臺灣保險業體系風險之衡量與因素探討

Abstract

本論文以資本短缺(Capital Shortfall)的角度，透過Brownlees and Engle (2012)提出的研究方法—體系風險指標(SRISK Index)衡量臺灣保險業之體系風險，成功描繪出臺灣各保險機構在不同時間點下面臨的體系風險以及整體保險業體系風險的曝險程度，並對近年來保險機構暴露於體系風險的程度排名，期望能找出臺灣保險市場中的系統重要性金融機構。實證結果顯示，在臺灣保險業中僅壽險業會有體系風險的問題，產險業幾乎不具任何體系風險。此外，本論文亦探討公司規模、互相關聯、槓桿與非核心業務等關鍵因素是否為臺灣保險業體系風險的要素來源，研究結果顯示，金融機構間的互相關聯、槓桿程度會對體系風險的變化造成顯著的影響，公司規模僅在危機發生時期才有顯著影響。

This paper employs the method-systemic risk index (SRISK Index) from Brownlees and Engle (2012) to measure systemic risk in Taiwan’s Insurance Industry, through the view of capital shortfall. We successfully depict the degree of systemic risk exposure for the whole insurance industry and insurance institutions, and ranking the degree of exposure to insurance institutions. We expect to find out the systemically important financial institutions in Taiwan insurance market. The empirical results showed that only the life insurers can contribute to systemic risk, the core activities of property-casualty insurers are found not to be systemically risky in Taiwan. In addition, this paper also investigate that whether the insurer size, leverage, interconnectedness and non-core activities which factors were the key drivers of systemic risk in Taiwan's insurance. The results showed that interconnectedness and leverage are significant drivers of the insurers’ exposure to systemic risk, and insurer size has a significant impact on systemic risk only during the crisis period.