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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/28122


    Title: 我國退休基金委外經營風險之探討
    Other Titles: The Outsourcing Risk of Taiwan Pension Fund
    Authors: 陳素真;李進生;陳登源
    Contributors: 淡江大學管理學系
    Keywords: 退休基金;資產配置;風險配置;代理人風險;信賴義務
    Date: 2003-03
    Issue Date: 2010-01-05 09:48:31 (UTC+8)
    Publisher: 臺北市:臺灣金融研訓院
    Abstract: 我國退休基金在現行委外經營機制下,由於法制架構及機制設計不具誘因,將可能引發代理人之逆選擇和道德風險;又目前委外機制中,各受託機構資產配置並未集中控管,將使退休基金暴露於不確定的損失風險。本文探討信託法制架構及風險值模型,能否解決退休基金委外經營之代理人風險與投資組合風險。本文建議在信託法制架構下,受託人被要求負有信賴責任和義務,其所從事之投資、管理和運用,須以受益人最大利益為唯一考量,如此可降低代理人風險。而運用風險值RAPM之績效評估模型,可以確切衡量受託機構風險和報酬抵換(trade-off)之投資績效,並據以發給誘因管理費,亦可降低代理人風險。另為解決退休基金委外操作無法集中控管之資產配置問題,可以運用風險值模型,以風險配置取代資產配置,將退休基金可承擔風險值總額度,依委託投資額度比例分配風險值限額至各受託機構,以控制投資組合風險。
    Relation: 臺灣金融財務季刊=Taiwan Banking and Finance Quarterly 4(1),頁 97-124
    Appears in Collections:[Department of Management] Journal Article

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