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系統識別號 U0002-1401200913432800
中文論文名稱 資本管制下採行國際放款集中式或分散式之組合管理
英文論文名稱 International Lending, Bank Risk and Capital Regulation: 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 洪偉誠
研究生英文姓名 Wei-Cheng Hung
學號 695550136
學位類別 碩士
語文別 英文
口試日期 2009-01-09
論文頁數 26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  銀行風險  資本管制 
英文關鍵字 International Lending  Bank Risk  Capital Regulation 
學科別分類 學科別社會科學商學
中文摘要 本篇論文試圖從銀行面對國際放款風險之論點,並應用 Acharya, Hasan, and Saunders (2006)與 Diamond (1984)對於銀行避險方法所持的不同觀點,導入具有能夠評估市場價值(market value)之Black and Scholes (1973)選擇權評價方法,利用比較靜態分析來解釋放款資金面對銀行風險及資本管制下,將會集中於國內放款市場或是分散在國外放款市場。

利用上述研究方法證明出當銀行面對相對高的資本管制時,放款行為將會分散於國外市場,相反的,如果銀行欲追求高風險高收入的放款時,反而會集中放款資金在較熟悉的國內市場,本論文的結果可建議一國若欲將資金留在國內,過多的干預銀行放款行為將會達到反效果。
英文摘要 This thesis uses an option-based model to examine the relationships among capital regulation, bank risk, and the optimal international lending determination. An increase in the capital-to-deposits ratio decreases the bank’s domestic lending and increases foreign lending when the bank realizes a relatively less risky state of the world. An increase in the bank’s risk-taking incentive increases its domestic lending and decreases foreign lending when the bank realizes a relatively more risky state. Our findings provide alternative explanations concerning the effect of capital regulation on lending diversification and the effect of risk-taking incentive on lending focus.
論文目次 中文摘要 I
英文摘要 II

Chapter 1 Introduction 1
Chapter 2 Basic Model 6
Chapter 3 Equilibrium and Comparative Static Results 14
Chapter 4 Conclusion 22
References 23
參考文獻 Acharya, V. V., I. Hasan, and A. Saunders (2006) “Should Banks Be Diversified? Evidence from Individual Bank Loan Portfolios,” Journal of Business, 79, 3, 1355-1412.

Berger, A., and R. DeYoung (2001) “The Effects of Geographic Expansion on Bank Efficiency,” Journal of Financial Services Research, 19, 2-3, 163-184.

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

Cosimano, T., and B. McDonald (1998) “What’s Different among Banks?” Journal of Monetary Economics, 41, 1, 57-70.

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

Damanpour, F. (1986) “A Survey of Market Structure and Activities of Foreign Banking in the US,” Columbia Journal of World Businesses, 21, 41, 35-46.

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

Federal Reserve Bulletin (1991) Federal Reserve Bulletin, Washington, D. C.: Board of Governors of the Federal Reserve System, February.

Fraser, D. R., B. E. Gup, and J. W. Kolari (1996) Commercial Banking: The Management of Risk, New York, New York: West Publishing Company.

Gomes, J., and D. Livdan (2004) “Optimal Diversification: Reconciling Theory and Evidence,” Journal of Finance, 59, 2, 507-535.

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

Hughes, J., W. Lang, L. Mester, and C. Moon (1996) “Safety in Numbers? Geographic Diversification and Bank Insolvency Risk,” Working Paper, Federal Reserve Bank of Philadelphia.

Kashyap, A. K., R. Rajan, and J. C. Stein (2002) “Banks as Liquidity Providers: An Explanation for the Coexistence of Lending and Deposit-Taking,” Journal of Finance, 57, 1, 33-73.

Keeley, M., and F. Furlong (1990) “A Reexamination of Mean-Variance Analysis of Bank Capital Regulation,” Journal of Banking and Finance, 14, 1, 69-84.

Maksimovic, V., and G.. Phillips (2002) “Do Conglomerate Firms Allocate Resources Inefficiently across Industries?” Journal of Finance, 57, 2, 721-767.

Martin, A. (2003) “A Guide to Deposit Insurance Reform,” Economic Review, Federal Reserve Bank of Kansas City, 88, 1, 29-54.

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.

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

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

Tobin, J. (1958) “Liquidity Preference as Behavior toward Risk,” Review of Economic Studies, 25, 2, 65-86.

Winton, A. (1999) “Don’t Put All Your Eggs in One Basket? Diversification and Specialization in Lending,” Working Paper, University of Minnesota.

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.
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