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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