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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/110706

    Title: A barrier option framework for bank default risk with loan portfolio swap hedging: evidence from Taiwan
    Other Titles: 銀行投資組合障礙選擇權交換避險之風險探討
    Authors: 林筱寧;Lin, Hsiao-Ning
    Contributors: 淡江大學財務金融學系博士班
    李命志;Lee, Ming-Chih
    Keywords: 借貸投資組合交換;避險成本;違約風險;銀行利差;Loan Portfolio Swap;Hedging cost;default risk;Bank Interest Margin
    Date: 2016
    Issue Date: 2017-08-24 23:33:59 (UTC+8)
    Abstract: 本文提出一理論架構,主要是在路徑相依的障礙選擇權模型下利用借貸投資組合的交換避險來衡量銀行違約風險。在這理論模型架構下,於2006年1月至2012年9月針對台灣商業銀行提出一實證結果。
    This dissertation proposes a theoretical framework for bank default risk measures with loan portfolio swap hedging based on a path-dependent barrier option model due to an occurrence of financial crisis. We use this framework to test empirical validation of default risk by using a sample of commercial banks in Taiwan over the period 2006 - 2012.

    Our result confirms that the banking is an ideal environment for the barrier option model pricing, if there is strong evidence that a barrier is statistically affecting loan rates (and thus bank interest margins), hedging costs, and the default risk significantly during the sample period. We find that a bank increases its loan volume at a reduced margin as a reaction to an increase in the loan portfolio swap hedging transaction.

    The indirect effect through the bank interest margin determination is insufficient to offset the direct effect; therefore it gives an overall positive response to the hedging cost for an increase in a swap hedging transaction. The indirect effect reinforcing the direct effect leads to an overall negative response of the default risk to an increase in the hedging transaction. Results suggest that loan portfolio swap hedging serves as a function for reducing bank default risk, obviously at costs, and significantly contributes to the stability of the banking system.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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