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    题名: Optimal bank interest margin under a swaption valuation
    作者: Lin, Jyh-Horng;Lii, Peirchyi;Chang, Chuen-Ping
    贡献者: 淡江大學國際企業學系;淡江大學管理科學學系
    关键词: 存款保險;交換選擇權;存款資本比;選擇權評價;利差;Deposit Insurance;Swaption;Capital-To-Deposit Ratio;Option Valuation;Interest Margin
    日期: 2003-09
    上传时间: 2009-10-22 15:37:37 (UTC+8)
    出版者: 臺北縣淡水鎮:淡江大學
    摘要: A model of coexistence of deposit taking and lending to determine the market value of bank equity and interest margin is developed. Moreover, we examine the relationships among capital regulation, deposit insurance, and the optimal bank interest margin under the valuation of swaptions. An increase in the capital-to-deposits ratio and the deposit insurance increases the bank's interest margin when the bank's swaption execution is during a longer period horizon between the forward start date and the forward maturity date and its forward swaption is struck at a negative annuity of loan rate- setting. Our findings provide alternative explanations for the swaption valuation concerning bank liquidity and risk management.
    關聯: 2003年兩岸管理科學暨經營決策學術研討會論文集, pp.223-236
    显示于类别:[國際企業學系暨研究所] 會議論文
    [管理科學學系暨研究所] 會議論文

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