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系統識別號 U0002-0106201115153200
中文論文名稱 在資本管制下,部分國營化對銀行權益報酬違約風險之探討
英文論文名稱 Bank Interest Margin and Equity Default Risk Under Partial Nationalization and Capital Regulation
校院名稱 淡江大學
系所名稱(中) 國際企業學系碩士班
系所名稱(英) Master's Program, Department Of International Business
學年度 99
學期 2
出版年 100
研究生中文姓名 林暐純
研究生英文姓名 Wei-Tsun Lin
學號 698550356
學位類別 碩士
語文別 中文
口試日期 2011-05-07
論文頁數 66頁
口試委員 指導教授-林志鴻
共同指導教授-賴錦璋
委員-張慶輝
委員-林志娟
中文關鍵字 部分國營化  結構性變化  資本管制  權益報酬違約風險 
英文關鍵字 Partial Nationalization  Structural Change  Capital Regulation  Equity Default Risk 
學科別分類
中文摘要 2008年全球金融風暴下,政府為穩定全球金融經濟與秩序,透過許多因應措施遏止金融海嘯的蔓延。而本論文主要探討議題:在資本管制下,政府援助問題銀行,當政府入股與直接干預經營管理不良銀行,造成銀行內部結構性發生變化時,藉由銀行利差決策行為進一步得知,政府政策對銀行權益報酬與違約風險機率的相關性。
本論文透過理論模型得出研究結果,發現問題銀行部分國營化程度越高,銀行的權益報酬與權益報酬違約風險也隨之增加。此原因係因為政府將問題銀行的問題資產,利用股權交換方式來調整其資產組合,並藉由干預放款利率的制定行為,提升銀行的資產品質與財務結構,因此該政策效果針對問題銀行能突顯出有效性。但面對嚴謹的資本管制之下,銀行需要更多資本存款時,其放款能力減弱,銀行為追求穩定報酬,反而調降利率增加更多放款數量,此時銀行廠商權益報酬不但減少,面對的權益報酬違約風險機率亦隨之增加,則此政策效果卻無法達到穩定金融秩序之目標。
英文摘要 During the global financial crisis, the government in orders to stabilizes the global financial and economics, politicians powering taxpayer’s money into ailing banks and demanding that the cash be lent at home. In this paper, our purpose is understanding under capital regulation, the impact of political interference relate to bank nationalization on equity capital and default risk caused by structural changes in lending activities.
This paper researches to find, an increase degree of bank partial nationalization reflected by structural changes increases the bank’s interest margin and its associated with default risk. This reason is that government using shares exchange to troubled assets of banks and adjusts equity portfolio, enhance the bank’s asset quality and financial structure by political interference, and the policy effects of the ailing banks have emerged the effectiveness. Beside, an increases in bank capital requirement results in reduced interest margin and increased default risk in equity return, so it indicates that policy has failed to achieve the goal of financial stability.
論文目次 目錄

謝 辭 I
中文摘要 II
英文摘要 III
目錄 IV
圖表目錄 VI

第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 3
第三節 研究方法 5
第四節 研究架構與流程 7

第二章 文獻探討 9
第一節 股權結構與銀行績效之相關文獻 9
第二節 Black and Scholes模型與利率制定行為之相關文獻 11
第三節 違約風險之相關文獻 15
第四節 資本管制之相關文獻 18

第三章 模型概念、基本假設與模型建立 22
第一節 模型概念 22
第二節 模型基本假設 29
第三節 目標函數 33
第四節 權益報酬違約風險 37

第四章 模型均衡分析與比較靜態分析 39
第一節 均衡分析 39
第二節 比較靜態分析 41

第五章 結論與應用 52

附錄 54
參考文獻 61

圖表目錄

【表2-1】股權結構與銀行績效之相關文獻 11
【表2-2】Black and Scholes模型與利率制定行為之相關文獻 14
【表2-3】違約風險之相關文獻 18
【表2-4】資本管制之相關文獻 21
【表3-1】金融性廠商與生產性廠商比較表 26
【表3-2】模型基本假設 33
【圖1-1】研究概念圖 6
【圖1-2】研究流程圖 8
【圖3-1】金融性廠商與生產性廠商投入與產出流程圖 24
【圖3-2】銀行權益報酬之買入買權函數 28
【圖4-1】增加政府股權與資本存款比較靜態分析 51
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蔡德夆(2009),「2008全球金融危機對美國金融監理之影響」,臺灣大學財務金融學研究所碩士論文。

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