資本配置模型－二家中國金融控股公司的實證研究

The Capital Allocation Model-Two Financial Holding Companies Empirical Study in China

10.30003/JRM.201005.0004

謝俊(Chun Hsieh)

金融控股公司 ； 資本配置 ； 違約風險 ； 賣權價值 ； Financial Holding Company ； Capital Allocation ； Default Risk ； Put Option Value

風險管理學報

12卷1期（2010 / 05 / 01）

91 - 131

繁體中文

本研究沿用Margrabe（1978）之Black-Scholes交換選擇權評價方式，計算控股公司經營所隱含的違約風險之賣權價值，再利用Myers and Read（2001）之邊際違約價值相等原則，探討金融控股公司下各子公司之資本配置，並以二家中國金融控股公司進行實證分析，結果歸納如下：1.中國平安保險人壽股份有限公司、中國平安財產保險股份有限公司、深圳平安銀行股份有限公司與平安證券有限責任公司的實際資本低於根據違約賣權理論所計算出來的資本。其他子公司的實際資本高於根據違約賣權理論所計算出來的資本。2.中銀香港集團公司與中銀集團投資公司的實際資本高於違約賣權理論所計算之資本。中銀國際控股公司、中銀集團保險公司及其它子公司的實際資本低於違約賣權理論所計算之資本。3.本研究結果顯示，未來子公司若以減資方式，將過剩資本返還金融控股公司，與Myers and Read（2001）的邊際違約價值相等之資本配置原則相符。

This study follows Black-Scholes exchange option evaluation methods (Margrabe, 1978) to calculate implied default risk of put option value on financial holding companies. The equal principle of marginal value (Myers and Read, 2001) was used to illustrate an analysis of capital allocation on financial holding companies and their subsidiaries. This study applies the above methods to illustrate and analyze two financial holding companies in China. The results are summarized as follows: 1. The actual capital of China PingAn Life Insurance Company, China PingAn Property Insurance Company, PingAn Bank, and PingAn Securities Company are lower than their calculated capital based on default put option theory. The actual capital of their subsidiaries is higher than the calculated capital based upon default put option theory. 2. The actual capital of the Bank of China (BOC) Group of companies and BOC Investment Company are higher than their calculated capital using default put option theory. The actual capital of BOC Holding Company, BOC Insurance Company and the group's other subsidiaries are less than their calculated capital based on default put option theory. 3. This study presents results that argue the terms of capital reduction and return surplus capital to financial holding companies which are consisted with Myers and Read (2001) that the principle of marginal default value is equal to capital allocation.

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