銀行投資組合障礙選擇權交換避險之風險探討

A barrier option framework for bank default risk with loan portfolio swap hedging: evidence from Taiwan

林筱寧(Hsiao-Ning Lin)

指導教授 ： 李命志

淡江大學/商管學院/財務金融學系博士班/博士(2016年)

https://doi.org/10.6846/TKU.2016.00741

摘要

本文提出一理論架構，主要是在路徑相依的障礙選擇權模型下利用借貸投資組合的交換避險來衡量銀行違約風險。在這理論模型架構下，於2006年1月至2012年9月針對台灣商業銀行提出一實證結果。
在障礙選擇權的模型假設下，實證結果指出，此障礙會影響放款利率、避險成本以及違約風險。同時，亦發現當銀行想藉由降低利差來增加其放款量時，如同增加放款投資組合交換避險的交易。且透過銀行利差之實證結果發現其間接效果是沒有顯著可以沖銷直接效果的。
然而，增加交換避險交易對避險成本則提供了一正向的影響，對違約風險則產生了一負向的效果。總結來說，借貸投資組合交換避險會降低銀行的違約風險，增加避險成本，且對銀行系統的穩定性提供了顯著的效果。

關鍵字

借貸投資組合交換 ； 避險成本 ； 違約風險 ； 銀行利差

並列摘要

This dissertation proposes a theoretical framework for bank default risk measures with loan portfolio swap hedging based on a path-dependent barrier option model due to an occurrence of financial crisis. We use this framework to test empirical validation of default risk by using a sample of commercial banks in Taiwan over the period 2006 - 2012.

Our result confirms that the banking is an ideal environment for the barrier option model pricing, if there is strong evidence that a barrier is statistically affecting loan rates (and thus bank interest margins), hedging costs, and the default risk significantly during the sample period. We find that a bank increases its loan volume at a reduced margin as a reaction to an increase in the loan portfolio swap hedging transaction.

The indirect effect through the bank interest margin determination is insufficient to offset the direct effect; therefore it gives an overall positive response to the hedging cost for an increase in a swap hedging transaction. The indirect effect reinforcing the direct effect leads to an overall negative response of the default risk to an increase in the hedging transaction. Results suggest that loan portfolio swap hedging serves as a function for reducing bank default risk, obviously at costs, and significantly contributes to the stability of the banking system.

並列關鍵字

Loan portfolio swap ； Hedging cost ； Default risk ； Bank interest margin

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