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研究生:何瑞鎮
研究生(外文):Ruey-Jenn Ho
論文名稱(外文):Two Essays on the Applications of Contingent Claim Approach: The Cases of Pricing Deposit Insurance and ESO
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:博士
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:2011
畢業學年度:99
語文別:英文
論文頁數:73
中文關鍵詞:存款保險風險移轉上限選擇權分析法最小平方蒙地卡羅法多點執行員工認股選擇權
外文關鍵詞:Deposit insuranceRisk-shifting behaviorLeast-squares Monte Carlo simulationsMultiple exerciseEmployee stock optionsBarrier option approach
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本論文由兩篇關於選擇權評價方法應用之文章所構成。

第一篇文章是關於美國商業銀行風險移轉行為之理論與實證分析。文獻上對於美國商業銀行存款保險之風險移轉行為,多著重於固定存款保險金制度期間,且實證研究並無一致性的結論。本文的實證研究包含美國市場的固定與風險基礎存款保險金期間,提供商業銀行風險移轉行為更完整的實證分析。
本文在研究方法上有兩個創新。首先,我們在上限選擇權分析法(The Barrier Option Approach)的架構下,進行存款保險金的理論評價,進而提供合理的存款保險金評價公式。接著在模型參數的估計上,我們使用最大概似估計法(The Maximum Likelihood Estimation Method)替代文獻上使用的Ronn與Verma之方法,以避免模型估計可能產生不一致的問題。
在固定存款保險金制度期間,本文的實證結果顯示商業銀行傾向將其風險移轉給存款保險公司;然而在風險基礎存款保險金制度期間,商業銀行的風險移轉行為明顯減少,雖然此行為並未完全消失。進一步觀察風險基礎存款保險金制度期間,發現財務結構正常的商業銀行大幅降低其風險移轉行為,但是財務結構不佳的銀行則並未停止將其風險移轉給存款保險公司,因此我們建議政策上應該再針對財務不佳的商業銀行進行補強。我們也發現在固定存款保險金制度期間,大銀行因為有「大到不能倒」的優勢,因此明顯將其風險移轉給存保公司,但此現象在風險基礎的存款保險金制度下則已經消失。



第二篇文章我們考慮多點執行(Multiple Exercise)的情況下,員工認股選擇權(Employee Stock Options)的評價分析。文獻上對於員工認股選擇權之評價,通常假設員工會在單一時點,將其所有選擇權部位執行完畢,此假設可合理的評價交易選擇權(Traded Options),但是卻不適合員工認股選擇權。
關於考慮多點執行的文獻不多,且為了降低評價的複雜程度,文獻上對於允許多點執行情況下的員工認股選擇權,通常都忽略員工除了選擇權以外尚有其他資產(Non-Option Wealth),因而高估了員工面對的風險,進而使評價產生偏務。不同於文獻的假設,本文同時考慮員工的其他資產與多點執行,提供更完整的評價分析。在評價上我們應用最小平方蒙地卡羅法(Least-Squares Monte Carlo Method)來進行員工認股選擇權的評價,以避免使用二項樹法(Binomial Tree Approach)可能面對路徑相依(Path-Dependent)的問題,使評價更容易在多變數下進行。
由數值分析的結果的我們發現考慮多點執行時,員工認股選擇權的成本(Cost to Firms)提高,尤其是在到期日較長、風險較趨避、以及標的股票波動性較高的情況。而考慮員工擁有其他資產時,由於員工整體風險降低,因此傾向延遲執行其選擇權部位,進而使員工認股選擇權的成本提高,尤其是在到期日較長的情況。最後,在本文的模型下,員工認股選擇權並不會隨著風險趨避係數降低而單調上升(Monotonously Increase),此情況是本文模型與文獻模型最大的不同之處。
This dissertation contains two essays on the applications of contingent claim approach: the cases of pricing deposit insurance and ESO.

First Essay
Risk-Shifting Behavior at Commercial Banks under Different Deposit Insurance Systems: Further Evidence from U.S. Markets
In this essay, we provide further evidence regarding the effect of deposit insurance on the risk-shifting behavior at commercial banks in the United States. In particular, we compare the risk-shifting behavior of commercial banks before and after adopting the risk-based capital requirements in the U.S. market. To test the risk-shifting behaviors, we propose a new pricing model for the valuation of deposit insurance premium using a barrier option framework. We also estimate the unknown parameters using a maximum likelihood estimation method rather than Ronn and Verma’s (1986) two-equation approach. We find that the risk-shifting behaviors at commercial banks have reduced significantly but have not disappeared after the adoption of a risk-based deposit insurance system. The risk-shifting behavior at commercial banks still exists, especially for those banks with high risks or high financial distress probabilities. We find that the deposit insurance reform prevents large banks from shifting their risk to the deposit insurers as well.


Second Essay
Pricing Employee Stock Options with Multiple-Exercise Decisions

This essay proposes a model to value the effective cost of employee stock options (ESOs) assuming that the employee may exercise his/her options in multiple future dates. Therefore we first constructed our model considering the dynamic non-option wealth by maximizing the expected time-additive inter-temporal utility. We then implement our model by using the least-squares Monte Carlo technique for valuing ESOs with multiple-exercise features. Our model can avoid computational path-dependent problems encountered in the binomial tree method. There are three main findings from our numerical analysis. First, consistent with literature, we find that the costs of employee stock options to shareholders will increase if the multiple-date exercise is allowable for options with longer time to maturity, smaller risk aversion parameter, and higher stock price volatility. Second, due to the non-option wealth reducing the total risk of employees, we find that the cost of employee stock options to shareholders will increase after taking the non-option wealth into account, especially for options with longer time to maturity. With longer maturity, the cost of options will increase with non-option wealth. Finally, the costs of employee stock options do not monotonously increase with the risk aversion parameter in our two-state-variable model.
Abstract in Chinese I
Abstract III
Acknowledgements V
Contents VI
List of Tables VIII

First Essay Risk-Shifting Behavior at Commercial Banks under Different Deposit Insurance Systems: Further Evidence from U.S. Markets
1.Introduction 1
2.Institutional Background 4
3.Models of Deposit Insurance under a Barrier Option Framework 6
3.1 Risk-Adjusted Deposit Insurance Premiums 6
3.2 Estimation of Bank Assets and Its Volatilities 9
4.Empirical Design for Testing Risk-Shifting Behavior at Commercial Banks 12
5.Empirical Analysis 14
5.1 Data and Sample Selection 14
5.2 Empirical Results 15
5.3 Robustness Checks 18
6.Conclusions 19
Appendix A: The Proof of Theorem 1 21
Appendix B: The Proof of Theorem 2 27
References 28

Second Essay Pricing Employee Stock Options with Multiple-Exercise Decisions
1.Introduction 41
2.Related Literature 44
3.The Model 45
3.1 The Two-State-Variable Framework 46
3.2 The Optimal Exercise Policy and Its Corresponding Cost to Shareholders 48
3.3 The Implementation of Utility-Pricing Algorithm 51
4.Numerical Analysis 53
5.Conclusions 59
Appendix A: The Proof of Proposition 1 60
References 61
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