隨著經濟活動全球化及資本移動自由化，跨國企業及個人之資產與所得分佈全世界，且因稅捐稽徵機關與納稅人間資訊不對稱，使得稅務資訊蒐集異常困難，稅捐稽徵機關在查核跨國案件時面臨極大挑戰，國際租稅合作與資訊交換成為各國稅捐稽徵機關用以處理國際租稅規避案件之重要工具。 本文就稅務資訊交換介紹國際稅約協定範本及其發展，並與我國經濟體相當之香港、新加坡及先進國家美國、瑞士等國家及OECD、UN及EU等國際機構所公布之國際租稅最新發展進行比較。本文研究歸納，資訊交換為影響我國洽簽租稅協定成敗之關鍵因素，進行銀行資訊交換應不影響我國發展為國際金融中心，支持財政部推動洽簽包括資訊交換之租稅協定。本文建議因應國際資訊交換之趨勢，我國應加強稽徵人員訓練、進行稅捐稽徵法第5條修法、確認租稅協定之法律位階、擴大租稅協定網絡之修法及加強宣導租稅資訊交換保密性等面向，強化我國資訊交換效能。 / Due to the globalization of economic activities, the labialization of capital transactions, individual worldwide assets and income and the asymmetric information of taxpayers and tax authorities, it is difficult for tax authorities to collect information. International cooperation in tax matters is crucial to ensuring the administration and enforcement of countries’ tax laws as cross border tax evasion becomes easier with the liberalization of financial markets. This thesis first introduces the development of the models of tax convention with special reference to EOI, it then makes a comparison of the measurements of EOI in the economies such as Hong Kong, Singapore, Switzerland, and the United States, and also looks at recent publications on EOI by OECD, UN and EU. It is concluded that EOI is the key to conclude tax treaties, that EOI of bank information will not adversely affect Taiwan government policy to become an international financial center, and that Ministry of Finance is supported to conclude tax treaties including EOI. It is suggested that strengthening the efficiency and capability of EOI in the aspects of strengthening the training of the tax collectors, amendment of Article 5 of the Tax Collection Act, confirmation of the legal status of tax treaties, broadening of the net work of tax treaties and promotion of the importance of the confidentiality of the EOI, so as to follow the international trend of EOI.

研究動機 交換交易為新興財務處理工具，屬於衍生性金融商品一種，可使企業降低資金成本及規避財務風險，自一九八一年世界銀行與IBM公司簽訂首筆貨幣交換交易之後，市場迅速發展。惟因需金融財務處理、證券發行及外匯交易等專業知識技術，牽涉相關法律、會計稅務等問題增加複雜性。又其屬於資產負債表外項目，不受相關法規牽制，參與者可依照個別需求選擇操作期間及方式，相對於其他標準化的期貨契約等可提供多樣選擇與長期的避險功能，但由於資訊不易公開揭露，容易產生法律與管理風險。 一九九五年二月霸菱銀行因衍生性金融商品交易操作不當，導致該銀行破產轉讓，以及一九九五年一月我國華僑銀行在外國債權投資與利率交換交易上遭受逾六千萬美元的帳面損失，致使國內金融主管單位與監理機構對其加強管理。一九九八年LTCM長期資本管理公司之避險基金在同年八月底，該基金契約之總面值在交換交易超過七千五百億美元、期貨交易超過五千億美元、選擇權和店頭市場衍生性商品交易超過一千五百億美元，由於異常槓桿操作、資訊揭露不足、忽視流動性風險、操作策略等因素，導致破產並造成前十七大交易對手所承受的實質損失金額總數約在三十至五十億美元之間。 由於交易型態不斷地推陳出新，法律屬性難以定位，使其存有高度法律不確定性，以美國為例，除管轄爭議外，鑒於店頭衍生性商品之高度風險，交易適當性也廣受討論。為了解上述業務開放可能產生的問題，並因應金融國際化的趨勢，有深入認識交換交易之必要，是以本文擬就交換交易可能涉及之法律問題加以探討研究。 研究範圍 交換交易可利用信用評等不同所產生的比較利益來進行，因此進行交易的任何一方均可獲利，傳統上視其為增加遊戲；與期貨與選擇權有所不同，期貨與選擇權除帶有投機性質外，係一方獲利以他方損失為代價之零和遊戲。又交換交易係屬資產負債表外之項目，不受相關法規限制，參與者可依照需要選擇操作期間與方式，相較於其他已經標準化的避險工具可提供多樣與長期避險功能，但由於不受法規牽制，交易本質並無要求標準化契約及特定交易方式，相對交易風險較高。本文擬就下列問題加以介紹： （一）交換交易之定義、種類、功能、特色 （二）ISDA標準化契約內容 （三）美國法院判決分析交換交易之法律性質 （四）美國與我國相關法令規範分析 第一章為緒論，介紹論文研究動機、範圍。第二章為交換交易類型介紹，並進一步介紹現行實務廣泛使用ISDA標準化契約內容。 第三章由美國判決角度探討交換交易法律性質，由判決所建立各項標準討論交換交易是否屬於美國證交法與證券交易法之「證券」。 第四章介紹美國管理機關與法規制度，說明交換交易管轄範圍爭議，主管機關間如何協調達成協議，與美國對於新交易類型權益交換所作修正之規範。 第五章介紹我國證券金融期貨法規範，鑑於諸多交易類型不斷變化衍生，其特性與交易模式於立法層面恐非立法者於制定證券交易法當時所能預料導致現行證券交易法些許規定在規範面與實際適用可能會產生漏洞。現行市場商品有諸多由第三人為發行機構，標的資產與股權或債券相連結之金融工具如股權連結商品可能與權益交換產生相同的問題，是以本文由權益交換出發討論其與證券交易法有價證券之關係，與內部人短線交易法律層面法律漏洞，以供我國證券交易法未來之參考。第六章為結論。

根據戶口普查資料顯示約六成的老人與子女同住，而這樣的比例日益下降，在華人社會中，老人與子女同住隱含著孝道的象徵，但隨著現代化社會的變遷，此現象逐漸轉變。過去老人居住安排的研究多著重於老人狀況之衡量與選擇，而未討論到子女的影響，因此本研究試圖從「兩代」的屬性探討老人居住安排選擇的影響因素。此外，「三代同鄰」的居住安排係兼顧兩代可以互相照顧且各自擁有自由和私密的居住空間，此課題在過去少有討論，本文亦將該居住方式獨立討論，以期能充分了解兩代的互動關係對於老人居住選擇之影響。 本文以多項羅吉特模型實證分析華人家庭動態資料庫（PSFD）2004年的資料，選取主樣本為已婚子女之樣本。研究結果顯示：在老人的屬性中，喪偶、教育程度低以及無工作者會偏好與子女同住，尤其老年女性喪偶的影響效果最大，使其獨居的機率降低50%；在主樣本的屬性中，當住宅為父母所有、有學齡前小孩、主樣本教育程度高會使兩代同住機率增加。因此對於老人而言，同住是身心狀況下降的較佳選擇；然而對於子女而言，同住是基於「交換」勞務所產生的居住安排。最後，本文並發現「同鄰」者多為身心狀況良好的老人且多與已婚兒子相鄰而居的狀況，顯示父系傳統對於華人家庭的深刻影響。 / According to the census report of population and housing of Year 2000 in Taiwan, about sixty percent of the elderly live with their children, but this situation is decreasing. In Chinese society, the elderly living with their children symbolize the culture of filial piety. With the change of modern society, the phenomenon is changing. Previous researches about the elderly living arrangement pay much attention to the characteristics of the elderly, rather than the influences of children. Therefore, this study attempts to explore the influence factors of the living arrangement between the elderly and their children. Moreover, the “neighboring living arrangement” of the elderly and their children makes the two generations not only could take care of each other, but also possess free and private residential spaces by themselves. This issue wasn’t discussed in the past, so this study also discusses this living arrangement of the two generations in order to realize the influence of intergenerational interaction on the choices of the elderly living arrangement. This study uses multi-nominal logistic regression model to analysis the data of Panel Study of Family Dynamics（PSFD）in 2004. The empirical results shows, the widowed , with low education attainment and unemployed elderly prefer to live with their children. The widowed characteristic especially plays stronger marginal effect, which decreases the probability of living alone fifty percents for the elderly. Housing owned by parents, with under school- age grandchildren and highly educated children would increase the probability of co-residence of two generations. For the elderly, when he (she) is unhealthy or being single, co-residence with children is the better choice. However, for the children, co-residence is based on the “exchange” for elderly labor forces to take care of under school- age children. Finally, this study finds that the healthy elderly prefer to choose neighboring living arrangement with their children, and especially neighbor to their married son. It is implied that the influence of patriarchy culture on Chinese family.

新文化衝擊下的成長--台灣學生赴美交換求學經驗 / The Acculturation Process and Influence of Taiwanese Exchange Students in the United States. Major Professor: Dr. Lienti Bei & Dr. Sharon A. DeVaney. With the increasing globalization of university education, the exchange programs among universities have become a hot topic that many students would be interested in. Every year thousands of exchange students from Taiwan select schools in the foreign countries, especial universities in the United States, as their exchange destination in order to learn foreign languages and to experience different cultures. Although the number of exchange students from Taiwan has been increasing annually, little research has investigated the acculturation process and reflections of exchange students in the host countries. The objectives of this research was to take a first step in exploring the impacts on Taiwan exchange students’ learning attitudes and socialization to the new culture that encountered during their study in the US. In addition, to understand the transition of students’ learning attitude and cross-culture adjustment that took place from their arrival in the United States to returning to their home countries. Therefore, three central questions was first generated to form the core of this study :1) What are the differences in class between the participants’ home universities and host universities? 2) What are the culture differences between the participants’ home country and host country? 3) How did the participants adjust themselves to fit into the different situations and how do they feel about the adjustment? The acculturation process and transition of exchange students’ learning attitude was examined here with a phenomengical and experimental research design. In order to understand thoroughly the exchange students’ learning and acculturation experiences in the US, this study arranged in-depth interviews with eight exchange student who had their exchange experiences in the US. Based on Hofestede’s four dimensions of culture and the differences between Socratic learning and Confucian learning, the study structured the research questions for the in-depth interviews. In addition, a questionnaire amended according to Hofestede’s four dimensions of culture was distributed to 26 former or prospective exchange students who selected for study at the universities in the US as a support data. Through the in-depth interviews and the analysis of questionnaire, the study found that interactions between professors and students in American classes are much higher than those in Taiwanese classes. This came from not only the differences of culture but also instructional arrangements of classes in American universities. The lower distance of American culture and the encouragement to the in class interaction did promote the exchange students’ participation in the US. In addition, given that the exchange students’ higher inclination and preferences to American or western culture and learning methods, they are more likely to have integrative or bicultural strategies to proceed their studies in the US. In sum, the study showed that exchange students rarely encounter problems of cultural adjustments, learning barriers or lack interpersonal communication that took place among students who pursue degrees in the US. Many of the exchange students maintained their original cultural identities and characteristics for expression in appropriate contests, such as collectivist relationship with classmates; however, they could also add a new behavioral repertoire to participate in American culture. Therefore, the study anticipates that exchange students integrated both the Confucian and the Socratic learning approaches and performed even better by American academic standards.

Credit derivatives are instruments that transfer the credit risk from one party to another one. The most common credit derivative is the single entity credit default swap (CDS).A basket default is similar to a single entity CDS except that the underlying obligation is a basket of entities rather than a single reference asset. The copula methods play an important role while we price a multiname product since the assets in the portfolio are not independent. We need to model the correlated default times by using copula functions. In this article, we develop a copula based methodology for pricing -to-default swaps by using market CDS quotes. In order to know the influence of changing price drivers such as correlations and intensities on spreads, we also discuss the sensitivity analysis in this article.

各項信用衍生性商品中，最廣為人知的商品即為違約風險交換(credit default swap; CDS)，但由於金融市場與商品的擴張，標的資產不再侷限單一資產而是增加至數家或數百家，而多個標的資產的違約風險交換稱為一籃子違約風險交換(basket default swap; BDS)。 根據Chiang et al. ((2007), Journal of Derivatives, 8-19.)，在單因子模型中應用importance sampling (IS) 來估計違約給付金額，不僅可以確保違約事件的發生，還可以提高估計的效率，因此本文延伸此一概念，將此方法拓展至多因子模型。本文分為三種方法：一為將多個獨立因子合併為一邊際因子，並針對此邊際因子做importance sampling；二為找出其最具影響性的因子應用importance sampling；最後，我們針對portfolio C 於Glasserman ((2004), Journal of Derivatives, 24-42.) 將標的資產分為獨立兩群，我們將分段利用exponential twist及Chiang et al. (2007)所提出的單因子方法，提升違約事件發生的機率。 借由數值模擬結果，發現將多個獨立因子合併為一邊際因子的方法應用於標的資產為同質模型(homogeneous model)，會有較佳的結果；對具影響性的因子應用importance sampling的方法於各種模型之下的估計結果都頗為優秀，但其variance reduction較差且流程較不符合現實財務狀況，方法三則為特殊模型的應用，其只適用於能將標的資產獨立分群的模型，並且估計準確與否和選取exponential twist的位置有重要關係，第四節我們將同時呈現兩個不同位置的估計值與variance reduction. / Credit default swap (CDS) is the most popular in many kinds of credit derivatives, but number of obligor couldn’t be one always because of the expansions of financial market and contracts. CDS which has been contained more than one obligor is called basket default swap (BDS). According to Chiang et al. ((2007), Journal of Derivatives, 8-19.), applying importance sampling to estimate the default payment in one factor model could not only guarantee the default event occurs but also improve the efficiency of estimation. So this paper extends this concept for expanding this method to multiple factors model. There are three methods for expanding: First, merge multiple factors into a marginal factor and apply importance sampling to this marginal factor; second, apply importance sampling to the factor which has higher factor loading and third, we consider portfolio C in Glasserman ((2004), Journal of Derivatives, 24-42.) and divide total obligors into two independent groups. We would use the ways of exponential twist and the method in one factor model of Chiang et al. (2007) considered in two parts to raise the probability of default event occur. Borrow by the result of numerical simulation, method 1 has better results when obligors are homogeneous model; the results of method 2 are outstanding in each model, but its efficiency is worse and the procedure doesn’t fit with the realistic financial situation; the third method is the application of the special model, it could only apply to the model which could separate obligors independently, and the accuracy of estimates is strongly correlated to the position of exponential twist. In section 4, we would display the estimator and variance reduction in two different positions.

無匯率風險之跨通貨股權交換是新型態的衍生性金融商品,投資人可用此從事跨國投資,而不承擔匯率風險.本文立基於Dravid,Richardson and Sun(1993), Amin and Bodurhta(1995), 及Lin(1997), 首次推導間斷時間,可計算之無匯率風險下跨通貨單向及雙向股權交換之評價模型.在現金流量法之下,股價指數及匯率的隨機過程設定為lognormal process,利率則跟隨HJM模型.文中發現影響無匯率風險之跨通貨股權交換價格的主要變數為股價指數的波動度,外國股價指數與匯率間的相關性,以及兩國利率差距,與匯率的波動度無關.最後,以三個例子說明此新型態金融工具之運作情形. 1. Preliminary....................................................................................................................................................................1 1.1 Background...............................................................................................................................................................1 1.2 Brief Literature Review on the Pricing of Equity Swaps...........................................................................................3 1.3 The Aim of This Study.............................................................................................................................................4 1.4 Chapter Outline and Results......................................................................................................................................5 2.Introduction to Equity Swaps..........................................................................................................................................7 2.1 Basic Equity Swaps...................................................................................................................................................7 2.2 Variants of Baisc Equity Swaps...............................................................................................................................11 2.3 International Investment Environments....................................................................................................................12 2.4 Cross-Currency Equity Swaps.................................................................................................................................14 3. Literature Review...........................................................................................................................................................19 3.1 Marshall,Sorensen, and Tucker(1992)......................................................................................................................19 3.2 Rich(1995)................................................................................................................................................................20 3.3 Jarrow and Turnbull(1996).......................................................................................................................................22 3.4 Lin(1997)..................................................................................................................................................................25 3.5 Chance and Rich(1998).............................................................................................................................................27 4. Valuation of Cross-Currency Two-Way Equity Swaps Without Currency Risks Under Constant Interest Rates.........35 5. Valuation of Cross-Currency Two-Way Equity Swaps Without Currency Risks Under Stochastic Interest Rates.......43 6. Valuation of Cross-Currency One-Way Equity Swaps Without Currency Risks..........................................................55 7. Case Study......................................................................................................................................................................61 7.1 Case One...................................................................................................................................................................61 7.2 Case Two..................................................................................................................................................................63 7.3 Case Three.................................................................................................................................................................64 8. Conclusions...................................................................................................................................................................67 Appendixes........................................................................................................................................................................69 References .........................................................................................................................................................................92 / Based on Dravid,Richardson, and Sun(1993), Amin and Bodurtha(1995), and Lin(1997), this thesis first derives the computable discrete-time pricing formulas for the cross-currency one-way and two-way equity swaps without currency risks, which are exotic financial derivatives used for cross-border investments without the exchange rate exposure. Under the cash flow approach, equity indexes and the exchange rate are modeled by the lognormal processes, and the interest rate processes follow the HJM model. The swap price is shown to depend on the volatilities of equity indexes, the interaction between the foreign equity index and the exchange rate, as well as the interest rate differential of two countries. It does ont depend on the volatility of the exchange rate. Finally, three cases illustrate the usage of these two exotic financial instruments.

交換交易(Swaps)是1980年代金融創新最成功的例子之一，自推出以來市場交易量成長快速。在歐美等先進國家，交換交易已是一項相當普遍的金融商品，但在我國政府積極推動台灣成為亞太金融中心的成立之際，交換交易卻仍是一項對大眾而言相當陌生的金融商品，到底交換交易是一向怎樣的產品？為讓它順利發展，又須克服哪些障礙？乃是引起本研究的主要動機，此外引起本研究之動機還有：1. 交換交易是一項具效率性及完全性的成功金融創新商品。2. 交換交易具有相當多的利益。3. 為瞭解我國企業對交換交易之應用。 　　本研究的主要目的有三：1. 瞭解我國上市公司、金融機構、金融商品主管機關對使用交換交易的看法，並以數量統計方法比較與解釋問卷調查的結果，以探討我國市場對此金融商品之使用意願、使用動機及使用結果。2. 探討使用交換交易及其他衍生性金融商品風險管理之課題。3. 瞭解交換交易在我國發展時所面臨的障礙，提出建議及政府應考慮的配合措施。 　　本研究針對非經營艱困之上市公司，採普查的方式，分別寄發問卷做意見調查，以蒐集上市公司對交換交易的使用意願、使用動機、交易內容及衍生性金融商品風險管理態度等資料。並使用ANOVA、卡方檢定統計方法來檢定使用意願與公司規模、國際化程度、產業別之間的關連。檢驗結果發現：有意願與無意願使用貨幣交換之兩類公司在公司規模、國際化程度上有顯著性差異，在產業別則無顯著性差異；有意願與無意願使用利率交換之兩類公司在公司規模有顯著性差異，在國際化程度及產業別則無顯著性差異。此外，本研究也以國外現有之衍生性金融商品規範為基礎，歸納出一內部控制制度管理核對表，以提供企業界在建立內部控制制度時之參考。最後，針對已使用及未使用交換交易的公司、交換仲介者及主管機關進行實地訪談。

財務工程的主要目的，在於將金融工具與金融市場上所發生的問題，予以 更合理更適切的解決；而金融創新的用意，在於提高金融機構對整體經濟 波動的競爭力。因此，若能將財務工程的技巧與觀念應用在金融工具的創 新與改良上，對於造就出一個熱絡與公平交易的金融環境境而言，或許多 少能產生某些助益。如今，金融機構面對利差縮小的傳統業務，以及日益 競爭的金融環境，金融創新乃成為時勢之所趨。透過新金融產品的開發與 推廣，不但可促進市場效率性的達成、金融業務的拓展，對於金融市場避 險方式，也將另有一番新的詮釋。本文循序的說明了金融市場中行之有年 的金融期貨、選擇權、交換交易，以及其衍生出來的金融商品：期貨選擇 權、交換選擇權…等金融工具的應用與特性。尤其對CBOT於1991年所推出 的利率交換期貨與利率交換期貨選擇權合約的應用，更是詳述有加。雖然 該商品的創新立意甚佳，但在實際的交易上卻未臻完善(利率交換期貨選 擇權自1991年8月起開始交易，三個月後就下市了；利率交換期貨的交易 也在一年後壽終正寢）。即使如此，本文也就其在市場上交易的實際資料 做實證分析。本文使用大量的表格將有關文獻做一整理；並利用許多的圖 形表達出各種金融工具的報償形式；以便於對各種金融商品的特性能一目 了然。 / Financial Engineering, which solves the problems in the fin- ancial market and financial tools and makes them reasonable. Financial Innovation, which increases the competences of the financial institutions within the volitity macroeconomy. Use the skills and ideas of the financial engineering to financial innovations,we can make a more efficiency and complete financial markets. My study describes the details of Financial Futures、Options、 Swaps and other derive products:Options on Futures and Swaptions , then introduces the new financial tools: Interest Rate Swap Futures and Options on Interest Rate Swap Futures.The Swap Futures and the Options on Swap Futures are the new contracts of CBOT ,which trade from 1991. They are failed trade in the market, but they offer a example for financial innovations. Now, we want to make Taipei to become a international finan- cial center, we have to cancel the financial regulations and develop the new financial tools. This study is a simple test. graphs、tables and formulas applied.

第一筆金融交換出現以來，短短的十一、二年 場成長迅速，成為不可或 缺的財務工具。有鑑鷟艦瘣城竣@簡要的介紹，並建立金融交換之定 珓洶妨堨腄A主要承襲S. Sundaresan 對金融交bS. Sundaresan 的研究中 ，只針對一般的金融交A未考慮特殊型態的金融交換。所以本文的目的在B 下利率限制的金融交融之定價模型，主要定價的般的、capped、floored 、及 collared金融交換。漱隤k上，採用與其他研究不同的Feynman-Kac So- 融交換定價模型之前，必須先建立一般的金融交C再利用利率caps 和floors之特性，加入一般金融A以推導出有上下利率限制的金融交換定 價模型。F導出金融交換之定價模型外，並對所建立的模型k，計算出金融 交換和collar的價值，同時分析@般金融交換與collar金融交換的價值。 提供銀j眾，在進行金融交換時作為參考。