由次級房貸引發出的2008金融危機，各國政府紛紛採取因應措施以拯救其金融市場，當時美國聯邦理事準備會提出的大規模紓困計畫，其紓困計畫中一方案為政府直接資本挹入，資本挹入將造成銀行本身結構產生變化，並對其銀行廠商之放款利率與違約風險造成影響。本論文主要在於探討議題為：當全球政府入股銀行，嘗試改善銀行之資本流動與改善其經營之同時，對銀行廠商之放款利率與違約風險影響之相關性。本文透過理論模型的建立與選擇權評價模式的數值模擬分析，結論有二，一為發現當銀行國營化程度越高的同時，銀行之放款利率則相對降低，此時銀行將增加放款追逐高風險以獲得更大的權益報酬。二則為政府入股比例增加的同時，銀行廠商所面對之違約風險也將增加，其原因為銀行在仰賴政府資金的情況下，其資產品質轉好，將增加放款追逐高報酬與高風險。

According to the financial crisis in 2008, governments tried to stable the financial market by proving the capital from the government fund. In this paper, our purpose is to understand the impact of the political interference related to the bank nationalization on equity capital and default risk caused by the structural changes of the bank itself. Based on this paper, there are two results could be demonstrated. First, the increase of nationalization caused the decrease of the base rate. Bank will increase the amount of the lending in order to pursue the better equity return. Second, the default risk will be influenced by the structural change of the bank. Banks will rely on the government fund, which improve the quality of its capital and internal structure and start to pursue higher equity return that will cause higher default risk.

目錄

中文摘要	I
英文摘要	II
目錄	V
表目錄	VII

第一章 前言	1
第一節 背景與動機	1
第二節 研究目的與方法	2
第三節 預期結果	2
第四節 本文架構	3
第二章 文獻探討	4
第一節 銀行利差決策	4
第二節 股權結構與銀行績效	5
第三節 Black and Scholes模型與利率制定之相關文獻	6
第四節 銀行違約風險相關文獻	7
第三章 基本模型	9
第一節 數學符號定義	9
第二節 權益報酬函數	10
第三節 均衡與比較靜態分析	14
第四章 數值範例分析	18
第一節 政府股權增加對放款利率與違約風險之影響( )	18
第二節 政府股權增加對放款利率與違約風險之影響( )	23
第三節 政府股權增加對放款利率與違約風險之影響( )	26
第四節 在不同 值下，政府股權變動對銀行之權益報酬
與違約風險之影響	29
第五章 應用與結論	32
中文文獻	33
英文文獻	34

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