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系統識別號 U0002-1307202010125600
中文論文名稱 在資本監管下人壽保險公司與銀行的互換違約風險定價行為之探討
英文論文名稱 Life insurer-bank swap default risk pricing under capital regulation
第三語言論文名稱 在资本监管下人寿保险公司与银行的互换违约风险定价行 为之探讨
校院名稱 淡江大學
系所名稱(中) 國際企業學系碩士班
系所名稱(英) Master's Program, Department Of International Business
學年度 108
學期 2
出版年 109
研究生中文姓名 張達翔
研究生英文姓名 Da-Xiang Zhang
電子信箱 zhang418245910@foxmail.com
學號 607554010
學位類別 碩士
語文別 中文
第二語文別 中文
口試日期 2020-06-22
論文頁數 65頁
口試委員 指導教授-林志鸿
委員-林志娟
委員-周继儒
中文關鍵字 人壽保險單  資本監管  雙邊互換違約風險 
英文關鍵字 Life insurance policy  Capital regulation  Bilateral swap default risk 
第三語言關鍵字 人寿保险单  资本监管  双边互换违约风险 
學科別分類
中文摘要 有一類研究主題備受關注,是關於資本監管與互換違約風險相關的金融機構。當保險與銀行進行互換交易時,本文聚焦於雙方的違約風險定價。研究的問題在於互換交易策略是如何影響保險與銀行的權益價值。研究表明,壽險公司(在模型中扮演保護買方的角色)將銀行設定的最優貸款利率(扮演保護賣方的角色)作為戰略補充,而銀行則將壽險公司保單的保證利率作為戰略替代,壽險公司因進行互換交易對沖,從而提高了盈利能力。然而,這行為損害了投保人的保護。銀行的資本監管不僅損害了銀行績效,也損害了壽險投保人的利益。當保險公司的槓桿率較低時,保險公司的資本監管也會損害銀行的績效。通過監管持有更多的資本,將危及保險公司與銀行的績效,即便考慮雙邊違約風險定價,也會對金融體系的穩定性產生不利影響。
英文摘要 The topic of swap default risk in connections with financial institutions under capital regulation has been attracted to a great deal of attention. This paper focuses on a life insurer-bank swap transaction where both the parties bilaterally price default risk. The question is investigated of how the equity values of the life insurer and the bank are affected by swap transaction strategies. We show that the life insurer (acted as a protection buyer in the model) regards the optimal loan rate set by the bank (acted as a protection seller) as a strategic complement, while the bank regards the guaranteed rate of the life insurance policy determined by the life insurer as a strategic substitute. Hedging in the swap transaction conducted by the life insurer enhances profitability, however, harms policyholder protection. Bank capital regulation hurts not only bank survival but also life insurance policyholder. Insurer capital regulation also hurts bank survival when the life insurer’s leverage is low. Holding more capital by regulation would jeopardize insurer-bank performance even though bilateral swap default risk pricing is explicitly considered, thereby adversely affecting the stability of the financial system.
第三語言摘要 有一类研究主题备受关注,是关于资本监管与互换违约风险相关的金融机 构。当保险与银行进行互换交易时,本文聚焦于双方的违约风险定价。研究的问 题在于互换交易策略是如何影响保险与银行的权益价值。研究表明,寿险公司(在 模型中扮演保护买方的角色)将银行设定的最优贷款利率(扮演保护卖方的角色) 作为战略补充,而银行则将寿险公司保单的保证利率作为战略替代,寿险公司因 进行互换交易对冲,从而提高了盈利能力。然而,这行为损害了投保人的保护。 银行的资本监管不仅损害了银行绩效,也损害了寿险投保人的利益。当保险公司 的杠杆率较低时,保险公司的资本监管也会损害银行的绩效。通过监管持有更多 的资本,将危及保险公司与银行的绩效,即便考虑双边违约风险定价,也会对金 融体系的稳定性产生不利影响。
論文目次 目錄

致謝辭...................................................................................................................I
中文摘要................................................................................................................IV
英文摘要.................................................................................................................V
目錄................................................................................................................VI
表目錄................................................................................................................IX
圖目錄.................................................................................................................X



第一章 緒論.....................................................................................................1

第一節 研究背景 1
第二節 研究動機 2
第三節 研究目的 3
第四節 研究架構 5

第二章 理論概念:保險風險、銀行風險與衍生性交換 8

第一節 保險面臨的主要風險 8
1. 投資風險(Investment risk) 9
2. 錯配風險(Mismatch risk) 10
第二節 銀行面臨的主要風險 11
1. 信用風險(Credit risk) 11
2. 流動性風險(Liquidity risk) 12

3. 市場風險(Market risk) 13
4. 合規風險(Compliance risk) 14
第三節 銀行與保險在兩個主要風險下的區別 14
1. 流動性風險(Liquidity risk) 15
2. 系統性風險(Systemic risk) 16
第四節 保險公司與高度具有保險功能衍生品的相關性 19
1. 衍生性金融工具的重要性 19
2. 衍生性金融商品:Credit Default Swap 20
第五節 小結 22

第三章 文獻回顧與探討 23

第一節 違約風險定價理論相關文獻 23
第二節 交易對手信用風險相關文獻 24
第三節 資本結構與違約風險關係之相關文獻 25
第四節 資本監管相關文獻 25

第四章 理論分析架構 27

第一節 基本假設 27
第二節 人壽保險公司 29
第三節 銀行 34
第四節 模型的最優值解 37

第五章 比較靜態分析 40
第一節 互換交易的影響 40
第二節 銀行資本監管的影響 41
第三節 保險資本監管的影響 43

第六章 數值分析 44

第一節 數值分析參數設定假設 44
第二節 最優貸款利率對最優擔保利率的影響 46
第三節 最優擔保利率對最優貸款利率的影響 47
第四節 信用違約互換交易對最優擔保利率的影響 48
第五節 信用違約互換交易對人壽保險公司負債的影響 49
第六節 資本與存款比率對最優擔保利率的影響 51
第七節 資本存款比率對人壽保險負債的影響 53
第八節 資本存款比率對銀行股權風險的影響 55
第九節 保險槓桿對最優貸款利率的影響 56
第十節 保險杠桿對銀行股權風險的影響 58

第七章 結論 60
參考文獻 62

表目錄

表1:保險公司資產負債表....................................................................................... 29
表2:銀行資產負債表................................................................................................34
表3:最優貸款利率對最優擔保利率的影響............................................................46
表4:最優擔保利率對最優貸款利率的影響............................................................47
表5:保險互換交易對最優擔保利率的影響............................................................48
表6:保險互換交易對最優保險負債的影響............................................................49
表7:銀行資本存款比率對擔保利率的影響............................................................51
表8:銀行資本存款比率對保險負債的影響............................................................53
表9:銀行資本存款比率對股權風險的影響............................................................55
表10:保險槓桿對最優貸款利率的影響...................................................................56
表11:保險杠桿對銀行股權風險的影響..................................................................58

圖目錄

圖1:研究架構圖.........................................................................................................7
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