English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 49433/84388 (59%)
造訪人次 : 7448835      線上人數 : 98
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: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/20661

    題名: Loan portfolio swaps under capital regulation and deposit insurance: A bilateral pricing approach
    作者: 林志娟;Lin, Jyh-jiuan;Lin, Jyh-horng
    貢獻者: 淡江大學統計學系
    關鍵詞: loan portfolio swap;loan-rate setting;capital regulation;deposit
    日期: 200501
    上傳時間: 2009-11-30 12:55:42 (UTC+8)
    出版者: Beograd:Ekonomski institut
    摘要: 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.
    關聯: Industrija 33(1), pp.29-44
    顯示於類別:[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





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