國際放款和交換避險雙重風險分散之最適利差管理

International Lending and Loan Portfolio Swaps: Focus versus Diversification

彭曉恬(Hsiao-Tien Peng)

指導教授 ： 林志鴻

共同指導教授 ： 鮑世亨(SHIH-HEN PAO)

淡江大學/商學院/國際貿易學系國際企業學碩士班/碩士(2009年)

https://doi.org/10.6846/TKU.2009.00353

摘要

本論文分析在國際放款和放款投資組合的整合之下，銀行廠商對於其國際放款資金的流向是否有所差異，並且應用Diamond (1984)提出的傳統放款組合理論，盡可能的將國際放款組合做分散式管理，才能有效的降低銀行風險，相反的， 由Acharya, Hasan, and Saunders (2006)所提出的現代放款組合理論，卻證明將放款組合做分散式管理，反而對銀行本身帶來高風險，進而降低收入。有鑒於此兩篇文章均只利用單一分散方法，本論文強調的是將放款投資經過國際放款和放款投資組合配置，做出二次分散方法的結果。

本論文導入 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作為基礎。探討銀行廠商應將其國際放款和放款投資組合做分散式管理還是集中式管理，才能真正有效的降低銀行風險，並進一步算出銀行廠商最適的放款利率，放款投資組合分配比例，及如何做資本管制策略。

關鍵字

國際放款組合 ； 放款投資組合 ； 最適放款利率

並列摘要

Should bank lending be focused or diversified? This thesis answers this question by examining the optimal loan rate determination based on an option-based model under multiple diversification sources: international lending and swap hedging. We provide the conditions under which the degree of a bank’s international loan portfolio diversification is relatively less significant than we think. Although recent years have witnessed an increase in the degree of international lending (Cetorelli and Goldberg, 2006), even with loan portfolio swaps, our results provide an alternative explanation that the international lending portfolio of typical financial institutions is still very far from representing a truly diversified portfolio (Acharya, Hasan, and Saunders, 2006).

並列關鍵字

International Loan Portfolio ； Loan Portfolio Swap ； Optimal Loan Rate

參考文獻

Acharya, V. V., I. Hasan, and A. Saunders (2006) “Should Banks Be Diversified? Evidence from Individual Bank Loan Portfolio,” Journal of Business, 79, 3, 1355-1412.

Baxter, M., and U. Jermann (1997) “The International Diversification Puzzle Is Worse Than You Think,” American Economic Review, 87, 1, 170-180.

Berger, A., R. Demsetz, and P. Strahan (1999) “The Consolidation of the Financial Services Industry: Causes, Consequences, and Implications for the Future,” Working Paper, Board of Governors of the Federal Reserve System, Washington, D. C.

Berger, A., and R. DeYoung (2001) “The Effects of Geographic Expansion on Bank Efficiency,” Working Paper, Board of Governors of the Federal Reserve System, Washington, D. C.

Black, F., and M. Scholes (1973) “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, 81, 2, 637-659.