臺灣博碩士論文加值系統

論文名稱：不完全競爭銀行存款與放款行為之探討： 頁數：73
或有請求權分析法
校系(所)組別： 淡江大學 國際貿易學系 國際企業學 碩士班 B組
畢業時間及提要別： 八十七 學年度第 二 學期 碩士 學位論文提要
研究生： 張瑞宏 指導教授：林志鴻、賴錦璋 博士
論文提要內容：
過去二十年來全球金融市場一直蔓延著一股自由化與國際化的新風潮，面對這一波金融革新的衝擊，我國政府亦於民國七十八年修訂銀行法，開放新銀行的設立，面對市場開放後高度競爭的經營環境，銀行多以追求高成長與高利潤為主要經營目標，並藉由承擔更大的風險以期獲取更高的利潤。基此，本文主要在探討：身為一個銀行經營者，如何將其面對的風險與報酬因子做妥適的搭配，以決定銀行廠商最適之存、放款行為，並達成股東權益極大化的目的。
Black & Scholes(1973)指出，幾乎所有的公司債務(Liability)都可視為選擇權的組合，透過選擇權來評價銀行廠商的權益價值，可突顯銀行廠商在經營決策上所面臨的不確定性因素。本文主要目的在結合資產組合理論的不確定性與廠商理論利率設定行為，透過或有請求權分析法，將不確定性因素納入考量，探討資產組合報酬不確定因子與無風險證券報酬變動時，對不完全競爭銀行廠商存、放款行為的影響。
本文主要結論為：透過Black & Scholes的選擇權訂價模型，當資產組合理論的不確定因子改變時，無法判斷其對廠商利率設定行為的影響。再者，公開市場無風險證券報酬的改變亦無法判斷其對銀行廠商存、放款行為的影響，其主要原因在於納入廠商理論不完全競爭的市場考量所致。

Title of Thesis:The Inquiry and Research of Total pages:73
Deposit and Loan Behavior of an Imperfect
Competitive Bank: Contingent Claim Analysis
Key words: Black-Sholes Valuation, Uncertainty, Equity-Value
Maximization, Limited-Liability Effect, Rate-Setting
Name of Institute: The Graduate Institute of International
Business,Tamkang University
Graduate Date: June,1999 Degree Conferred: Master
Name of Student: Jui-Hong Chang Advisor: Dr.Jyh-Horng Lin
張 瑞 宏 林 志 鴻 博士
Abstract:
For the past two decades, liberalization and internationalization have become the new trends in the global financial markets. Facing to the drastic revolution of the financial markets, government deregulated banking laws to permit new banks to enter this industry in 1989. Under this competitive environment, the managers’ management of new banks is devoted to pursuing high growth and high profit and willing to take on more risk to trade a higher rate of return, The thesis analyzes the following issues: as a bank manager, how to make the optimal combination between risk and determine the optimal deposit and loan policy to pursue wealth-maximizing in shareholders?
Black & Scholes (1973) pointed out almost all-corporate liabilities can be viewed as combinations of options. The option-pricing model can be used to value equity of a banking firm, the principal advantage of this valuation technique is the explicit treatment of uncertainly which easily has played an important role in discussions of banking firms behavior. The purpose of this thesis is to integrate portfolio-theoretic volatilities with the firm-theoretic rate-setting modes in the analysis of the contingent claim of an imperfectly competitive banking firm.
Our main findings are that the relationship between the portfolio-theoretic combined volatilities and the firm-theoretic rate-setting modes under the Black & Scholes valuation is indeterminate. Furthermore, the effect of changes in the open market security rates (returns of default-free asset) on the loan-rate and deposit-rate settings are indeterminate. A possible examination of these indeterminate results may originate from the assumption of the behavioral modes of imperfectly competitive loan and (or) deposit markets.

目 錄
圖表目錄 ii
第一章 緒論…………1
第一節 研究動機與目的…2
第二節 研究方法…………6
第三節 研究架構…………7
第二章 理論基礎與文獻探討…………………12
第一節 運用選擇權評價權益之理論基礎………12
第二節 運用選擇權評價權益之相關文獻回顧…16
第三章 基本模型……………21
第一節 模型假設……………21
第二節 目標函數……………31
第四章 模型的均衡與比較靜態分析………………41
第一節 不完全競爭的存款與放款市場……………42
第二節 完全競爭的放款市場與不完全競爭的存款市場…51
第三節 完全競爭的存款市場與不完全競爭的放款市場…57
第五章 結論 ………………64
參考文獻……………………67

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