淡江大學機構典藏:Item 987654321/19190
English  |  正體中文  |  简体中文  |  Items with full text/Total items : 64178/96951 (66%)
Visitors : 9910148      Online Users : 20104
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/19190


    Title: Optimal bank interest margin under a swaption valuation
    Authors: Lin, Jyh-Horng;Lii, Peirchyi;Chang, Chuen-Ping
    Contributors: 淡江大學國際企業學系;淡江大學管理科學學系
    Keywords: 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
    Date: 2003-09
    Issue Date: 2009-10-22 15:37:37 (UTC+8)
    Publisher: 臺北縣淡水鎮：淡江大學
    Abstract: 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.
    Relation: 2003年兩岸管理科學暨經營決策學術研討會論文集, pp.223-236
    Appears in Collections:[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

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML359View/Open
    Optimal Bank Interest Margin under a Swaption Valuation_英文摘要.docx摘要17KbMicrosoft Word330View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.

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