The Effect of Fair-Value-Accounting on the Usefulness of Risk-Based Capital Ratio

公平價值會計對資本適足率有用性之影響

廖懿屏(Yi-Ping Liao)

資本適足率 ； 公平價值會計 ； 無清償能力風險 ； Risk-based capital ratio ； Fair value accounting ； Insolvency risk

台灣金融財務季刊

14卷2期（2013 / 06 / 01）

1 - 17

英文

近年來，公平價值會計已成主流，而過去文獻亦發現公平價值會計下之財務報表價值攸關性顯著提升。然而，財務報表之任務並不僅限於促進評價決策（Gjesdal ,1981; Sunder,1999），尤對保險業而言，更應有助瞭解公司財務健全程度；實務文獻（Chisnall, 2000; McEllin, 2006）認為，公平價值會計造成金融監理指標非必要（或不真實）之波動，可能導致其有用性降低。本研究利用臺灣保險業在2005－2011年間之資料，探討採用公平價值會計對資本適足率（Risk Based Capital ratio; RBC ratio）之影響，結果發現：（1）資本適足率對無清償能力風險之解釋能力在公平價值會計實施後，顯著下降；（2）就橫斷面角度分析，若公平價值變動損益占自有資本之比例越高，則該公司之資本適足率對無清償能力風險之解釋能力越低。

One of the most critical policy debates in recent years has been the shift from historical-cost to fair-value accounting regime. While accounting literature has provided strong supportive evidence on the incremental valuation relevance of fair-value-based metrics, the insurance industry has shown an overwhelming disfavor on the application of full fair-value accounting. In specific, numerous studies argue that the great volatility of equities induced by constantly marking-to-market is artificial and bears no relationship to business reality (Chisnall, 2000; McEllin, 2006). Using data from Taiwan's insurers between 2005 and 2011, this study is the first to empirically investigate the impact of fair-value-accounting on the usefulness of regulatory capital-based metrics. Results indicate that: (1) the shift to fair-value-based accounting regime reduces the relevance of RBC ratios in explaining insurers' insolvency risks, and (2) the degree to which an insurer's capital is fair-value-oriented weakens the ability of its RBC ratios in summarizing information about insolvency risks.

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