零售金融服務技術選擇與違約風險：上限選擇權評價模式分析

Bank default risk in a cap option framework: human resource versus information technology management in delivery channels

黃玫樺(Mei-Hua Huang)

指導教授 ： 林志鴻

共同指導教授 ： 賴錦璋

淡江大學/商管學院/國際企業學系碩士班/碩士(2015年)

https://doi.org/10.6846/TKU.2015.00712

摘要

權益報酬評價之上限選擇權理論適用於零售銀行金融服務技術選擇之或有請求權，特別著重在人力資本管理(保守型技術)相對於資訊科技管理(先進型技術)的部分。本篇論文試圖證明增加保守型技術相對於先進型技術會使銀行利差與銀行權益報酬的違約風險增加。以及當銀行貸款風險增加時，增加保守型技術相對於先進型技術會擴大銀行利差增加的程度以及縮小銀行違約風險增加的程度。本論文最後得到的結論是在金融環境不穩定的狀態下，於零售金融服務中投入人力資本有助於增加銀行的獲利能力以及零售銀行業務的穩定性。

關鍵字

違約風險 ； 零售金融服務 ； 上限選擇權 ； 零售銀行

並列摘要

The cap options theory of corporate security valuation is applied to the contingent claims of a retail bank with delivery channel choices, particularly focusing on human capital management (a backward technology) relative to information technology management (an advanced technology). We show that an increase in the degree of a backward technology relative to an advanced technology increases bank interest margin and the default risk in the bank’s equity return. When the loan risk is increased, the positive impact on profitability increases but the positive impact on default risk decreases. We conclude that human capital investment in delivery channels contributes bank profitability and stability in retail banking activities in a turmoil state.

並列關鍵字

Default risk ； Delivery channel ； Cap options ； Retail banking

參考文獻

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