銀行利差管理、違約風險與國營化程度：選擇權評價數值模擬分析

由次級房貸引發出的2008金融危機，各國政府紛紛採取因應措施以拯救其金融市場，當時美國聯邦理事準備會提出的大規模紓困計畫，其紓困計畫中一方案為政府直接資本挹入，資本挹入將造成銀行本身結構產生變化，並對其銀行廠商之放款利率與違約風險造成影響。本論文主要在於探討議題為：當全球政府入股銀行，嘗試改善銀行之資本流動與改善其經營之同時，對銀行廠商之放款利率與違約風險影響之相關性。本文透過理論模型的建立與選擇權評價模式的數值模擬分析，結論有二，一為發現當銀行國營化程度越高的同時，銀行之放款利率則相對降低，此時銀行將增加放款追逐高風險以獲得更大的權益報酬。二則為政府入股比例增加的同時，銀行廠商所面對之違約風險也將增加，其原因為銀行在仰賴政府資金的情況下，其資產品質轉好，將增加放款追逐高報酬與高風險。

關鍵字

部分國營化；銀行利差管理；權益報酬違約風險

並列摘要

According to the financial crisis in 2008, governments tried to stable the financial market by proving the capital from the government fund. In this paper, our purpose is to understand the impact of the political interference related to the bank nationalization on equity capital and default risk caused by the structural changes of the bank itself. Based on this paper, there are two results could be demonstrated. First, the increase of nationalization caused the decrease of the base rate. Bank will increase the amount of the lending in order to pursue the better equity return. Second, the default risk will be influenced by the structural change of the bank. Banks will rely on the government fund, which improve the quality of its capital and internal structure and start to pursue higher equity return that will cause higher default risk.

並列關鍵字

Nationalization ； Bank interest margin ； Return of equity

參考文獻

趙莊敏，戴德昇(2006)，台灣股權結構、董事會特性與其經營成本效率之相關性研究，台灣金融財務季刊，第7輯，第3期，第95-125頁。

林暐純(2010)，「在資本管制下，部分國營化對銀行權益報酬違約風險之探討」，淡江大學國際企業研究所碩士論文。

Lin, J. H., C. H. Chang, and R. Jou (2010) “Partial State-Owned Bank Interest Margin, Default Risk, and Structural Breaks: A Model of Financial Engineering,” WSEAS Transactions on Mathematics, 9, 1, 42-55.

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Classens, S., S. Djankov, and L. H. P. Lang (2000) “The Separation of Ownership and Control in East Asian Corporation”, Journal of Financial Economics, 58, 2, 81-112.

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銀行利差管理、違約風險與國營化程度：選擇權評價數值模擬分析

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