淡江大學覺生紀念圖書館 (TKU Library)
進階搜尋


下載電子全文限經由淡江IP使用) 
系統識別號 U0002-1301200917030000
中文論文名稱 國際放款和交換避險雙重風險分散之最適利差管理
英文論文名稱 International Lending and Loan Portfolio Swaps: Focus versus Diversification
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 97
學期 1
出版年 98
研究生中文姓名 彭曉恬
研究生英文姓名 Hsiao-Tien Peng
學號 695550045
學位類別 碩士
語文別 英文
口試日期 2009-01-09
論文頁數 39頁
口試委員 指導教授-林志鴻
共同指導教授-鮑世亨
委員-許英傑
委員-張慶暉
中文關鍵字 國際放款組合  放款投資組合  最適放款利率 
英文關鍵字 International Loan Portfolio  Loan Portfolio Swap  Optimal Loan Rate 
學科別分類 學科別社會科學商學
中文摘要 本論文分析在國際放款和放款投資組合的整合之下,銀行廠商對於其國際放款資金的流向是否有所差異,並且應用Diamond (1984)提出的傳統放款組合理論,盡可能的將國際放款組合做分散式管理,才能有效的降低銀行風險,相反的, 由Acharya, Hasan, and Saunders (2006)所提出的現代放款組合理論,卻證明將放款組合做分散式管理,反而對銀行本身帶來高風險,進而降低收入。有鑒於此兩篇文章均只利用單一分散方法,本論文強調的是將放款投資經過國際放款和放款投資組合配置,做出二次分散方法的結果。

本論文導入 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作為基礎。探討銀行廠商應將其國際放款和放款投資組合做分散式管理還是集中式管理,才能真正有效的降低銀行風險,並進一步算出銀行廠商最適的放款利率,放款投資組合分配比例,及如何做資本管制策略。
英文摘要 Should bank lending be focused or diversified? This thesis answers this question by examining the optimal loan rate determination based on an option-based model under multiple diversification sources: international lending and swap hedging. We provide the conditions under which the degree of a bank’s international loan portfolio diversification is relatively less significant than we think. Although recent years have witnessed an increase in the degree of international lending (Cetorelli and Goldberg, 2006), even with loan portfolio swaps, our results provide an alternative explanation that the international lending portfolio of typical financial institutions is still very far from representing a truly diversified portfolio (Acharya, Hasan, and Saunders, 2006).
論文目次 中文摘要 I
英文摘要 II

Chapter 1 Introduction p1
Chapter 2 Basic Model p6
Chapter 3 Equilibrium and Comparative Static Results p16
Chapter 4 Conclusion p33
References p35
參考文獻 Acharya, V. V., I. Hasan, and A. Saunders (2006) “Should Banks Be Diversified? Evidence from Individual Bank Loan Portfolio,” Journal of Business, 79, 3, 1355-1412.

Baxter, M., and U. Jermann (1997) “The International Diversification Puzzle Is Worse Than You Think,” American Economic Review, 87, 1, 170-180.

Berger, A., R. Demsetz, and P. Strahan (1999) “The Consolidation of the Financial Services Industry: Causes, Consequences, and Implications for the Future,” Working Paper, Board of Governors of the Federal Reserve System, Washington, D. C.

Berger, A., and R. DeYoung (2001) “The Effects of Geographic Expansion on Bank Efficiency,” Working Paper, Board of Governors of the Federal Reserve System, Washington, D. C.

Black, F., and M. Scholes (1973) “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, 81, 2, 637-659.

Bulow, J., J. Geanakoplos, and P. Klemperer (1985) “Multimarket Oligopoly: Strategic Substitutes and Complements,” Journal of Political Economy, 93, 3, 488-511.

Cetorelli, N., and L. Goldberg (2006) “Risks in U.S. Bank International Exposures,” Staff Reports, No. 240, Federal Reserve Bank of New York.

Crouhy, M., and D. Galai (1991) “A Contingent Claim Analysis of a Regulated Depository Institution,” Journal of Banking and Finance, 15, 1, 73-90.

Das, S. R., and R. Uppal (2004) “Systemic Risk and International Portfolio Choice,” Journal of Finance, 59, 6, 2809-2834.

Delong, G. (2001) “Stockholder Gains from Focusing versus Diversifying Bank Mergers,” Journal of Financial Economics 59, 2, 221-252.

Diamond, D. (1984) “Financial Intermediation and Delegated Monitoring,” Review of Economic Studies, 51, 3, 393-414.

Finn, W. T., and J. B. Frederick (1992) “Managing the Margin,” ABA Banking Journal, 84, 1, 50-53.

Fraser, D. R., B. E. Gup, and J. W. Kolari (1995) Commercial Banking: The Management of Risk, New York, New York: West Publishing Company.

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

Lin, J. H. and M. L. Yi (2005) “Loan Portfolio Swaps and Optimal Lending,” Review of Quantitative Finance and Accounting, 24, 2, 177-198.

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, 12-57.

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

Saunders, A., and B. Wilson (2001) “An Analysis of Bank Charter Value and its Risk Constraining Incentives,” Journal of Financial Services Research, 19, 2-3, 185-195

Sealey, C. W. (1980) “Deposit Rate-Setting, Risk Aversion and the Theory of Depository Financial Intermediaries,” Journal of Finance, 35, 5, 1139-1145.

Slovin, M. B., and M. E. Sushka (1983) “A Model of the Commercial Loan Rate,” Journal of Finance, 38, 5, 1583-1596.

Sorensen, E. H., and T. F. Bollier (1994) “Pricing Swap Default Risk,” Financial Analysts Journal, 3, 23-33.

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 Risks,” Journal of Banking and Finance, 21, 2, 251-271.

Zarruk, E. R., and J. Madura (1992) “Optimal Bank Interest Marginal under Capital Regulation and Deposit Insurance,” Journal of Financial and Quantitative Analysis, 27, 1, 143-149.
論文使用權限
  • 同意紙本無償授權給館內讀者為學術之目的重製使用,於2010-02-11公開。
  • 同意授權瀏覽/列印電子全文服務,於2010-02-11起公開。


  • 若您有任何疑問,請與我們聯絡!
    圖書館: 請來電 (02)2621-5656 轉 2281 或 來信