本論文在下終出局的障礙選擇權評價模式下，試圖去導出銀行利差的市場價值與其所對應的違約風險機率，特別是在違約風險於到期日前發生的狀況下。透過障礙負債水準的改變，可以反映出銀行的曝險程度，經由利差決策，利用這些訊息可以進行銀行的風險管理。此外，政府為了維持銀行的資產品質，給予銀行一些限制，也將資本管制加入了討論。


    結果發現，當障礙負債比率增加時，會造成權益報酬及違約風險機率增加。另一方面，政府加強資本管制程度時，反而會引起金融體系的不穩定，本論文將建議銀行回歸市場力量運作的機制。

This paper examine a down-and-out call option pricing model to conduct the market value of bank interest margin and its default probability in equity return, especially triggering default prior to the maturity.   Through changes in the barrier-to-debt ratio into interest margins and in its exposure to the ratio, we can use the information to manage risk.  However, the government has capital regulation in order to maintain the asset equity of the banking firms, and we also discuss the effect on equity return and its default probability when it changes.


    This study shows that when the barrier-to-debt ratio increases the return of bank has higher interest margin and default risk in equity return.  In the other hand, an increase in bank capital requirement will result in financial instability.  That the invisible hand theory is applied to banking risk management.

目錄

中文摘要 III
英文摘要	IV
圖表目錄	VII

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 3
第四節 研究架構 4

第二章 文獻探討 7
第一節 資本管制相關文獻 7
第二節 違約風險評估相關文獻 12
第三節 障礙選擇權評價模式相關文獻 15
第四節 選擇權評價與利率制定相關文獻 19

第三章 基本模型 22
第一節 模型概念 22
第二節 關鍵假設 25
第三節 目標函數建立 29
第四節 權益報酬之違約風險 35

第四章 均衡條件與比較靜態分析 38
第一節 模型均衡條件 38
第二節 比較靜態分析 41

第五章 結論 53

附錄 55

參考文獻 64


圖表目錄

表2-1：資本管制之相關文獻彙總表 12
表2-2：違約風險之相關文獻彙總表 15
表2-3：障礙選擇權之相關文獻彙總表 18
表2-4：選擇權評價與利率制定相關文獻彙總表 21
表3-1：模型關鍵假設之彙總 29
圖1-1：研究架構流程圖 6

中文部分:

沈中華 (2002) 「金控公司的銀行與獨立銀行CAMEL比較：1997~1998」，台灣金融財務季刊，第三季，頁7。

徐士勛（1995），「風險性資產自有資本比率規定對我國銀行業資產組合與資產比率的影響」，國立中興大學企業管理所未出版碩士論文。

孫喬新(2010) ，「隨機波動美式選擇權之分析解：障礙選擇權法」，東吳大學財務工程與精算數學系碩士論文。

陳松男(1986)，選擇權與期貨，台北，三民書局，頁199-200。

陳松男(2005)，結構型金融商品之設計及創新(二)，台北，新陸書局，頁22-23。

許博翔(2000)，「隨機波動性下之障礙選擇權的評價分析」，國立中央大學台務管理研究所碩士論文。

陳達新與周恆志 (2007)，財務風險管理:工具、衡量與未來發展，台北，雙葉書廊。

楊少強(2007)，「次級房貸將牽動更大冰風暴」，商業周刊，1013期，頁86。


英文部分

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Boyle, P. P., and Y. S. Tian (1999) “Pricing Lookback and Barrier Option under the CEV Process,” Journal of Financial and Quantitative Analysis, 34, 2, 241-264.
 
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Breitenfellner, B., and N. Wagner (2010) “Government Intervention in Response to the Subprime Financial Crisis: The Good into the Pot, The Bad into the Crop,”International Review of Financial Analysis, 19, 4, 287-297.

Brockman, P., and H. Turtle (2003) “A Barrier Option Framework for Corporate Security Valuation,” Journal of Financial Economics, 67, 3, 511-529.

Chou, H. C., and D. Wang (2007) “Performance of Default Risk Model with Barrier Option Framework and Maximum Likelihood Estimation: Evidence from Taiwan,”Physica A, 385, 1, 270-280.

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

Duan, J., G. Gauthier, and J. Simonato (1999) “An Analytical Approximation for the GARCH Option Pricing Model,” Journal of Computational Finance, 2, 4, 75-116.

Hilliard J. E., and A. Schwartz (1996)“Binomial Option Pricing Under Stochastic Volatility and Correlated State Variables,” Journal of Derivatives, 4, 1, 23-39. 

Hoenig, T. M. (1996) “Rethinking Financial Regulation,” Economist Review, Fedreral Review Bank of Kansas City, 81, 2, 5-13.

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.

Lin, J., and Y. Hsu (2003) “Mirror Transaction under Capital Regulation and Deposit Insurance,” Indian Journal of Economics, 331, 4, 489-502.

Lin, J. H. (2000) “A Contingent Claim Analysis of a Rate-Setting Financial Intermediary,” International Review of Economics and Finance, 9, 4, 375-376.

Lin, J. H. (2010) “A Barrier Option Framework for Default Risk Assessment with Bank Interest Margin Determination,” WorkingPaper, Tamkang Univeraity.

Hovanesian, M. D. (2008) “Lenders: Still not Safe,” BusinessWeek, March 24th , 27-30.

Merton, R. C. (1973) “Theory of Rational Option Pricing,” Bell Journal of Economics and Management Science, 4, 2, 141-183.

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.

Rich, D. R. (1994) “The Mathematical Foundations of Barrier Option-Pricing Theory,”Advances in Futures and Options Research, 7, 2, 267-311.

Ritchken, P. (1995) “On Pricing Barrier Options,” Journal of Derivatives, 3, 19-28.

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

Sasseen, J., and M. Goldstein (2009) “The Struggle to Jump-Starting Securitization,”BusinessWeek , April 20th, 22-24.

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

Vassalou, M., and Y. Xing (2004) “Default Risk in Equity Returns,” Journal of Finance, 59, 2, 831-868.
Wong, K. P. (1997) “Default Risk in Equity Return,”Journal of Banking and Finance, 21, 2, 251-271.

Zarruk, E. R., and J. Madura (1992) “Optimal Bank Interest Margin under Capital Regulation and Deposit Insurance,” Journal of Financial and Quantitative Analysis, 27, 1, 143-149.