Loan Portfolio Swaps and Optimal Lending

機構典藏 > College of Business and Management > Graduate Institute & Department of International Business > Journal Article > Item 987654321/19562

Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/19562

Title:	Loan Portfolio Swaps and Optimal Lending
Authors:	Lin, Jyh-horng;Yi, Min-li
Contributors:	淡江大學國際貿易學系
Keywords:	loan portfolio swap;optimal loan rate;capital-to-deposits ratio;deposit insurance
Date:	2005-03
Issue Date:	2009-11-04 17:22:35 (UTC+8)
Publisher:	Springer
Abstract:	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.
Relation:	Review of quantitative finance and accounting 24(2), pp.177-198
DOI:	10.1007/s11156-005-6336-z
Appears in Collections:	[Graduate Institute & Department of International Business] Journal Article

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML	299	View/Open
Loan Portfolio Swaps and Optimal Lending.pdf		118Kb	Adobe PDF	1	View/Open