系統識別號 | U0002-0706201619121000 |
---|---|
DOI | 10.6846/TKU.2016.00221 |
論文名稱(中文) | 銀行獲取貸款者軟信息效率分析:上限選擇權模式架構 |
論文名稱(英文) | Bank efficiency gain, borrower soft information and capital regulation: a capped call approach |
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 | 2 |
出版年 | 105 |
研究生(中文) | 林芷如 |
研究生(英文) | JHIH-RU LIN |
學號 | 602550526 |
學位類別 | 碩士 |
語言別 | 英文 |
第二語言別 | |
口試日期 | 2016-05-07 |
論文頁數 | 30頁 |
口試委員 |
指導教授
-
林志鴻
指導教授 - 賴錦璋 委員 - 林志娟 委員 - 張慶暉 |
關鍵字(中) |
技術選擇 銀行利差 股權風險 |
關鍵字(英) |
Technology choices Bank interest margin Equity risk |
第三語言關鍵字 | |
學科別分類 | |
中文摘要 |
本論文提出了在資本管制下,銀行獲取貸款者軟信息的效率取得之架構。將銀行的放款函數藉由貸款者的軟信息來設立出一個明確的信用風險,並以銀行的股東權益做為上限選擇權。本論文中顯示,正向軟信息的提升,會減少銀行的利差與股權風險,並增加軟信息的效率取得。軟信息的取得能促使銀行系統穩定。隨著資本對存款比率的增加,造成銀行的利差減少、股權風險增加,並隨之降低了效率取得,而資本管制就其本身而言,則阻礙了軟信息的獲得並對於銀行的穩定造成了不利的影響。 |
英文摘要 |
This thesis proposes a framework for efficiency gain from bank acquisition of borrower soft information under capital regulation. The lending function of the bank creates an explicit credit risk captured by borrower soft information and the necessity to model the bank’s equity as a capped call option. We show that an increase in the favorable soft information decreases the bank’s interest margin and equity risk, and increases the efficiency gain from soft information acquisition. Soft information acquisition contributes to the stability of the banking system. As the capital-to-deposits ratio increases, the bank interest margin is decreased, the equity risk is increased, and the efficiency gain is decreased. Capital regulation as such discourages soft information acquisition and adversely affects the banking stability. |
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 valuation model 7 Chapter 4 Solution and results 12 Chapter 5 Numerical exercises 14 Chapter 6 Conclusion 25 References 27 圖表目錄 Table 1 : Responsiveness of bank interest margin to various levels of soft information acquisition 15 Table 2 : Responsiveness of bank equity risk to various levels of soft information acquisition 16 Table 3 : Responsiveness of efficiency gain to various levels of soft information acquisition 18 Table 4 : Responsiveness of bank interest margin to various levels of capital-to-deposits ratio 20 Table 5 : Responsiveness of bank equity risk to capital-to-deposits ratio 21 Table 6 : Responsiveness of efficiency gain to capital-to-deposits ratio 23 |
參考文獻 |
Acharya VV, Mehran H, Schuermann T, Thakor AV (2011) Robust capital regulation. Staff Reports No. 490, Federal Reserve Bank of New York, New York, NY. doi: 10.2139/ssrn.1822333 Berger AN, Klapper LF, Udell GF (2001) The ability of banks to lend to informationally opaque small business. J Bank Financ 25(12):2127-2167. doi: 10.1016/S0378-4266(01)00189-3 Besanko D, Kanatas G (1996) The regulation of bank capital: do capital standards promote bank safety? J Financ Intermed 5(2):160-183. doi: 10.1006/jfin.1996.0009 Bolton P, Freixas X (2006) Corporate finance and the monetary transmission mechanism. Rev Financ Stud 19(3):829-870. doi: 10.1093/rfs/hhl002 Brockman P, Turtle HJ (2003) A barrier option framework for corporate security valuation. J Financ Econ 67(3):511-529. doi: 10.1016/S0304-405X(02)00260-X Broll U, Wong KP (2010) Banking firm and hedging over the business cycle. Port Econ J 9(1):29-33. doi: 10.1007/s10258-010-0055-7 Chen Y, Huang RJ, Tsai J, Tzeng LY (2015) Soft information and small business lending. J Financ Serv Res 47(1):115-133. doi: 10.1007/s10693-013-0187-x Cole RA, Goldberg LG, White LJ (2004) Cookie-cutter versus character: the micro structure of small business lending by large and small banks. J Financ Quant Anal 39(2):227-251. doi: 10.1017/S0022109000003057 Dermine J, Lajeri F (2001) Credit risk and the deposit insurance premium: a note. J Econ Bus 53(5):497-508. doi: 10.1016/S0148-6195(01)00045-5 Fanti L (2014) The dynamics of a banking duopoly with capital regulations. Econ Model 37:340-349. doi: 10.1016/j.econmod.2013.11.010 Finn WT, Frederick JB (1992) Managing the margin. ABA Banking Journal 84(4):50-54 Godbillon-Camus B, Godlewski CJ (2005) Credit risk management in banks: hard information, soft information and manipulation. Working Paper, University of Strasbourg, Strasbourg. doi: 10.2139/ssrn.882027 Grunert J, Norden L, Weber M (2005) The role of non-financial factors in internal credit ratings. J Bank Financ 29(2):509-531. doi: 10.1016/j.jbankfin.2004.05.017 Harding JP, Liang X, Ross SL (2013) Bank capital requirements, capital structure and regulation. J Financ Serv Res 43(2):127-148. doi: 10.1007/s10693-011-0127-6 Hart OD, Zingales L (2011) Inefficient provision of liquidity. NBER Working Paper No. 17299, National Bureau of Economic Research, Cambridge, MA. doi: 10.3386/w17299 Ho TSY, Saunders A (1981) The determinants of bank interest margins: theory and empirical evidence. J Financ Quant Anal 16(4):581-600. doi: 10.2307/2330377 Kashyap AK, Rajan RG, Stein JC (2002) Banks as liquidity providers: an explanation for the coexistence of lending and deposit-taking. J Financ 57(1):33-73. doi: 10.1111/1540-6261.00415 Kasman A, Tunc G, Vardar G, Okan B (2010) Consolidation and commercial bank net interest margins: evidence form the old and new European Union members and candidate countries. Econ Model 27(3):648-655. doi: 10.1016/j.econmod.2010.01.004 Lin JH, Chen S (2016) Borrower leverage and bank efficiency gain from soft information under capital regulation: a capped call approach. Working Paper, Department of international Business, Tamkang University and College of Economics, Southwestern University of Finance and Economics. Maudos J, de Guevara JF (2004) Factors explaining the interest margin in the banking sectors of the European Union. J Bank Financ 28(9):2259-2281. doi: 10.1016/j.jbankfin.2003.09.004 Merton RC (1974) On the pricing of corporate debt: the risk structure of interest rates. J Financ 29(2):449-470. doi: 10.1111/j.1540-6261.1974.tb03058.x Ogura Y, Uchida H (2014) Bank consolidation and soft Information acquisition in small business lending. J Financ Serv Res 45(2):173-200. doi: 10.1007/s10693-013-0163-5 Santos JAC (2000) Bank capital regulation in contemporary banking theory: a review of the literature. Financ Mark Inst Instrum 10(2):41-84. doi: 10.1111/1468-0416.00042 Saunders A, Schumacher L (2000) The determinants of bank interest rate margins: an international study. J Int Money Financ 19(6):813-832. doi: 10.1016/S0261-5606(00)00033-4 Scott JA (2004) Small business and the value of community financial institutions. J Financ Serv Res 25(2-3):207-230. doi: 10.1023/B:FINA.0000020661.30763.fe Stein JC (2002) Information production and capital allocation: decentralized vs. hierarchical firms. J Financ 57(5):1891-1921. doi: 10.1111/0022-1082.00483 Tsai JY (2013) Optimal bank interest margins under capital regulation in a call-option utility framework. Econ Model 31:557-565. doi: 10.1016/j.econmod.2012.12.024 Tsai JY, Lin JH (2013) Optimal bank interest margin and default risk in equity returns under the return to domestic retail with structural breaks. Appl Econ 45(6):753-764. doi: 10.1080/00036846.2011.610755 VanHoose D (2007) Theories of bank behavior under capital regulation. J Bank Financ 31(12):3680-3697. doi: 10.1016/j.jbankfin.2007.01.015 Wong KP (1997) On the determinants of bank interest margins under credit and interest rate risks. J Bank Financ 21(2):251-271. doi: 10.1016/S0378-4266(96)00037-4 |
論文全文使用權限 |
如有問題,歡迎洽詢!
圖書館數位資訊組 (02)2621-5656 轉 2487 或 來信