系統識別號 | U0002-1706201422085500 |
---|---|
DOI | 10.6846/TKU.2014.00622 |
論文名稱(中文) | 聯邦存款保險公司促進法案下的銀行違約風險: 障礙上限選擇權評價模式分析 |
論文名稱(英文) | A note on bank default risk under the Federal Deposit Insurance Corporation Improvement Act: A barrier cap option 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 | 102 |
學期 | 2 |
出版年 | 103 |
研究生(中文) | 林雅婷 |
研究生(英文) | Ya-Ting Lin |
學號 | 601550931 |
學位類別 | 碩士 |
語言別 | 英文 |
第二語言別 | |
口試日期 | 2014-05-02 |
論文頁數 | 25頁 |
口試委員 |
指導教授
-
林志鴻(lin9015@mail.tku.edu.tw)
共同指導教授 - 賴錦璋(lai6247@mail.tku.edu.tw) 委員 - 張慶暉(chchang@mail.mcu.edu.tw) 委員 - 蔡政言(tsaijy@mail.tku.edu.tw) |
關鍵字(中) |
綜效銀行 銀行利差 違約風險 障礙 上限 |
關鍵字(英) |
Synergy banking Bank interest margin Default risk Barrier Cap |
第三語言關鍵字 | |
學科別分類 | |
中文摘要 |
本文依路徑依賴和障礙上限選擇權評價模式分析,試圖推導受管理的銀行資產價值。上限選擇權捕捉綜效銀行,而綜效銀行的特徵為貸款利率和存款利率是相關的。銀行為路徑依賴,因為當銀行觸及合法且具約束力的障礙時,銀行會被淘汰。聯邦存款保險公司促進法案給予美國聯邦存款保險公司(FDIC)控制障礙的權力,藉由提高障礙管理讓存款保險基金有更好的保護(同時銀行的保護變少),銀行便會增加利差,其承受貸款風險的能力會下降,銀行的違約風險則會上升。像這類的障礙管理行為稱作“債券移轉投資”有顯著的破產預測現象。 |
英文摘要 |
Thesis proposes a framework for equity valuation of a regulated bank based on a path-dependent, barrier cap option model. A synergy banking proposal captured by a cap option, a gluing together of deposit-taking and lending, is a characteristic of bank interest margin management between the loan rate and the deposit rate. Path dependency is a characteristic of bank assets because equity can be knocked out whenever a legally binding barrier is breached. The Federal Deposit Insurance Corporation (FDIC) as a regulator and insurer controls the barrier by the power vested in it by the FDIC Improvement Act. Raising the regulatory barrier level, implying better protection of the insurance fund (and thus less protection of the bank), decreases loan risk-taking at an increased margin, but increases the default risk in the bank’s equity returns. Regulatory barrier as such can account for phenomenon of “flight to quality” with significant bankruptcy predication. |
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 The model 5 Chapter 3 Solutions and results 10 Chapter 4 Numerical exercises 14 Chapter 5 Conclusion 22 References 23 圖表目錄 Table 1: Values of and 15 Table 2: Values of and 19 Figure 1: Impact on from changes in 16 Figure 2: Impact on from changes in 16 Figure 3: Total effect 17 Figure 4: Impact on from changes in 20 Figure 5: Total effect 20 |
參考文獻 |
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