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研究生:洪偉銘
研究生(外文):Wei-Ming Hung
論文名稱:在資本管制下商業銀行擴張證券與保險業務之利差管理分析:選擇權交換模式方法
論文名稱(外文):On the Margin Effects of Commercial Bank Expansion into Securities and Insurance Activities: A Mathematical Swap Approach
指導教授:林志鴻林志鴻引用關係
口試委員:張慶暉林志娟
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:英文
論文頁數:44
中文關鍵詞:金融服務現代化法案商業銀行投資銀行總報酬交換交易
外文關鍵詞:Gramm-Leach-Bliley ActCommercial BankingInvestment BankingTotal Return Swaps
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1999年美國通過金融服務現代化法案(或稱GLBA),允許商業銀行兼營投資銀行的證券、保險業務。雖有不少文獻提及在GLBA實行後,對金融業造成有利的發展,但是當2008年美國保險巨人AIG,其營運發生重大的損失,即使美國政府為持續扶持AIG的營運,大量投入資金予以協助,保險戶仍逐漸對具有保險屬性的保險公司失去信心,再加上GLBA允許商業銀行得以擴張保險業務,或許AIG營運不善,給予商業銀行發展擴張其保險服務業務的機會。這議題給予本論文研究的空間與方向。

本論文採用或有請求權分析架構,探討透過總報酬交換交易,在資本管制下,商業銀行採行同一屋簷營運模式之擴張證券與保險服務業務,如何決定銀行的最適利差,特別是在通過GLBA後之金融環境情況下。我們發現到,銀行利差和非利息收入與銀行的證券避險需求和保險業務呈現正向相關,但與銀行的資金需求呈現負向相關;同時也發現到,銀行非利息收入在利差變動的情況下有類似的論證。顯示商業銀行兼營投資銀行業務將使得綜合績效上升。此外,如果政府降低資本適足的額度,商業銀行將會有較強烈的動機去擴張投資銀行的業務。


The Gramm-Leach-Bliley Act (GLBA) of 1999 allows commercial bank expansion into investment banking of securities and insurance activities without limit in subsidiaries separate from commercial banks. This paper demonstrates how securities hedging, insurance underwriting, and capital regulation through the total return swap approach jointly determine the optimal bank interest margin under the same roof. We find that the bank’s interest margin and noninterest income are positively related to the bank’s securities hedging demand, and to the insurance underwriting provision, but negatively related to the bank capital requirement. We also find that the results of the bank’s noninterest income follow a similar argument as in the case of a change in interest margin. The results show that the combined production of commercial banking expansion into investment banking enhances the bank’s synergistic gains. In addition, if regulators reduce capital charges, a commercial bank will have a strong incentive to expand its investment banking activities. This suggests obvious diversification benefits from the return to investment banking under the same roof.

目錄

中文摘要 II
英文摘要 III

Chpater 1 Introduction 1

Chpater 2 Background 7

Chpater 3 Framework and Assumptions 10
3.1 Framework 10
3.2 Assets 12
3.3 Liabilities 13
3.4 Total return swap transactions 14

Chpater 4 Model Setup 16
4.1 The bank’s objective 16
4.2 The non-interest cost-benefit framework 20

Chpater 5 Solutions 22

Chpater 6 Comparative Static Results 25
6.1 Impact on from increasing 25
6.2 Impact on from increasing 28
6.3 Impact on from increasing 31
6.4 Impact on from increasing 33
6.5 Impact on From increasing 36
6.6 Impact on from increasing 37

Chpater 7 Conclusion 39

References 41



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