English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 51296/86402 (59%)
造訪人次 : 8154544      線上人數 : 93
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/101257


    題名: 路徑依賴效用買權架構下銀行回應權益資金成本的利息收益率研究
    其他題名: A Path-Dependent Utility Call Option Framework for Bank Spread Behavior in Response to Equity Capital Cost
    作者: 蔡政言
    貢獻者: 淡江大學國際企業學系
    日期: 2013-08
    上傳時間: 2015-04-20 16:19:31 (UTC+8)
    摘要: 本文主要是在探討,處於路徑依賴效用買權架構下,當銀行在同時追求淨權益報酬與規避淨權益風險的情況,銀行最適銀行利息收益率的行為。具體來說,因為在到期前,股權權益的資本投資成本乃為權益持有人銀行股權投資的機會成本和相關資產的價值,因此銀行的淨股權權益可被視為買權訂價的模式。我們嘗試去推導,最適的銀行利差與資本市場利率即權益資金成本的關係。更進一步地,探討在忽略風險下,是否將導致對報酬的高估而承擔過度的風險,並導致銀行體系的不穩定性。
    This paper examines the optimal bank interest margin, i.e., the spread between the loan rate and the deposit rate of a bank, when the bank’s preferences include the like of higher net equity returns (equity returns net of equity capital investment costs) and the dislike of higher net equity risks based on a path-dependent, barrier option framework. Specifically, the bank's net equity is priced as a down-and-out call option because equity capital investment costs are explicitly treated as bank equity investment opportunity costs of equity holders and the value of the underlying assets crosses a stated level before the exercise date. A direct implication of this framework is that the objective function is viewed as a down-and-out utility call option. This paper want to see how optimal bank interest margin may be affected by the security-market interest rate, and thus to the equity capital cost. Furthermore, we want to see how this impact on the optimal margin which ignores the barrier and/or the dislike leads to overestimation and how may the bank lead to less prudent and more prone to loan risk-taking the stability of the banking system.
    顯示於類別:[國際企業學系暨研究所] 研究報告

    文件中的檔案:

    沒有與此文件相關的檔案.

    在機構典藏中所有的資料項目都受到原著作權保護.

    TAIR相關文章

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回饋