系統識別號 | U0002-0301201623055200 |
---|---|
DOI | 10.6846/TKU.2016.00079 |
論文名稱(中文) | 在資本管制之下,技術選擇與銀行績效:交換選擇權評價模式分析 |
論文名稱(英文) | Technology choice and bank performance under capital regulation in a swaption framework |
第三語言論文名稱 | |
校院名稱 | 淡江大學 |
系所名稱(中文) | 國際企業學系碩士班 |
系所名稱(英文) | Master's Program, Department Of International Business |
外國學位學校名稱 | |
外國學位學院名稱 | |
外國學位研究所名稱 | |
學年度 | 104 |
學期 | 1 |
出版年 | 105 |
研究生(中文) | 范振洋 |
研究生(英文) | Chen-Yang Fan |
學號 | 602550047 |
學位類別 | 碩士 |
語言別 | 英文 |
第二語言別 | |
口試日期 | 2015-12-21 |
論文頁數 | 30頁 |
口試委員 |
指導教授
-
林志鴻
共同指導教授 - 賴錦璋 委員 - 張慶暉 委員 - 周繼儒 |
關鍵字(中) |
交換選擇權 資本管制 技術選擇 違約風險 |
關鍵字(英) |
Swaption Capital regulation Technology choice Default risk |
第三語言關鍵字 | |
學科別分類 | |
中文摘要 |
巴塞爾協議Ⅲ在2010年彌補資本管制和流動性風險。權益報酬評價之交換選擇權理論適用於受監管銀行之或有請求權,本篇論文探討在資本管制下的銀行績效(違約風險)以及技術選擇(人力資源投資相對於資訊科技投資)如何影響零售銀行的報酬。本篇論文試圖證明增加人力資源(保守型技術)相對於資訊科技(先進型技術)的投資,可以減少銀行的權益報酬違約風險。以及在資本管制下,增加保守型技術相對於先進行技術會擴大銀行違約風險的程度。本論文最後得到的結論是在資本管制下,於零售金融服務中投入資訊科技有助於銀行的獲利能力。 |
英文摘要 |
Basel Ⅲ in 2010 remedied the regulatory capital and liquidity failures. The swaption theory of corporate security valuation is applied to the contingent claims of a regulated bank. This thesis examines how capital regulation affects a bank’s performance (default risk) and how this effect varies across technology choices (human resource investment relative to information technology investment) that occurred in the return to retail banking. We have two main results. First, a backward technology, an increase in the human resource investment relative to the information technology investment, decreases the default risk in the bank’s equity returns. Second, the positive effect of capital regulation on the bank default risk is less significant when the bank chooses a backward technology than an advanced technology. Technology and regulation as such adversely affect the bank survival probability of the return to retail banking. |
第三語言摘要 | |
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....................................................Ⅴ Chapter 1 Introduction ...................................1 Chapter 2 Related literature .............................4 Chapter 3 The model ......................................7 Chapter 4 Solution and results ..........................14 Chapter 5 Numerical analysis ............................16 Chapter 6 Conclusion ....................................26 References ...............................................27 圖表目錄 Table 1: Impact on bank interest margin from technology choices .......17 Table 2: Impact on bank default risk from technology choices .......18 Table 3: Impact on bank interest margin from capital regulation ....20 Table 4: Impact on bank default risk from capital regulation ........................21 Table 5: Impact on bank interest margin from capital regulation at various technology choices ..............................................23 Table 6: Impact on bank default risk from capital regulation at various technology choices ..............................................24 |
參考文獻 |
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