到目前為止，國內還未有一個嚴謹的方法來衡量台股市場的風險胃納。在本研究中，我們嘗試研究股票市場和風險胃納指標的關係。我們利用Kumar和Persaud 在2002年所提出的方法建立台股市場的外資、散戶和投信的風險胃納指標，並檢視它們和台股加權指數的報酬率之間的連動關係。 實證結果發現，外資、散戶和投信每日的風險胃納相關程度相當高並且對於台股市場的報酬率有顯著的解釋能力。同時，散戶的風險胃納在解釋每日的台股市場報酬率的係數是最高的。但在每月和每季中，我們發現唯有外資每月的風險胃納對台股市場報酬率有顯著的影響。歸納原因，我們認為在較長的期間外資在台股市場擁有較大的影響力有關。 / At present, there is no rigorous method of measuring risk appetite in Taiwan stock market. In this paper, we want to discuss the relationship between equity market and risk appetite index (RAI). Moreover, we create the RAI for foreign investors, retail investors and domestic investors. We use Kumar and Persaud’s method’s concept in 2002 and adjust them to measure the risk appetite in Taiwan equity market and try to examine that does the risk appetite have any explaining powers on Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) return. From our empirical result, we could find that the RAIs of them have very high correlation and the ranges of them also are very close in a day. In addition, the parameters of explanatory variables are very significant in explaining the daily return of TAIEX and the coefficient of retail investors’ RAI is the largest. However, in month and quarter, we find only foreign investors’ monthly risk appetite has impact on monthly TAIEX return. We think that daily outcomes maybe reveal retail investors’ investment ratio in Taiwan stock market was higher in the last ten years. However, the monthly and quarterly results probably reveal that the foreign investment institutions may have a greater effect on Taiwan stock market in the longer period.

2008年由次貸引爆之全球金融風暴，除造成美國金融機構破產及併購，亦波及製造業，深究其原因，不外乎輕忽風險管理建立與執行之落實，未完整量化與管理企業所能承受之風險；尤其人壽保險業所銷售之保險契約，各國監理機關皆強化壽險業之監管，以風險資本為壽險業評估清償能力之指標。 風險胃納顯示企業對風險基本態度，包括企業承擔風險之意願，風險限額及控管模式，風險容忍度是揭露企業風險管理之量化和質化結果。本研究依風險基礎資本額制度（Risk-Based Capital，RBC）建立公司整體市場風險容忍度之設定，依據風險限額及預警指標建立控管程序，並檢視個案金融機構風險容忍度之擬定流程。 依個案公司風險限額及預警指標之建立流程，並評估該公司於2007-2008年全球金融風暴之實際財務影響，歸納結果如下；(1)除交易單位風險限額外，並應訂定交易商品及交易員風險限額導入前台交易系統；(2)應增計利率風險；(3)除市場風險限額外，應建置信用風險限額、作業風險限額模組，架構公司整體風險胃納及風險容忍度，並執行限額管理；(4) 發展即時監控系統，檢視公司風險承受度。 / In 2008, global financial crisis, inspired by subprime mortgage, not only caused bankruptcy and mergers and acquisitions of U.S. financial institutions but also spread to manufacturing. Taking a close look at the reasons, they are overlooking the establishment and implementation of risk management implementation and incompletely quantitating the risk that the management companies can bear. National supervisory authorities have strengthened supervision of the insurance industry and established risk capital as an indicator for the insurance industry to assess the solvency. Risk appetite shows the company’s basic attitude towards risk, including the willingness to take risks, risk limit, and control mode. Risk tolerance is to expose the results of the company’s risk management of quantitative and qualitative. This study is according to RBC (Risk-Based Capital) to set the company’s overall market risk tolerance and based on risk limit and early warning indicator to set control procedures. Besides, this study surveys the financial institution case whose preparation process of risk tolerance. According to the case’s established procedures of risk limit and early warning indicator, assessing its actual financial impact during global financial crisis from 2007 to 2008, this study summarizes as follows: (1) In addition to the risk limit of the trading unit, front-end trading system of trading goods and traders into risk limits should be established. (2)Increase the caculation of the interest rate risk. (3) Beside the market risk limit, credit risk limit and operational risk limit model should be established. Build the company’s overall risk appetite and risk tolerance, and implement the quota management. (4) Develop the real-time monitoring system and survey the company’s risk tolerance.