臺灣博碩士論文加值系統

在金融商品創新的潮流下，整合型風險管理因應而生。整合型風險管理促使資本管理與風險管理之間的關係更為緊密，其對公司價值可能所產生的影響不容忽視。本研究利用數值模擬分析法，分別就不同的資本管理策略及整合型風險管理策略進行探討，發現資本管理策略及整合型風險管理策略決定的先後順序的確會影響公司價值，並且在不同的既定策略下，損失前後的公司價值有所不同，其波動性亦有所不同。根據本研究的實證結果得知：最適的自留比例以公司最大的風險容忍度為限，最適的風險資本配置比例則以公司最高的表外風險資本配置比例為限，最適資本結構的負債比例則為50%至70%之間。整合型風險管理策略與資本管理策略對公司價值具有影響性，有意採行IRM 的公司可參考本研究結果，針對其經營目標選擇不同的策略，以滿足在穩健經營下，追求公司價值最化大之目標。

The financial innovation trend brought about the integrated risk management, which in turn brings capital management and risk management closer, with great influence on the firm’s value. Numerical Simulation Analysis is used in this study to discuss different capital management strategies and integrated risk management strategies separately, and we found that the order of determining capital management strategy or integrated risk management strategy will definitely influence the firm’s value, and that under different determined strategies, the firm’s value before and after the loss is also different along with the fluctuation. Our results indicate that the optimal risk retention ratio is that which does not exceed the highest risk tolerance level of the firm, the optimal risk capital allocation ratio is that which does not exceed the highest allocation ratio of the off-balance-sheet risk capital, and the optimal capital structure ratio is between 50% and 70%; the integrated risk management strategy and capital management strategy affect the firm’s value. Consulting the result of this study, companies can choose different strategies in accordance with their managerial objectives in order to satisfy the stability of operation and pursue the goal of maximizing the firm’s value.

第壹章 緒論.............................................. 1
第一節 研究動機與目的.................................... 1
第二節 研究流程與架構.................................... 4
第三節 研究限制.......................................... 6
第貳章 文獻回顧.......................................... 7
第一節 資本管理之相關文獻................................ 7
第二節 整合型風險管理之相關文獻......................... 10
第三節 風險自留決策之相關文獻........................... 12
第參章 研究方法......................................... 14
第一節 研究方向......................................... 14
第二節 研究模型......................................... 15
第三節 資料來源與研究變數............................... 23
第四章 實證結果與分析................................... 25
第一節 既定資本管理策略之分析........................... 25
第二節 既定整合型風險管理策略之分析..................... 30
第五章 結論與建議....................................... 46
參考文獻................................................ 50
附錄.................................................... 52

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