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研究生:蕭杏光
研究生(外文):Hsing-Kuang Hsiao
論文名稱:以門檻選擇權計算存款保險費率與監理機關資本寬容之探討
論文名稱(外文):An Application of Barrier Options to Deposit Insurance Premium and Capital Forbearance Policy
指導教授:陳勝源陳勝源引用關係黃國誠黃國誠引用關係
指導教授(外文):Shen-Yuan ChenGuo-Cheng Huang
學位類別:碩士
校院名稱:銘傳大學
系所名稱:財務金融學系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2003
畢業學年度:91
語文別:中文
論文頁數:76
中文關鍵詞:存保費率門檻選擇權向下觸及失效賣權資本寬容停業政策
外文關鍵詞:Deposit Insurance PremiumBarrier OptionsDown-and-Out Put OptionCapital ForbearanceClosure Policy
相關次數:
  • 被引用被引用:0
  • 點閱點閱:243
  • 評分評分:
  • 下載下載:33
  • 收藏至我的研究室書目清單書目收藏:2
在金融業務逐漸自由化與國際化後,各銀行所面對之經營風險日趨不同,存款保險單一費率制度將使得保險人承受道德危險,有失公允。此外,由於主管機關在執行銀行強制停業權時存在著資本寬容,因此本研究延續Allen與Saunders(1993)將主管機關的強制停業權力納入存保模型的觀念,嘗試運用門檻選擇權做為最適風險基準之存款保險費率定價模式,並探討在該定價模式下之資本寬容政策。本研究結論得出存款保險費率受存保公司賠償停業銀行的賠償成數以及強制停業點之訂定所影響。此外,強制停業權之價值會隨著主管機關所訂定強制停業點之不同而有所改變。綜上所述,存款保險費率與強制停業權之價值均受主管機關資本寬容政策之影響。
Following financial liberalization and internationalization, the risks most banks now confront have increased. It is unfair for deposit insurers to sustain moral hazard under the deposit insurance flat premium system. Moreover, due to the existence of capital forbearance within the regulator closure policy, this research intends to follow the concept that Allen and Saunders (1993) viewed the right of regulator closure policy as a call provision on the deposit insurance pricing model to evaluate the risk-based deposit insurance premium and examine the capital forbearance by applying the barrier options pricing model. Eventually, we concluded that the percentage of rebate paid by deposit insurance corporate and the regulatory closure point have influence on deposit insurance premium. Furthermore, the value of the right of regulator closure policy fluctuates along with the regulatory closure points. Consequently, the regulatory capital forbearance policy has a great impact both on deposit insurance premium and the value of the right of regulatory closure policy.
目 錄
第一章 緒論.......................................1
第一節 研究背景與動機............................1
第二節 研究問題與目的............................3
第三節 研究架構與流程............................4
第二章 文獻探討...................................6
第一節 門檻選擇權之簡介..........................6
第二節 存款保險與賣權之類比關係..................7
第三節 選擇權理論在存款保險上之應用.............10
第三章 研究方法..................................20
第一節 存款保險定價模型.........................20
第二節 研究範圍.................................29
第三節 資料來源與變數處理.......................29
第四章 實證結果與分析............................31
第一節 歐式賣權存保契約實證結果.................31
第二節 歐式向下觸及失效賣權存保契約之實證結果...37
第三節 監理機關強制停業權力價值之分析...........45
第五章 結論與建議.................................61
第一節 研究結論.................................61
第二節 建議.....................................62
參考文獻...........................................63
附錄一.............................................67
附錄二.............................................72
參考文獻
一、中文部分
林煜宗、黃達業、陳勝源(1994),「風險基準存款保險費率之評價與敏感性分析」,管理評論,第十三卷第二期,23-48。
徐守德、蔡明憲(1999),「臺灣存款保險費率與商業銀行風險移轉行為研究」,證券市場發展季刊,第十一卷第二期,1-28。
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陳勝源(2000),「從代理理論觀點檢視存款保險制度」,國家科學委員會研究彙刊:人文及社會科學,第十卷第一期,127-141。
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樊高民(1997),「台灣地區金融機構存款保險費率之實證研究」,淡江大學財務金融學系碩士論文。
二、英文部分
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