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    Title: International lending and loan portfolio swaps : focus versus diversification
    Other Titles: 國際放款和交換避險雙重風險分散之最適利差管理
    Authors: 彭曉恬;Peng, Hsiao-tien
    Contributors: 淡江大學國際貿易學系國際企業學碩士班
    林志鴻;Lin, Jyh-horng
    Keywords: 國際放款組合;放款投資組合;最適放款利率;International Loan Portfolio;Loan Portfolio Swap;Optimal Loan Rate
    Date: 2009
    Issue Date: 2010-01-11 01:22:49 (UTC+8)
    Abstract: 本論文分析在國際放款和放款投資組合的整合之下,銀行廠商對於其國際放款資金的流向是否有所差異,並且應用Diamond (1984)提出的傳統放款組合理論,盡可能的將國際放款組合做分散式管理,才能有效的降低銀行風險,相反的, 由Acharya, Hasan, and Saunders (2006)所提出的現代放款組合理論,卻證明將放款組合做分散式管理,反而對銀行本身帶來高風險,進而降低收入。有鑒於此兩篇文章均只利用單一分散方法,本論文強調的是將放款投資經過國際放款和放款投資組合配置,做出二次分散方法的結果。

    本論文導入 Black and Scholes (1973) 提出的或有請求權分析法,模型結合了投資組合理論中的風險屬性及、成本條件及利率制定行為的廠商理論作為基礎。探討銀行廠商應將其國際放款和放款投資組合做分散式管理還是集中式管理,才能真正有效的降低銀行風險,並進一步算出銀行廠商最適的放款利率,放款投資組合分配比例,及如何做資本管制策略。
    Should bank lending be focused or diversified? This thesis answers this question by examining the optimal loan rate determination based on an option-based model under multiple diversification sources: international lending and swap hedging. We provide the conditions under which the degree of a bank’s international loan portfolio diversification is relatively less significant than we think. Although recent years have witnessed an increase in the degree of international lending (Cetorelli and Goldberg, 2006), even with loan portfolio swaps, our results provide an alternative explanation that the international lending portfolio of typical financial institutions is still very far from representing a truly diversified portfolio (Acharya, Hasan, and Saunders, 2006).
    Appears in Collections:[國際企業學系暨研究所] 學位論文

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