政府援助與銀行資產風險:
加權障礙選擇權評價模式分析

林子豪

doi:10.6846/TKU.2014.00615

44.210.21.70，Hello！

Close
Search Quick Search Advanced Search Publication Search	Personal Service Member Login Searching History Use Bonus Card SYMSKAN
Browse Browse by University of Graduate Thesis Browse by Pinyin of Graduate Thesis Browse by Conference Proceedings Topic Browse by Conference Proceedings Publisher Browse by Pinyin of Conference Proceedings Browse by eBook Category Browse by eBook Topic Browse by eBook Publisher
Customer Services Authorize Airiti Recommend a Journal

Search Symbol (Half-width)	Description of Search Symbols
Space	"AND" indicates the intertwining of key terms used in a search
Double Quotation Marks ("") ( " " )	Double quotation marks indicate the beginning and end of a phrase, and the search will only include terms that appear in the same order of those within the quotations. Example: "image process" ： " image process "
?	Indicates a variable letter. Entering two ? will indicate two variable letters, and so on. Example: "Appl?", search results will yield apple, apply… e , appl y … ( (often used to English word searches) )
*	Indicates an unlimited number of variable letters to follow, from 1~n. Example: Enter "appl*", search results will yield apple, apples, apply, applied, application…(often used in English word searches) e , appl es , appl y , appl ied , appl ication … ( (often used to English word searches) )
AND、OR、NOT	Boolean logic combinations of key words is a skill used to expand or refine search parameters. (1) AND (1) AND: Refines search parameters (2) OR (2) OR: Expands search parameters (3) NOT: Excludes irrelevant parameters

DOI stands for Digital Object Identifier （ D igital O bject I dentifier ） ,
and is the unique identifier for objects on the internet. It can be used to create persistent link and to cite articles.

Using DOI as a persistent link

To create a persistent link, add「http://dx.doi.org/」「 http://dx.doi.org/ 」 before a DOI.
For instance, if the DOI of an article is 10.5297/ser.1201.002 , you can link persistently to the article by entering the following link in your browser: http://dx.doi.org/ 10.5297/ser.1201.002 。
The DOI link will always direct you to the most updated article page no matter how the publisher changes the document's position, avoiding errors when engaging in important research.

Cite a document with DOI

When citing references, you should also cite the DOI if the article has one. If your citation guideline does not include DOIs, you may cite the DOI link.

DOIs allow accurate citations, improve academic contents connections, and allow users to gain better experience across different platforms. Currently, there are more than 70 million DOIs registered for academic contents. If you want to understand more about DOI, please visit airiti DOI Registration （ doi.airiti.com ）。

Data Source

College of Business and Management > Master's Program, Department of International Business
Social Sciences > Management

Bibliography Management Tool

Related Links

Report an Issue

Purchase Single Articles

Download PDF

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 , Masters　　Advisor：林志鴻　　Co-advisor ：蔡政言

英文 DOI： 10.6846/TKU.2014.00615

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

Abstract │ Reference (49) │ Altmetrics

Abstract 〈TOP〉

Parallel Abstract 〈TOP〉

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.

Reference ( 49 ) 〈TOP〉

Angbazo, L., 1997. Commercial bank net interest margins, default risk, interest rate risk, and off-balance sheet banking. Journal of Banking and Finance 21, 55-87.
連結：
Bebchuk, L.A., 2008. A plan for addressing the financial crisis. Working Paper, Harvard University.
連結：
Bhattacharya, S., Plank, M., Stobi, G., Zechner, J., 2002. Bank capital regulation with random audits. Journal of Economic Dynamics and Control 26, 1301-1321.
連結：
Black, F., Cox, J.C., 1976. The valuation of options for alternative stochastic processes. Journal of Financial Economics 3, 145-166.
連結：
Black, F., Scholes, M., 1973. The effects of dividend yield and dividend policy on common stock prices and returns. Journal of Financial Economics 1, 1-22.
連結：

Altmetrics

〈TOP〉

E-mail ：

When an article is available to download, a notice will be sent to your mailbox address.

E-mail ：