政府援助與銀行資產風險: 加權障礙選擇權評價模式分析

A multiple-objective barrier option approach for government bailout and bank risk-taking

林子豪(Tzu-Hao Lin)

指導教授 ： 林志鴻

共同指導教授 ： 蔡政言(Jeng-Yan Tsai)

淡江大學/商管學院/國際企業學系碩士班/碩士(2014年)

https://doi.org/10.6846/TKU.2014.00615

摘要

企業證券之障礙期權理論主要應用在不良貸款案例的緊急援助方案中，此銀行受損的效用其可能之請求權。特別的是，銀行的表現就像是單一效用函數，正向地喜歡報酬，而負向地厭惡破產。此框架直接的含意是以利潤所定義的期望效用將以向下出局之買權加以定價。本篇論文檢驗銀行最理想的利潤邊際，比方說在銀行參與緊急援助方案時，銀行貸款利率與存款利率之利差。我們從結果顯示當買下不良貸款的總量維持很高時，不良貸款案例總量的增加會使銀行本身持有的貸款以增加的邊際而遞減。這樣的緊急援助方案降低銀行所承受的貸款風險，更因此帶來銀行系統的穩定性。數據的運算顯示銀行報酬，在不考慮加權(標準之向下出局買權)或喜好因素(標準買權)，此情況之期望效用的市場參數會導致顯著的高估情形。

關鍵字

多目標障礙期權 ； 政府救助 ； 銀行追逐風險 ； 違約風險 ； 購買不良資產

並列摘要

The barrier options theory of corporate security valuation is applied to the contingent claims of a distressed bank’s utility under the bailout program of distressed loan purchases. In particular, the bank acts as if it has a single utility function that positively weights equity returns like, but negatively weights bankruptcy dislike. A direct implication of this framework is that the expected utility defined in terms of profits will be priced as a weighted down-and-out call option. This thesis examines the optimal bank interest margin, i.e., the spread between the loan rate and the deposit rate of the bank, when the bank participates in the bailout program. We show that an increase in the amount of distressed loan purchases decreases the loan amount held by the bank at an increased margin when buying distressed loan amount remains high. Bailout as such makes the bank less prone to loan risk taking, thereby contributing the stability of the banking system. A numerical exercise shows that the market-based estimates of the expected utility of bank equity returns which ignore the weights (a standard down-and-out call option) or the dislike (a standard call option) lead to significant overestimation.

並列關鍵字

Barrier option ； Government bailout ； Bank risk-taking ； Buy distressed assets ； Default risk

參考文獻

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