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系統識別號 U0002-0705201315581800
中文論文名稱 銀行利差、資產風險與政府紓困:不良放款購買與補貼援助
英文論文名稱 Bank Interest Margin, Asset Risk and Rescue: Distressed Loan Purchases and Bailout Subsidization
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 101
學期 2
出版年 102
研究生中文姓名 賴君岳
研究生英文姓名 Chun-Yueh Lai
學號 600550171
學位類別 碩士
語文別 中文
口試日期 2013-05-03
論文頁數 82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-林志娟
中文關鍵字 銀行利差  資產風險  不良放款  政府紓困計畫  或有請求權評價模式 
英文關鍵字 Bank Interest Margin  Asset Risk  Distressed Loan  TARP  Contingent Claim Analysis 
學科別分類
中文摘要   由於2007年發生次級房屋信貸危機,嚴重地威脅到美國金融體系的穩定,造成多家金融機構出現財務危機,甚至面臨倒閉的風險。美國政府當局實施不良資產紓困計畫(Trouble Asset Relief Program, TARP)以有效地減緩金融機構流動性不足的問題,並降低其不良放款的持有。TARP中不良放款購買即為政府一項重要援助方案,因此本論文將以美國金融危機為背景,進一步探討政府不良放款購買和購買不良放款時給予銀行之補貼援助,分別對銀行利差的影響;此外,本論文將資產風險納入考量,觀察在給予不同的風險水準情況下對利差之影響。最後,藉由此三方面對銀行利差的影響,得更深入地分析政府實施之援助計畫對於穩定金融市場是否有效。

  本論文應用Black and Scholes (1973)的或有請求權評價模式,並採用Lin (2000)的銀行廠商理論模型中之市場特性,建構出本論文的模型,以探討政府援助方案對銀行利差之影響。本研究結果顯示,政府對銀行不良放款購買與提供其補貼援助,將導致銀行利差下降去追逐高風險高報酬,而在影響程度差異方面顯示出,政府購買銀行不良放款時,增加其不良放款購買比例或補貼比例,將可降低對銀行利差下降的影響,但資產風險愈高時,對利差下降的影響程度愈高。
英文摘要   The subprime mortage crisis in 2007 threatened the stability of Americn financial system seriously and caused many financial institutions appear financial troubles or even go bankrupt. The United States authorities carried out the Trouble Asset Relief Program (TARP) to save financial institutions from lacking of liquidity and decreased the distressed loan hold by them. Distressed loan purchases was one of the important assistances in TARP. Thus, this paper will use the U.S. financial crisis as the background. To explore further on government’s distressed loan parchases and bailout subsidization effect on bank interest margin respectively. Besides, this paper will take asset risk into account. To observe the different risk levels, which might affect interest margin. Finally, through these three conditions affect with bank interest margin, we could analyze that effectiveness of rescue by government.

  Black and Scholes (1973)’s contingent claim analysis will be the main research method that applied to this paper, and it also based on a theoretical model built by Lin (2000). The result of study demonstrate, that government purchasing banks’distressed loan and offering bailout subsidization, will both decrease the bank interest margin. According to the decrease of the bank interest margin, banks will take higher risk to get higher return. In addition, the study will also show the gap of influencing degree on interest margin’s decreasing. When government purchases distressed loan from banks, both increasing ratio of distressed loan purchases or bailout subsidization are going to reduce effect upon the decreasing of bank interest margin. However, the influencing degree of interest margin decrease will become higher if asset risk is relatively higher.
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 2
第二節 研究目的 3
第二節 研究方法 4
第二節 研究架構 5
第二章 文獻回顧 8
第一節 政府紓困方案相關文獻 8
第二節 政府不良資產紓困方案相關文獻 11
第三節 政府不良放款購買之援助方案相關文獻 15
第四節 或有請求權評價模式相關文獻 18
第五節 銀行利差管理相關文獻 21
第三章 基本模型 25
第一節 模型概念 25
第二節 關鍵假設 27
第三節 權益價值目標函數 31
第四節 權益報酬違約風險 35
第四章 均衡條件與比較靜態分析 38
第一節 均衡條件 38
第二節 比較靜態分析 41
第五章 數值範例分析 43
第一節 不良放款購買與利差 43
第二節 補貼下不良放款購買與利差 60
第六章 結論 76
參考文獻 78

圖表目錄
表2-1:政府紓困方案相關文獻...............................................................................11
表2-2:不良資產紓困方案背景時間表...................................................................15
表2-3:政府不良放款購買之援助方案相關文獻...................................................17
表2-4:或有請求權評價模式相關文獻...................................................................20
表2-5:銀行利差管理相關文獻...............................................................................23
圖1-1:研究架構流程圖.............................................................................................7
參考文獻 中文部分:

吳姵賢(2012),「政府資金挹入與購買不良資產方案對銀行權益報酬違約風險機率影響之探討」,淡江大學國際企業學系碩士論文。
邱淑婷(2011),「資本管制、紓困方案與銀行利差管理:兩階段買賣權訂價模型」,淡江大學國際企業學系碩士論文。
陶慧恆(2009),「美國之金融穩定措施」,金融危機專刊,98 年 12 月,中央銀行,頁 73-100。
廖鎮國(2000),「由「銀行體系」和「市場體系」來探討商業銀行利差決定因素之實證研究」,清華大學經濟學系碩士論文。

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