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    題名: 公司治理機制與違約風險之探討-以臺灣金融機構為例
    其他題名: The relationship between corporate governance and default risk in Taiwan's financial institution
    作者: 簡郁蓉;Chien, Yu-jung
    貢獻者: 淡江大學財務金融學系碩士在職專班
    邱建良;Chiu, Chien-liang;鄭婉秀;Cheng, Wan-hsiu
    關鍵詞: 公司治理;違約風險;KMV模型;監督機制;corporate governance;default risk;KMV model;monitoring mechanism
    日期: 2007
    上傳時間: 2010-01-11 00:52:00 (UTC+8)
    摘要: 本研究目的在於探討國內金融機構之公司治理變數與違約風險的關聯,相關產業涵蓋銀行業、壽險業、證券業和產險業,研究期間為2002年至2005年,違約風險的衡量採用KMV模型進行估計,樣本資料採用結合橫斷面及時間序列資料特性的縱橫資料(panel data)來進行迴歸分析。另外,考量國內銀行業近年弊案不斷,針對銀行業進行子樣本實證分析,模型分別引入內外部監督機制變數予以探討。
    在全樣本實證結果方面,獲利指標、流動性和大股東持股比率皆與違約風險呈現負向顯著關係,而經理人持股對違約風險呈現不顯著結果。在銀行業方面,獲利指標、大股東持股、員工紅利對銀行違約風險呈現不顯著結果,流動性、經理人持股、機構法人持股、資本適足率對銀行違約風險呈負向顯著關係,監察人持股對銀行違約風險為正向顯著關係。
    The purpose of this paper is examined relationship between the variables of corporate governance and default risk. These industries include banking, insurance, securities, and life insurance. Firm’s default risk is estimated by KMV model. The regression models have been to analysis using a sample data of cross-section and time series. Specially, we add monitoring mechanism to analysis bank’s default risk because they happen more fraud behavior or default event in recent years.
    Our results show that performance indicate, liquidity, and largest stockholder express negative significantly relationship with firm’s default risk, but manager’s ownership hasn’t significant. In banking, performance indicate, largest stockholder and bonus haven’t significant. Liquidity, manager’s ownership, institutions ownership and capital adequacy ratio are negative significantly relationship with default risk, but supervisor ownership is positive significantly relationship with default risk.
    顯示於類別:[財務金融學系暨研究所] 學位論文

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