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    Title: Loan portfolio swaps under capital regulation and deposit insurance: A bilateral pricing approach
    Authors: 林志娟;Lin, Jyh-jiuan;Lin, Jyh-horng
    Contributors: 淡江大學統計學系
    Keywords: loan portfolio swap;loan-rate setting;capital regulation;deposit
    Date: 2005-01-01
    Issue Date: 2009-11-30 12:55:42 (UTC+8)
    Publisher: Beograd:Ekonomski institut
    Abstract: Using a bilateral approach, we document a loan portfolio swap for lending management. This swap provides insurance against credit-related losses through diversification. We find that the bank’s optimal non-swap-performing (swap-performing) loan rate is negatively (positively) related to its credit improvement, to its counterparty’s credit deterioration, to the capital-to-deposits ratio, and to the deposit insurance premium under strategic substitutes if the bank is sufficiently powerful in the two loan markets. The most obvious application of our result is to the theory of how a bank should select a lending portfolio to compete. The strategic effect on one lending market in another market must be considered. Our findings provide alternative explanations for loan portfolio swap transactions concerning bank loan-rate-setting behavior and regulation.
    Relation: Industrija 33(1), pp.29-44
    DOI: 
    Appears in Collections:[國際企業學系暨研究所] 期刊論文
    [統計學系暨研究所] 期刊論文

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