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    jsp.display-item.identifier=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

    题名: Liquidity management and futures hedging under deposit insurance : an option-based analysis
    作者: Lin, Jyh-horng;Chang, Chuen-ping
    贡献者: 淡江大學國際貿易學系暨國際企業研究所
    关键词: liquidity;futures;deposit insurance;Black-Scholes valuation
    日期: 2004-12
    上传时间: 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
    显示于类别:[國際企業學系暨研究所] 期刊論文


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