臺灣博碩士論文加值系統

近年來，全球注目的焦點莫過於由美國次級房貸風暴所引發的全球金融風暴，此風暴造成貝爾斯登、雷曼兄弟等投資銀行相繼爆發財務危機，進而造成全球經濟莫大的衝擊。鑑於這場罕見的系統性金融危機，且為有效安定存款人信心，行政院長劉兆玄先生於 2008年10月宣佈「所有國內銀行存款戶的存款，政府皆會全額保障」。然而，問題是我國存款保險公司是否真的有能力付擔起銀行倒閉所造成的虧損呢？
以往存款保險評價之相關研究，大都視存款保險為一賣權契約，只考慮銀行資產的單一風險，然而這樣的模型卻忽略了中央存保公司違約的風險。本研究依循 Episcopos ( 2004）的方法，將存款保險劃分為：全額擔保與有限擔保兩類。全額擔保的價值利用 Ronn and Vema 的模型表示，而有限擔保的價值則以脆弱賣權來表達。藉由採用帶有信用風險的選擇權方式且將保障比率設定為外生參數下，試圖去連結風險差別費率和存保公司準備金。最後利用 2007 年台灣地區上市、上櫃銀行之資料進行實證，估計出當單一銀行被承保時，中央存保公司所需提撥之最是準備金估計值。

In the recent years, the focus of the world is on the global financial crisis caused by the U.S. subprime mortgage meltdown, which had led to the financial crises of investment banks such as The Bear Steams Companies Inc. and Lehman Brothers Holding Inc., one after another, making a huge impact on the global economy. In view of this rare systematic financial crisis, and in order to effectively restore depositors’ confidence, Premier Liu Chao-shiuan announced the policy of “full deposit guarantee from the government for all the domestic bank deposit accounts” in October 2008. However, the question is, can the insurance companies in Taiwan afford the loss from the bankruptcy of banks?
The literature of deposit insurance valuation only incorporates the effect of bank’s asset risk. However, such model ignores the risk of CDIC default. This study
follows the method by Episcopos (2004), dividing deposit insurance into two types:
full coverage and limited coverage. The value of full coverage is represented by Ronn
and Verma’s model, while the value of limited coverage is represented by vulnerable put. By adopting the option method with credit risk and setting the coverage rate as an exogenous parameter, this study tries to link up risk-based premiums and reserve, and lastly, estimates the appropriate amount of reserve the Central Deposit Insurance Corporation should contribute when a single bank is insured, by conducting empirical research with the data of OTC and TSE banks in Taiwan in 2007.