English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 61686/94635 (65%)
造訪人次 : 1632243      線上人數 : 22
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/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: 2000-10
    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


    檔案 描述 大小格式瀏覽次數
    A contingent claim analysis of a rate-setting financial intermediary.pdf94KbAdobe PDF2檢視/開啟



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