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    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/987654321/19558

    題名: A contingent claim analysis of a rate-setting financial intermediary
    作者: Lin, Jyh-horng
    貢獻者: 淡江大學國際貿易學系
    關鍵詞: Black-Scholes valuation;Loan rate setting;Deposit rate setting
    日期: 200010
    上傳時間: 2009-11-04 17:21:31 (UTC+8)
    出版者: Elsevier
    摘要: Realizing that a financial intermediary's lending, treated as an investment opportunity, is like a financial call option clarifies the role of uncertainty. We argue that the portfolio-theoretic approach and the firm-theoretic approach have important linkages that can be used to demonstrate the contingent claim analysis of a rate-setting financial intermediary. Borrower-intermediary-lender relationships between the portfolio-theoretic combined volatilities and the firm-theoretic rate-setting modes under the Black-Scholes valuation are investigated, and the conclusions depend upon the portfolio composition redistribution effect. The effect of changes in the open market security rates on the loan rate and deposit rate settings depend on the borrower-intermediary-lender relationship, portfolio risk, and management of rate-setting strategy. Moreover, movements in open market security rates are not necessarily transmitted to the loan lender and deposit absorber.
    關聯: International Review of Economics & Finance 9(4), pp.375-386
    DOI: 10.1016/S1059-0560(99)00043-X
    顯示於類別:[國際企業學系暨研究所] 期刊論文


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