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    Title: 在向日葵管理行為下、董事會監督與銀行違約風險 : 或有請求權數值分析
    Other Titles: A contingent claim valuation of board monitoring and bank default risk under sunflower management : a numerical analysis
    Authors: 賴思宇;Lai, Si-Yu
    Contributors: 淡江大學國際企業學系碩士班
    林志鴻;Lin, Jyh-Horng;賴錦璋;Lai, Chin-Chang
    Keywords: 向日葵管理行為;違約風險;董事會監督;Sunflower management;default risk;Board Monitoring
    Date: 2014
    Issue Date: 2015-05-04 09:44:55 (UTC+8)
    Abstract: 向日葵管理行為是當董事會對於該銀行未來的政策與方向的決定有某種程度的偏好與傾向,身為一位CFO也就是銀行管理者,將會盡量不顧外界市場的資訊,讓自己像向日葵一般的面向董事會這象徵性的太陽,也就是會在決策方面都迎合董事會的偏好,所以在這種時候董事會擁有的效用函數就是CFO的效用函數。

    本論文試著建構一理論模型進行研究,並探索出研究目的。本論文主要利用Black and Scholes (1973)及Merton (1974)或有請求權方法並且以Sealey (1980)建構的銀行廠商理論為基礎,將具有市場特色的廠商理論加入到資產組合理論中。然後結合Vassalou and Xing (2004)的選擇權評價模式,找出所相對應的違約風險機率,把違約風險加入模型之中,以彰顯銀行的控管違約風險機率的重要。

    本論文研究結果顯示出:向日葵管理行為下,董事會越不去干涉CFO會使得董事會與CFO之間的關係信任程度較高,在決策方面可以較有效率的達成共識,缺點可能是,會因為雙方偏好過於一致而忽略某些外界市場資訊,但根據數據顯示,若董事會跟CFO之間關係是互相抗衡抵制,那麼所帶來的無效率反而會令銀行整體營利更加不樂觀。
    Sunflower management describes a style of management adopted by chief financial officer in CFO an attempt to produce a consensus between his own view and the view that he ascribes to the board. On the other hand, CFO’s decision making always match the board expectations for high equity return and low default risk. In this moment, the board’s utility is the same as the CFO’s utility.

    This thesis we construct the bank’s objective function by assuming the bank maximizes its return of equity capital, We use a contingent claim approach based on the option-based Black-Scholes valuation and implied be Merton (1974) model. Our mode involves the firm theories so we use the Sealey (1980) model. Finally we use Vassalou and Xing (2004) to evaluate the default risk probability that sows the important of controlling the default risk probability by bank.

    This thesis shows that when CFO adopted sunflower management to operate the bank, the board do not bother CFO will make more trust of each other. In terms of making decision, that is more easier to produce a consensus between his own view and the view that he ascribes to the board. The disadvantage is that both of their preference is meeting of minds, so that will make CFO disregards the information conveyed by the signals.
    Appears in Collections:[國際企業學系暨研究所] 學位論文

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