereign rating is significantly related to the stock index of a particular country, which is in line with our research hypothesis.

目 錄
壹、 緒 論............1
第一節 研究背景及動機............1
第二節 研究目的............5
第三節 研究流程與架構............6
貳、 我國與先進國家現行監理制度綜合比較............8
第一節 股權投資............8
第二節 債券投資............10
第三節 綜合比較............11
參、 文獻回顧............12
第一節 風險值的相關文獻............12
第二節 風險基礎基本額制度說明............15
第三節 各國監理制度相關規範............20
第四節 我國RBC國外投資風險計算之演變............28
肆、 研究方法............33
第一節 研究設計............33
第二節 實證方法............34
第三節 樣本的選取與資料的蒐集............35
伍、 實證結果與分析............37
第一節 股價指數日報率及其標準差............37
第二節 迴歸分析............40
第三節 風險係數之計算............48
第四節 與現行制度之差異分析............49
陸、 研究結論與建議............54
第一節 研究結論............54
第二節 後續研究建議............55
參考文獻............56

參考文獻
一、中文文獻
張士傑與蔡政憲，2007，「保險財務評估與監理」，財團法人保險事業發展中心。
鄭濟世，1998，「我國壽險業資本適足性之研究」，財團法人保險事業發展中心。

二、英文文獻
Alexander, C. and O. T. Leigh,1997, “On the Covariance Matrices Used in Value at Risk Models,” Journal of Derivatives, Vol. 4, pp. 50-62.
Drew L., 1997, “Value-at-Risk Approach to Risk-Return Analysis,” Journal of Lending and Credit Risk Management, Vol. 79, pp. 23-29.
Fong, G. and O. A. Vasicek, 1997, “A Multidimensional Framework for Risk Analysis,” Financial Analysts Journal, Vol. 53, pp.51-57.
Gregory, P. H., 1996, “Value at Risk: A New Methodology for Measuring Portfolio Risk,” Business Review Vol. 119, pp.19-31.
Garbade, K. D., 1986, “Assessing Risk and Capital Adequacy for Treasury Securities,” Topics in Money and Securities Markets, Bankers Trust.
Hendrinks, D., 1996, “Evaluation of Value-at-Risk Models Using Historical Data,” Federal Reserve Bank of New York Economic Policy Review, Vol. 2, pp. 39-69.
Hsieh, D. A., 1993, “Assessing the Market and Credit Risks of Long-Term Interest Rate and Foreign Currency Products,” Financial Analysts Journal, Vol. 20, pp. 49, 75-79.
John H., 1997, “What is Value at Risk,” Accountancy, Vol. 119, pp. 58-59.
Jorion, P., 1997, Value at Risk: The New Benchmark for Controlling Derivatives Risk, McGraw-Hill.
J.P. Morgan, 1996, Technical Document, Forth Edition.
Kahane, Y.,1977, “Capital Adequacy and the Regulation of Financial Intermediaries,” Journal of banking and finance Vol. 1, pp.207-218.
Wilson, T. 1994, “Plugging the GAP,” Risk, Vol. 7, pp.74-80.