銀行在政府解除管制前，只能接受金融當局所給予的利率來追求利潤，而其本身所進行的業務乃是風險評估；不過自從1980年金融市場逐漸自由化後，銀行已可自行決定利率，但是政府為了維持金融市場營運的健全性，仍會給予銀行一些限制與要求，例如：資本存款比與存款保險。

本研究將把銀行的兩項特色-風險評估與利率制定作一結合，並且會納入政府管制，來探討資本存款比與存款保險將如何影響銀行的最適放款利率與違約風險。研究重點在於試圖建立一個利率制定之模型，導入 Black and Scholes (1973) 提出的或有請求權分析法，模型結合了投資組合理論中的風險屬性及、成本條件及利率制定行為的廠商理論。本研究假設銀行廠商在追求權益價值極大化為前提之下，建立出其目標函數，分析其利率制定策略。

本研究的結果顯示出：無論政府增加資本存款比或存款保險，銀行只要考量到其所處的環境風險相對較低時，其為了維持一定權益報酬，而選擇追求更多更大量的放款數，因此銀行最適放款率會下降；但是，由於風險放款數量的增加，也將導致銀行違約風險的可能性增加。

After the financial deregulation, banks are not only risk managers but also rate setters because the loan market becomes imperfect competition.  However, government in order to maintain the method of the financial market, the government still put the bunds to the banks.  For example, capital regulation and deposit insurance.

This study tries to combine the two characteristics─risk management and rate setting of banks to discuss how capital regulation and deposit insurance rate affect bank’s optimal interest margin and default risk.  We focus on banking firms’ rate-setting model and quote the contingent clam approach from Black and Scholes (1973).  Our model involves the firm theories about risk attribute, cost condition and rate-setting behavior.  We construct our banking firms’ target profit function to analyze the rate-setting strategies for the consultation to the government and commercial banks on strategies making under the assumption that banking firms pursue maximizing their equity values.

This study shows that when the government decides to increase the capital regulation or deposit insurance, the optimal interest rate of banks will decreased in order to provide a return to a larger equity base under the negative elasticity effect.  Also, the default risk of banks will increased by increasing the amount of the risky loan.

圖表目錄	IV
第一章 緒論	1
第一節 研究動機	2
第二節 研究目的	3
第三節 研究方法	3
第四節 研究架構	4
第二章  文獻探討	7
第一節  資本管制與存款保險之相關文獻	7
第二節  銀行最適放款率與權益報酬違約風險之相關文獻	16
第三節  選擇權評價模式與利率制定之相關文獻	25
第三章 基本模型	34
第一節 模型之基本假設	34
第二節 模型建立	40
第四章  模型均衡條件與比較靜態分析	49
第一節 模型均衡條件	49
第二節 比較靜態分析	51
第五章 結論	59
參考文獻	61
圖表目錄
圖1-1 本文研究架構..................................................................................................6
表2-1 資本管制與存款保險之相關文獻................................................................15
表2-2 銀行最適放款率與權益報酬違約風險之相關文獻....................................23
表2-3 選擇權評價模式與利率制定之相關文獻....................................................32

參考文獻

中文部份：
丁美蓉 (2001)，「存款保險、銀行隱藏行為與利差管理」，淡江大學國際企業學研究所碩士論文。

吳佳玲 (1998)，「銀行最適放款與資本－選擇權評價法」，淡江大學國際企業學研究所碩士論文。

林雅陵 (2001)，「放款組合交換契約與銀行最是放款率-選擇權評價模式分析」，淡江大學國際企業學研究所碩士論文。

張瑞宏 (1997)，「不完全競爭銀行存款與放款行為支探討：或有請求權分析法」，淡江大學國際企業學研究所碩士論文。


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