(3.238.88.35) 您好!臺灣時間:2021/04/10 19:21
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:謝依珊
研究生(外文):Yi-shan Hsieh
論文名稱:應用界限選擇權方法評價一般化模型下銀行貸款保證的價值
論文名稱(外文):A General Framework for Valuing Loan Guarantee of BanksUsing Barrier Option Approaches
指導教授:張傳章張傳章引用關係
指導教授(外文):Chuang-Chang Chang
學位類別:碩士
校院名稱:國立中央大學
系所名稱:財務金融研究所
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:2008
畢業學年度:96
語文別:英文
論文頁數:41
中文關鍵詞:銀行貸款保證違約機率美式界限選擇權
外文關鍵詞:American barrier optionloan guarantee of banksdefault probability
相關次數:
  • 被引用被引用:0
  • 點閱點閱:119
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:2
以往文獻主要是保證公司為一般公司提供貸款保證之模型, 本研究提出被保證公司為銀行的貸款保證模型。根據Chen et al. (2006) ,銀行主要資產投資組合為多個貸放款,分別貸放給多個彼此相關的借款公司, 因此銀行資產損益呈現截尾結構, 且銀行資產波動性主要來自於借款公司資產的波動性, 且銀行主要債務為存款額。本研究假設存
在多個貸款保證公司聯合保證多家銀行的主要債務之履行, 當銀行資產小於負債以致其淨值為負時, 貸款保證公司在給予銀行貸款保證時有界限限制, 並無法提供完全賠償, 而且基於貸款保證公司的立場, 貸款保證公司須隨時瞭解銀行資產的價值變化。因此本研究將貸款保證公司的界限限制賠償政策, 和隨時檢測銀行資產狀況需求納入銀
行貸款保證模型, 運用美式界限選擇權做為銀行貸款保證的定價模式, 探討各銀行需承擔的銀行貸款保證的價值, 並與傳統歐式與美式選擇權定價模式比較, 並且利用最小平方蒙地卡羅模擬法探討借款公司、銀行與貸款保證公司資本結構之關鍵變數對各銀行需承擔的銀行貸款保證價值與違約機率的影響, 和對貸款保證公司違約機率的影
響。
Our study focuses on a general framework for valuing the loan guarantee of banks.Based on Chen et al. (2006), the bank’s asset portfolio consists of several loans and the banks lend several correlated corporate firms the loans. So that the bank’s asset value is the truncated structure. The corporate firm’s asset volatility is the primitive risk in the bank’s asset portfolio. Our model is analyzed under a multiplecorporate firm , multiple-bank , and multiple-guarantor framework. The guarantors has the duty to guarantee the banks’ debt value. After considering the barrierm compensated policy and immediate examining system, we estimate the value of loan guarantee using the American barrier option approach. We compare the value of loan guarantee using American barrier option approach to that using Europe option and American option approach. We carry out simulations to investigate how the important parameters of corporate firms, banks, and guarantors affect the values
and default probability of loan guarantee.
1 Introduction 1
2 Model 4
2.1 The corporate firms . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
2.2 The banks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
2.3 The guarantors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
3 Numerical Methods 9
4 Numerical Results 11
4.1 Results under three type of option-pricing framework . . . . . . . . . 13
4.2 Results for the changes in critical parameters . . . . . . . . . . . . . . 14
5 Conclusion 19
Appendix 19
A Spectrum Decomposition 20
B Least Square Monte Carlo Simulations 20
Reference 22
References
Allen, L. and Saunders, A. (1993), “Forbearance and valuation of deposit insurance
as a callable put”, Journel of Banking and Finance, 629–643.
Chang, Chuang-Chang, Chung, San-Lin, and Yu, Min-Teh (2006), “Long guarantee
portfolio and joint loan guarantees with stochastic interest rates”, The Quarterly
Review of Economics and Finance, 16–35.
Chen, A.H., Chen, K.C., and Sears, R.S. (1986), “The value of loan guarantee: The
case of chrysler corporation”, Research in Finance, 101–117.
Chen, Andrew H., Ju, Nengjiu, Mazumdar, Sumon C., and Verma, Avinash (2006),
“Correlated default risks and bank regulations”, Journal of Money, Credit, and
Banking, (2), 376–398.
Dermine, Jean and Lajeri, Fatma (2001), “Credit risk and the deposit insurance
premium:a note”, Journal of Economics and Business, 497–508.
Flannery, Mark J. (1989), “Capital regulation and insured bankschoice of individual
loan default risks”, Journal of Monetary Economics, 235–258.
Geske, R. (1979), “The valuation of compound options”, Journal of Financial Economics,
63–81.
Johnson, H. and Stulz, R. (1987), “The pricing of options with default risk”, Journal
of Finance, 267–280.
Jones, E. P. and Mason, S. P. (1980), “The valuation of loan guarantee”, Journal of
Banking and Finance, 89–107.
Lai, V. S. (1992), “An analysis of private loan guarantee”, Journal of Financial
Services Research, 267–280.
Lai, V. S. and Gendron, M. (1994), “On financial guarantee insurance under stochastic
interest rates”, The Geneva Papers on Risk and Insurance Theory, 119–137.
Lai, V. S. and Yu, M. T. (1999), “An accurate analysis of vulnerable loan guarantees”,
Research in Finance, 103–137.
Longstaff, Francis A. and Schwartz, Eduardo S. (2001), “Valuing american option
by simulation:a simple least-squares approach”, The Review of Financial Studies,
113–147.
Merton, R. C. and Bodie, Z. (1979), “On the management of financial guarantees”,
Financial Management, 87–109.
Merton, Robert C. (1977), “An analytic derivation of the cost of deposit insurance
and loan guarantees”, Journal of Banking and Finance, 3–11.
Selby, M. J. P., Franks, J. R., and Karki, J. P. (1987), “Loan guarantees, wealth
transfers and incentives to invest”, Journal of Fixed Income, 58–65.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
系統版面圖檔 系統版面圖檔