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    題名: Miltor Transactions Under Capital Regulation and Deposit Insurance
    作者: 林志鴻;Lin, Jyh-horng;許英傑;Hsu, Yin-chieh
    貢獻者: 淡江大學國際貿易學系暨國際企業研究所
    日期: 2002-03-01
    上傳時間: 2009-10-22 15:39:10 (UTC+8)
    出版者: India:University of Allahabad
    摘要: We use an option-based valuation to examine mirror transactions of loan portfolio swaps between a parent bank and its structured derivative product company (DPC). The transactions are governed by capital regulation and deposit insurance. We model the risk premium compensation on the parent bank's loan portfolio swaps that reflect the magnitude of potential default risk of its structured DPC. We show that under strategic complements, the parent's optimal non-swap-performing and swap-performing loan rates are a decreasing function of the defaulting of the DPC's collateral and capital-to-deposits ratio, and an increasing function of the DPC's customer bank's loan rate and deposit insurance premium.
    關聯: Indian Journal of Economics 83(331), pp.489-502
    顯示於類別:[國際企業學系暨研究所] 期刊論文

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