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系統識別號 U0002-0506200622173700
中文論文名稱 資本管制與存款保險下之銀行最適利差與違約風險: 選擇權評價分析
英文論文名稱 Optimal Bank Interest Margin and Default Risk under Capital Regulation and Deposit Insurance:An Option-Based Valuation
校院名稱 淡江大學
系所名稱(中) 國際貿易學系國際企業學碩士班
系所名稱(英) Department of International Trade
學年度 94
學期 2
出版年 95
研究生中文姓名 王韻婷
研究生英文姓名 Yun-Ting Wang
學號 693480013
學位類別 碩士
語文別 中文
口試日期 2006-05-26
論文頁數 65頁
口試委員 指導教授-林志鴻
共同指導教授-林志娟
委員-許英傑
委員-林志鴻
委員-鮑世亨
中文關鍵字 銀行最適利差  違約風險  資本管制 
英文關鍵字 Bank Interest Margin  Default Risk  Regulation 
學科別分類 學科別社會科學商學
中文摘要 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。
英文摘要 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.
論文目次 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 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。


英文部分:
Acharya, S., and J. F. Dreyfus (1989) “Optimal Bank Reorganization Policies and the Pricing of Federal Deposit Insurance,” Journal of Finance, 44, 5, 1313-1333.

Allen, L. (1998) “The Determinants of Bank Interest Margins: A Note,” Journal of Financial and Quantitative Analysis, 23, 3, 231-235.

Black, F., and M. Scholes (1973) “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, 81, 3, 637-659.

Duffee, G. (1999) “Estimating the Price of Default Risk,” Review of Financial Studies, 12, 1, 197-226.

Fama, E. F., and K. R. French (1996) “Multifactor Explanations of Asset Pricing Anomalies,” Journal of Finance, 51, 1, 55-84.

Freixas, X., and A. M. Santomero (2002) “An Overall Perspective on Banking Regulation,” Working Paper No. 02-1, Federal Reserve Bank of Philadelphia.

Hancock, D. (1986) “A Model of the Financial Firm with Imperfect Asset and Deposit Elasticities,” Journal of Banking and Finance, 10, 1, 37-54.

Ho, T. S. Y., and A. Saunders (1981) “The Determinants of Bank Interest Margins: Theory and Empirical Evidence,” Journal of Financial and Quantitative Analysis, 16, 4, 581-600.

Jarrow, R. A., and S. M. Turnbull (1995) “Pricing Derivatives on Financial Securities Subject to Credit Risk,” Journal of Finance, 50, 1, 53-86.

Kim, C. J., J. C. Morley, and C. R. Nelson (2004) “If There a Positive Relationship between Stock Market Volatility and the Equity Premium,” Journal of Money, Credit and Banking, 36, 3 (Part 1), 339-360.

Lando, D. (1998) “On Cox of Processes and Credit Risky Securities,” Review of Derivatives Research, 2, 1, 99-120.

Lin, J., and Y. Hsu (2003) “Mirror Transactions Under Capital Regulation and Deposit Insurance,” Indian Journal of Economics, 331, 4, 489-502.

Longstaff, F. A., and E. S. Schwartz (1995) “A Simple Approach to Valuing Risky Fixed and Floating Rate Debt,” Journal of Finance, 50, 3, 789-820.

Mercer, Z. C. (1992) Valuing Financial Institutions, Homewood, IL: Business One Ivwin.

Merton, R. C. (1974) “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, 29, 2, 449-470.

Mullins, H. M., and D. H. Pyle (1994) “Liquidation Costs and Risk-Based Bank Capital,” Journal of Banking and Finance, 18, 1, 113-138.

Neal, R. S. (1996) “Credit Derivatives: New Financial Instruments for Controlling Credit Risk,” Economic Review, Federal Reserve Bank of Kansas City, 81, 2, 15-27.

Pao, S. H., and J. H. Lin (2004) “Financial Claims and Product Market Competition: An Explanation for Permitting Banks to Hold Equity in Firms,” Working Paper, Tamkang University.

Pao, S. H., M. L. Yi and J. H. Lin (2005) “Optimal Bank Loan Rate and Default Risk in Equity Return under Capital Regulation and Deposit Insurance,” Journal of Statistics and Management Systems, 8, 3, 587-600.
Rochet, J. C. (1992) “Capital Requirements and the Behavior of Commercial Banks,” European Economic Review, 36, 5, 1137-1178.

Santomero, A. M. (1984) “Modelling the Banking Firm,” Journal of Money, Credit, and Banking, 16, 4, 576-712.

Sealey, C. W. (1980) “Deposit Rate-Setting, Risk Aversion and the Theory of Depository Financial Intermediaries,” Journal of Finance, 35, 5, 1139-1154.

Spellman, L. J. (1982) The Depository Firm and Industry, London: Academic Press Inc..

Stoll, H. R. (1978) “The Supply of Dealer Services in Security Markets,” Journal of Finance, 33, 4, 1133-1153.

Thorp, E. and S. T. Kassouf (1967) “Beat the Market” New York: Random House.

Vassalou, M., and Y. Xing (2004) “Default Risk in Equity Returns,” Journal of Finance, 59, 2, 831-868.

Wong, K. P. (1997) “On the Determinants of Bank Interest Margins under Credit and Interest Rate Risk,” Journal of Banking and Finance, 21, 2, 251-271.

Zarruk, E., and J. Madura (1992) “Optimal Bank Interest Margin Under Capital Regulation and Deposit Insurance,” Journal of Finance and Quantitative Analysis, 27, 1, 143-149

Zhang, Q. Y., J. Y. Lin, and W. C. Liu (2005) “Bank Liquidity Providing under Corporate Governance and Capital Regulation: An Option-Based Valuation,” Working Paper, Tamkang University.

Zhou, C. (1997) “A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities,” Working Paper, 1997-15, Federal Reserve Board.
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