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研究生:許家豪
研究生(外文):Chia-Hao Hsu
論文名稱:保證放款支付援助方案、資本管制與銀行最適利差:選擇權評價模式
論文名稱(外文):Government Guaranteed Loan Insurance Program, Capital Regulation, and Optimal Bank Interest Margin: An Option-Based Model
指導教授:林志鴻林志鴻引用關係
口試委員:張慶暉林志娟林志鴻
口試日期:2011-05-07
學位類別:碩士
校院名稱:淡江大學
系所名稱:國際企業學系碩士班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2011
畢業學年度:99
語文別:中文
論文頁數:47
中文關鍵詞:政府保證銀行放款支付方案資本管制利差選擇權評價模式
外文關鍵詞:Government guaranteed debt insurance programCapital regulationInterest marginOption-based valuation
相關次數:
  • 被引用被引用:3
  • 點閱點閱:175
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
本文建立一選擇權評價模式(option-based valuation)來評估銀行權益報酬,風險和違約風險機率。並藉由模型討論政府對該銀行放款保證支付援助計畫方案,資本管制與利差決策之相關性。主要結論:當增加對銀行放款保證支付方案,將會增加銀行利差和報酬,至於對銀行的報酬風險機率與違約風險機率將會呈現減少的趨勢,如果銀行降低資本管制將會得到相同的預期結果。

This thesis sets up an option-based theoretical framework to evaluate a bank’s equity return, the risk of the bank’s equity return, and the default probability in the bank’s equity return. We use this framework to examine the relationships among the government guaranteed loan insurance program, capital regulation, and the optional bank interest margin. We find that an increase in the guaranteed loan insurance or a decrease in the capital regulation increases the bank’s margin (and thus the bank’s equity return), but decrease the volatility and the default probability of the bank’s equity return.

中文摘要 I

英文摘要 II

1. 前言 1
1.1 背景與動機 1
1.2 目的 3
1.3 預期結果 4
1.4 本文架構 5

2. 文獻回顧 6
2.1 銀行利差決策 6
2.2 政府援助計畫方案 8
2.3 資本管制 11

3. 基本模型 13
3.1 數學符號定義 13
3.2 權益報酬函數 14
3.3 權益報酬風險函數 19
3.4 權益報酬違約風險機率 20

4. 均衡與比較靜態分析 22
4.1 均衡 22
4.2 政府保證償還比較靜態分析 24
4.3 資本管制比較靜態分析 29

5. 結論與應用 34
5.1 結論 34
5.2 應用 35

附錄 36

參考文獻 43

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