臺灣博碩士論文加值系統

存款保險制度主要功能，旨在處理個別金融機構之經營危機，且制定合理讓業者負擔不致過重之保險費率及基金目標值。若存款保險基金金額未達標準或未有充足金額時，金融體系發生危機或連鎖性倒閉之事件時，此時將導致存款保險基金發生違約，投資者的權益將減少，且對金融機構的信心將會大量減少，將危害整個金融體系，故評估存款保險基金的適足性，是非常重要且刻不容緩的一件事。本研究依循Rosalind L. Bennett(2002)之研究方式以及應用Merton模型來估計中央存款險公司(CDIC)之損失分配，觀察中央存款險公司(CDIC)之準備金加上金融重建基金後之資金是否足以支應，並且採用敏感性分析，檢視在不同參數的假設下，中央存款保險公司對於信用風險之敏感度，以及當參數改變後，對於基金適足性狀況是否有變化。實證結果發現利用市場資料評估中央存款保險公司在違約率38%下，存保基金加上金融重建基金無法達到有評等之等級，再加上存保公司之資本額後，除全球信評外，可分別達到各評等BBB等級。利用歷史違約資料評估中央存款保險公司在違約率38%下，無論存保基金及金融重建基金或再加上存保公司之資本額後，皆無法達到有評等之等級，且差距之金額非常大。兩分析方法的結果差異非常大，但是結果皆顯示賠償準備基金仍是有不足之情形。

The main function of deposit insurance system is handles management crisis in individual financial organ and formulates the reasonable premium rate and the fund target value. If savings the amount of money of the insurance fund have not attained standard or don’t have ample amount of money, financial system occurrence catena collapse of affairs, then can’t expect by deposit insurance system should handle the cost that a great deal of financing institution collapse needs to paying and will cause deposit insurance fund to take place default at this time, the rights of investor will reduce, and will in great quantities reduce to the confidence of the financing institution, will endanger the whole financial system, so evaluate to deposit the proper foot of the insurance fund, is a count for much and urgent matter. This study follows the way of Rosalind L. Bennett (2002) and apply Merton model to estimate the CDIC’s loss distribution. I observe CDIC fund plus RTC if there’s enough money； and I perform sensitivity analysis using different assumptions about the parameters of the model.Substantial evidence as a result find to make use of market data to evaluate central savings insurance company in the default rate under 38%, Deposit Insurance Fund to plus RTC(Resolution Trust Corporation) can`t reaching the grade of rating, and superadd capital of Deposit Insurance Company, in addition to global credit, can reach the grade of each rating BBB respectively. Make use of the data of the history default to evaluate central savings insurance company after the default rate under 38% no matter Deposit Insurance Fund plus RTC or superadd capital of Deposit Insurance Company, all can`t reach the grade of rating, and the amount of money of margin is very big.Two result differences of analysis methods are very big, but all show that the indemnity prepares as a result fund still is have shortage of situation.

目錄
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 2
第三節 研究流程 3
第二章 文獻探討 4
第一節 我國存款保險制度現況 4
第二節 信用風險傳統衡量工具 9
第三節 信用風險計量模型 14
第三章 研究方法 22
第一節 樣本選取 22
第二節 模型介紹 22
第三節 資產價值及違約風險評價 25
第四節 損失分配模擬過程與適足性之評估 29
第四章 實證結果 32
第一節 結果分析 32
第二節 敏感性分析 33
第五章 結論與建議 36
第一節 結論 36
第二節 未來研究建議 37
參考文獻 39
附錄(表、圖) 42

中文文獻
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10.劉志華(1998) ，「信用風險衡量與管理」，國立台灣大學商學研究所碩士論文。
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12.蔡進財(2006)，「存款保險在金融安全網之角色」，經濟前瞻

英文文獻
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