臺灣博碩士論文加值系統

本研究以選擇權架構衡量美國政府對美國國際集團（AIG）所提供的無形擔保額度，在此基礎之下，我們進一步比較美國政府對AIG實際資本溢注額度與理論溢注額度的差異。在估計方法上，我們採用Duan(2000)最大概似法，結果顯示資本溢注額的估計值與美國政府的實際溢注有顯著的差異。特別地是AIG自2000年起，違約風險持續上升，顯示公司長久以來都處在高風險、需挹注資本的狀態。終致2008年，AIG的資金不足而導致違約風險高達98%、資本缺額估計值達到最高。若是金融監管機構依本文建議之方法，估計並要求公司維持應有的資本額（Capital requirement），AIG之違約風險與資本缺額應可大幅降低。

This paper adopts the option-based framework and uses market-based data to measure the insolvency risk, risk-based premium, risk-based capital and needed capital infusion for insurers. The model uses the bailout put to measure the guaranty value and required capital standards in an environment of stochastic assets and liabilities. The paper first applies equity price data and equity as a call option relation to estimate the critical values of assets and liabilities and their return volatilities, and then uses these estimates as inputs to calculate the fairly-priced guaranty premium and optimal capital requirement. This study uses American International Group Inc. (AIG) as an example trough out the paper to demonstrate the estimation procedures and discuss some possible empirical implications.

Abstract.................................................Ⅰ
Contents.................................................Ⅲ
List of Tables...........................................Ⅴ
List of Figures..........................................Ⅵ
Chapter 1 Introduction...................................1
Chapter 2 Model..........................................4
2.1 The Basic Framework..................................4
2.2 Risk-Based Premium and Risk-Based Capital Requirement..............................................6
Chapter 3 Estimation Method..............................8
3.1 Modeling the market value of assets and its return volatility...............................................8
3.2 Maximize likelihood estimates........................8
Chapter 4 Results.......................................10
4.1 Initial values and Data.............................10
4.2 Empirical Results...................................10
Chapter 5 Conclusion....................................13
References..............................................24
Appendix 1 First and Second Partial Derivatives of MLE with Stochastic Assets and Determine Liabilities........27

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