English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 49590/84835 (58%)
造訪人次 : 7685196      線上人數 : 84
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/987654321/24414


    題名: Liquidity management and futures hedging under deposit insurance : an option-based analysis
    作者: Lin, Jyh-horng;Chang, Chuen-ping
    貢獻者: 淡江大學國際貿易學系暨國際企業研究所
    關鍵詞: liquidity;futures;deposit insurance;Black-Scholes valuation
    日期: 2004-12
    上傳時間: 2009-11-30 18:20:54 (UTC+8)
    出版者: Faculty of Organizational Sciences, Belgrade, Mihajlo Pupin Institute, Belgrade, Economics Institute, Belgrade, Faculty of Transport and Traffic Engineering, Belgrade, Faculty of Mechanical Engineering, Belgrade
    摘要: Theories on financial futures hedging are generally based on a portfolio-choice approach. This paper presents an alterative: a firm-theoretic model of bank behavior with financial futures under deposit insurance. Assuming that the bank is a certificate of deposit (CD) rate-setter and faces random CDs, expressions for the optimal futures hedge are derived under the option-based valuation. When the bank is in a bad state of the world, a decrease in the short position of the futures decreases the loan rate and increases the CD rate; an increase in the deposit insurance premium increases the loan rate and decreases the CD rate. We also show that the bank’s amount of futures increases with a lower expected futures interest rate.
    關聯: Yugoslav journal of operations research 14(2), pp.209-218
    DOI: 10.2298/YJOR0402209L
    顯示於類別:[國際企業學系暨研究所] 期刊論文

    文件中的檔案:

    檔案 大小格式瀏覽次數
    index.html0KbHTML69檢視/開啟

    在機構典藏中所有的資料項目都受到原著作權保護.

    TAIR相關文章

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