臺灣博碩士論文加值系統

本篇論文試圖從存款保險機構之論點，並應用Crouhy and Galai (1991)與Lin(2000)權益價值評價模式的觀念，導入具有能夠評估市場價值(market value)之Black and Scholes (1973)選擇權評價方法，建立一個具有限制條件特性的或有請求權(contingent claim)模型，來解釋銀行如何利用外部金融來滿足放款承諾之相關決策。

利用上述研究方法證明出當存款保險機構提供銀行存款保險時，增加銀行外部金融會減少存款保險機構對銀行未來負債價值的評估，銀行於未超出過度放款的範圍(清算價值)內利用外部金融來滿足放款承諾並不會引起金融的不穩定，本論文的結果將會鼓勵銀行在流動性管理方面可多利用放款承諾的方式來進行。

This paper examines the relationship between loan commitments with external financing and state contingent deposit insurance programs. In a model all financial assets are assumed to face the perfect competitive markets, changes in the bank’s external financing have a direct effect on the deposit insurer’s expected future liability with the bank. An increase in the bank’s external financing amount decreases the insurer’s option-based future liability with the bank. It is shown that loan commitments do not cause financial instability.

In the article we also discuss bank’s profit-shifting strategy. If the equity dilution effect greater than bank’s external financing arise margin, the bank will prefer does not use the external financing satisfied the loan commitments; adversative if bank’s external financing arise margin greater than the equity dilution effect, the bank will prefer to use the external financing satisfied the loan commitments.

中文摘要.......... .......III
英文摘要.......... .......IV
圖表目錄.......... .......VII

第一章 緒論...............1
第一節 研究動機. .........2
第二節 研究目的.......... 5
第三節 研究方法.......... 5
第四節 研究架構與流程.... 7

第二章 文獻探討.......................................11
第一節 Black and Scholes模型及應用於銀行廠商理論......12
第二節 銀行放款承諾之文獻探討.........................21
第三節 銀行利差管理與存款保險之文獻探討...............27

第三章 基本模型...........32
第一節　基本架構........... 33
第二節　模型之關鍵性假設... 40
第三節 目標函數之建立..... 47

第四章 模型均衡條件與比較靜態分析.. 61
第一節　模型的均衡條件..... 61
第二節 比較靜態分析....... 70

第五章 結論...... 76

參考文獻.......... 79


圖表目錄

圖1-1：本文之研究架構與流程..................10
圖3-1：生產性廠商............................ 39
圖3-2：金融性廠商............................ 39
圖3-3：買入買權損益.......................... 55
圖3-4：銀行利潤函數.......................... 57
表2-1：銀行廠商理論的利率制訂行為之相關文獻.. 20
表2-2：銀行放款承諾之相關文獻................ 26
表2-3：銀行利差管理與存款保險之相關文獻...... 31
表3-1：生產性廠商與金融性廠商的差異性........ 39
表3-2：假設條件與設立理由.................... 46

中文部分：
丁美蓉(2001)，「存款保險、銀行隱藏行為與利差管理」，淡江大學國際企業學研究所碩士論文。

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王韻婷(2005)，「資本管制與存款保險下之銀行最適利差與違約風險：選擇權評價分析」，淡江大學國際貿易學系國際企業學研究所碩士論文。

李保中(2003)，「利率上限避險契約與銀行放款利率管理─選擇權評價模式分析」，淡江大學國際貿易學系在職專班碩士論文。

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呂麒麟(1997)，「不對稱資訊下之放款承諾：廠商觀點」，中山大學企業管理研究所博士論文。

林彥輝(2004)，「銀行利率決策與金融電子商務技術選擇」，淡江大學國際企業學研究所碩士論文。

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林峻嘉(2000)，「銀行廠商之存款與放款行為決策－或有請求權分析法」，淡江大學國際企業學研究所碩士論文。

胡貞如(2005)，「銀行對生產性廠商之投資策略分析－以權益評價模式分析」，淡江大學國際貿易學系國際企業學碩士班碩士論文。

周繼儒(2003)，「銀行利率制訂行為與金融電子商務涉入決策－選擇權訂價模式分析」，淡江大學國際貿易學系在職專班碩士論文。

陳怡芸(2002)，「我國金融控股公司資本適足性之評估」，中山大學財務管理研究所碩士論文。

陳怡蓁(2006)，「好天氣認知行為模式與最適放款利率－選擇權評價分析」，淡江大學國際企業學研究所碩士論文。

陳明貴(2000)，「資本管制下主併銀行的利率設定行為：或有請求權分析」，淡江大學國際企業學研究所碩士論文。

劉文忠(2007)，「公司治理與銀行流動資產性管理：選擇權評價分析」，西南財經大學金融專業博士班博士論文。

顏孜芸(2001)，「存款保險監理與最適銀行利差：限制性或有請求權模型」，淡江大學國際企業學研究所碩士論文。


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