English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 62379/95055 (66%)
造訪人次 : 2295400      線上人數 : 151
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/987654321/19562

    題名: Loan Portfolio Swaps and Optimal Lending
    作者: Lin, Jyh-horng;Yi, Min-li
    貢獻者: 淡江大學國際貿易學系
    關鍵詞: loan portfolio swap;optimal loan rate;capital-to-deposits ratio;deposit insurance
    日期: 2005-03
    上傳時間: 2009-11-04 17:22:35 (UTC+8)
    出版者: Springer
    摘要: Theories on loan portfolio swap hedging are based on a portfolio-choice approach. This paper presents an alternative: a firm-theoretic model for bank behavior with loan portfolio swaps. Our paper derives the optimal loan rate and rate-taking loan amount of the banks portfolio, and relates them to the market loan rate, counterparty loan rate, swap default risk, capital-to-deposits ratio, and deposit insurance. We find that in the bilateral default risk approach, the comparative static results are generated by four factors: the banks risk magnitude about the equity market value, loan composition in the swap contract, the substitution effect in the loan portfolio, and the income effect from the swap transaction. The results imply that changes in the payoff asymmetry in the event of swap default and the banks regulatory parameters have a direct effect on the banks loan portfolio for lending and swap transactions.
    關聯: Review of quantitative finance and accounting 24(2), pp.177-198
    DOI: 10.1007/s11156-005-6336-z
    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
    Loan Portfolio Swaps and Optimal Lending.pdf118KbAdobe PDF1檢視/開啟



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