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系統識別號 U0002-1906200910172600
中文論文名稱 會計權責、銀行權益報酬違約風險與資本管制: 選擇權評價模式分析
英文論文名稱 Accounting Accrual, Default Risk in Bank Equity Return, and Capital Regulation: An Option-Based Valuation
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 2
出版年 98
研究生中文姓名 林瑀珊
研究生英文姓名 Yu-Shan Lin
學號 695550011
學位類別 碩士
語文別 中文
口試日期 2009-05-19
論文頁數 110頁
口試委員 指導教授-林志鴻
共同指導教授-鮑世亨
委員-林志鴻
委員-林志娟
委員-張慶暉
中文關鍵字 會計權責  銀行利差  違約風險  資本/存款比率 
英文關鍵字 Accounting Accrual  Bank Interest Margin  Default Probability  and Capital-to-Deposits Ratio. 
學科別分類 學科別社會科學商學
中文摘要 運用會計權責(accounting accruals)的訊息可以反應銀行資產品質,並利用此概念得以預測銀行未來的權益報酬,及其所對應的違約風險機率。然而對於未來權益報酬的預測,在不侷限於銀行廠商對象的情況,許多文獻涉及該議題。但是對於違約風險卻鮮有涉及,特別是與銀行機構相關議題。本論文主要的目的,試圖運用會計權責所反應的資產品質的訊息,經由銀行利差決策(bank interest margin determination),決定其權益報酬及其所對應的違約風險機率。結果發現:當銀行面對相對高風險環境,經由相對高會計權責的操作,將會導致權益報酬增加,也會導致權益報酬違約風險機率下跌。另外,當銀行面對相對低風險環境,如果金融管理當局加強其資本管制的程度,將會得到和上述相反的結果。根據上述的發現,提出相關建議:當銀行面對相對高風險環境時,銀行可採行高會計權責的操作,而銀行當局也可能採行相對嚴謹的資本管制措施。
英文摘要 Bank equity returns can be predicted by using information contained in accounting accruals about the earnings quality. However, there has been little evidence by using accounting accrual information to predict bank default risk in equity returns through interest margin determination. This is an alternative form of risk prediction, which is nonetheless potentially important in the inflating role of deregulation. This paper fills this gap. We show that when the bank encounters greater risk, bank equity with a high accrual subsequently has a higher interest margin and a lower default risk in equity return. It is also shown that when the bank encounters less risk, an increase in bank capital requirement results in a reduced interest margin and an increased default risk in equity return.
論文目次 目錄
中文摘要 II
英文摘要 III
目錄 IV
圖表目錄 VI

第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 3
第三節 研究方法 6
第四節 研究限制 7
第五節 研究架構 9
第二章 文獻探討 12
第一節 會計權責相關文獻 12
第二節 違約風險評估相關文獻 17
第三節 資本管制與違約風險相關文獻 22
第三章 模型概念、關鍵假設與適用性 30
第一節 模型概念 30
第二節 關鍵假設 46
第三節 理論模型適用性 52
第四章 基本模型 57
第一節 模型符號說明 57
第二節 模型架構 59
第三節 目標利潤函數 65
第四節 權益報酬違約風險 68
第五章 模型結果與應用 71
第一節 均衡條件 71
第二節 比較靜態分析 76
第三節 結果應用 89
第六章 結論 92
附錄 94
參考文獻 102

圖表目錄
圖1-1:本論文架構與內涵 1
圖2-1:違約風險相關文獻 21
圖2-2:資本管制發展可能途徑 28
圖2-3:與本論文議題相關文獻 29
圖3-1:買入買權損益 42
圖3-2:銀行權益報酬之買入買權函數 45
圖3-3:概念、假設與通用性 56
圖5-1:最適放款利率( 相對平坦) 74
圖5-2:最適放款利率( 相對平坦) 75
圖5-3:四命題彙總結果 90
表2-1:會計權責相關文獻 17
表2-2:金融中介行為-組合理論方法vs.廠商理論方法 22
表3-1:生產性廠商與金融性廠商的差異性: 40
表3-2:模型關鍵假設 52

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