聯邦存款保險公司促進法案下的銀行違約風險: 障礙上限選擇權評價模式分析

A note on bank default risk under the Federal Deposit Insurance Corporation Improvement Act: A barrier cap option approach

10.6846/TKU.2014.00622

林雅婷

綜效銀行 ； 銀行利差 ； 違約風險 ； 障礙 ； 上限 ； Synergy banking ； Bank interest margin ； Default risk ； Barrier ； Cap

淡江大學國際企業學系碩士班學位論文

2014年

碩士

林志鴻

英文

本文依路徑依賴和障礙上限選擇權評價模式分析，試圖推導受管理的銀行資產價值。上限選擇權捕捉綜效銀行，而綜效銀行的特徵為貸款利率和存款利率是相關的。銀行為路徑依賴，因為當銀行觸及合法且具約束力的障礙時，銀行會被淘汰。聯邦存款保險公司促進法案給予美國聯邦存款保險公司（FDIC）控制障礙的權力，藉由提高障礙管理讓存款保險基金有更好的保護（同時銀行的保護變少），銀行便會增加利差，其承受貸款風險的能力會下降，銀行的違約風險則會上升。像這類的障礙管理行為稱作“債券移轉投資”有顯著的破產預測現象。

Thesis proposes a framework for equity valuation of a regulated bank based on a path-dependent, barrier cap option model. A synergy banking proposal captured by a cap option, a gluing together of deposit-taking and lending, is a characteristic of bank interest margin management between the loan rate and the deposit rate. Path dependency is a characteristic of bank assets because equity can be knocked out whenever a legally binding barrier is breached. The Federal Deposit Insurance Corporation (FDIC) as a regulator and insurer controls the barrier by the power vested in it by the FDIC Improvement Act. Raising the regulatory barrier level, implying better protection of the insurance fund (and thus less protection of the bank), decreases loan risk-taking at an increased margin, but increases the default risk in the bank’s equity returns. Regulatory barrier as such can account for phenomenon of “flight to quality” with significant bankruptcy predication.

1. Aggarwal, R., Jacques, K.T., 2001. The impact of FDICIA and prompt corrective action on bank capital and risk: estimates using a simultaneous equations model. Journal of Banking and Finance 25, 1139-1160.
   連結：
2. Black, F., 1976. The pricing of commodity contracts. Journal of Financial Economics 3, 167-179.
   連結：
3. Brockman, P., Turtle, H., 2003. A barrier option framework for corporate security valuation. Journal of Financial Economics 67, 511-529.
   連結：
4. Episcopos, A., 2008. Bank capital regulation in a barrier option framework. Journal of Banking and Finance 32, 1677-1686.
   連結：
5. Ho, T., Saunders, A., 1981. The determinants of bank interest margins: theory and empirical evidence. Journal of Financial and Quantitative Analyses 16, 581-600.
   連結：
6. Kashyap, A.K., Rajan, R., Stein, J.C., 2002. Banks as liquidity providers: an explanation for the coexistence of lending and deposit-taking. Journal of Finance 57, 33-73.
   連結：
7. Lin, J.H., Chang, C.P., Lin, H.N., 2013. A note on bank default risk under government capital injection coinciding with high future loss expectation. Applied Economics Letters 20, 1368-1373.
   連結：
8. Longstaff, F. A., 2001, Optimal portfolio choice and the valuation of illiquid assets, Review of Financial Studies 14, 407-431.
   連結：
9. Maudos, J., de Guevara, F.J., 2004. Factors explaining the interest margin in the banking sectors of the European Union. Journal of Banking and Finance 28, 2259-2281.
   連結：
10. Merton, R.C., 1973. Theory of rational option pricing. Bell Journal of Economics and Management Science 4, 141-183.
    連結：
11. Saunders, A., Schumacher, L., 2000. The determinants of bank interest rate margins: an international study. Journal of International Money and Finance19, 813-832.
    連結：
12. Slovin, M., Sushka., M., 1983. A model of the commercial loan rate. Journal of
    連結：
13. Finance 38, 1583-1596.
    連結：
14. Tsai, J.Y., Lin, J.H., 2013. Optimal bank interest margin and default risk in equity returns under the return to domestic retail with structural breaks. Applied Economics 45, 753-764.
    連結：
15. Tsai, J.Y., Lin, J.H., Lin, Y.T., 2013. A note on bank default risk under the Federal Deposit Insurance Corporation Improvement Act: a barrier cap option approach. Working Paper, Department of International Business, Tamkang University, 24th October.
    連結：
16. VanHoose, D., 2007. Theories of bank behavior under capital regulation. Journal of Banking and Finance 31, 3680-3697.
    連結：
17. Wong, K.P., 1997. On the determinants of bank interest margins under credit and interest rate risks. Journal of Banking and Finance 21, 251-271.
    連結：
18. Kobayakawa, S., Nakamura, H., 2000. A theoretical analysis of narrow banking proposals. Monetary and Economic Studies 18, 105-118.
19. Tripier, F., 2012. Efficiency Gains from Narrowing Banks: A Search-Theoretic Approach. Hal-00719386, version 1.