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  • 學位論文

資本管制與存款保險下之銀行最適利差與違約風險: 選擇權評價分析

Optimal Bank Interest Margin and Default Risk under Capital Regulation and Deposit Insurance:An Option-Based Valuation

指導教授 : 林志鴻
共同指導教授 : 林志娟(Jyh-Jiuan Lin)

摘要


銀行在政府解除管制前,只能接受金融當局所給予的利率來追求利潤,而其本身所進行的業務乃是風險評估;不過自從1980年金融市場逐漸自由化後,銀行已可自行決定利率,但是政府為了維持金融市場營運的健全性,仍會給予銀行一些限制與要求,例如:資本存款比與存款保險。 本研究將把銀行的兩項特色-風險評估與利率制定作一結合,並且會納入政府管制,來探討資本存款比與存款保險將如何影響銀行的最適放款利率與違約風險。研究重點在於試圖建立一個利率制定之模型,導入 Black and Scholes (1973) 提出的或有請求權分析法,模型結合了投資組合理論中的風險屬性及、成本條件及利率制定行為的廠商理論。本研究假設銀行廠商在追求權益價值極大化為前提之下,建立出其目標函數,分析其利率制定策略。 本研究的結果顯示出:無論政府增加資本存款比或存款保險,銀行只要考量到其所處的環境風險相對較低時,其為了維持一定權益報酬,而選擇追求更多更大量的放款數,因此銀行最適放款率會下降;但是,由於風險放款數量的增加,也將導致銀行違約風險的可能性增加。

並列摘要


After the financial deregulation, banks are not only risk managers but also rate setters because the loan market becomes imperfect competition. However, government in order to maintain the method of the financial market, the government still put the bunds to the banks. For example, capital regulation and deposit insurance. This study tries to combine the two characteristics─risk management and rate setting of banks to discuss how capital regulation and deposit insurance rate affect bank’s optimal interest margin and default risk. We focus on banking firms’ rate-setting model and quote the contingent clam approach from Black and Scholes (1973). Our model involves the firm theories about risk attribute, cost condition and rate-setting behavior. We construct our banking firms’ target profit function to analyze the rate-setting strategies for the consultation to the government and commercial banks on strategies making under the assumption that banking firms pursue maximizing their equity values. This study shows that when the government decides to increase the capital regulation or deposit insurance, the optimal interest rate of banks will decreased in order to provide a return to a larger equity base under the negative elasticity effect. Also, the default risk of banks will increased by increasing the amount of the risky loan.

並列關鍵字

Bank Interest Margin Default Risk Regulation

參考文獻


Acharya, S., and J. F. Dreyfus (1989) “Optimal Bank Reorganization Policies and the Pricing of Federal Deposit Insurance,” Journal of Finance, 44, 5, 1313-1333.
Allen, L. (1998) “The Determinants of Bank Interest Margins: A Note,” Journal of Financial and Quantitative Analysis, 23, 3, 231-235.
Black, F., and M. Scholes (1973) “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, 81, 3, 637-659.
Duffee, G. (1999) “Estimating the Price of Default Risk,” Review of Financial Studies, 12, 1, 197-226.
Fama, E. F., and K. R. French (1996) “Multifactor Explanations of Asset Pricing Anomalies,” Journal of Finance, 51, 1, 55-84.

被引用紀錄


賴思宇(2014)。在向日葵管理行為下、董事會監督與銀行違約風險:或有請求權數值分析〔碩士論文,淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2014.00279
李致緯(2012)。政府援助計畫、權益報酬風險與違約風險機率:選擇權評價分析〔碩士論文,淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2012.00403
高健耀(2008)。放款承諾是否會造成銀行過度放款?〔碩士論文,淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2008.00537
謝翔(2008)。放款承諾、外部資金與金融穩定性:存款保險機構之論點〔碩士論文,淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2008.00534

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