International lending, bank risk and capital regulation : focus versus diversification

機構典藏 > College of Business and Management > Graduate Institute & Department of International Business > Thesis > Item 987654321/31903

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Title:	International lending, bank risk and capital regulation : focus versus diversification
Other Titles:	資本管制下採行國際放款集中式或分散式之組合管理
Authors:	洪偉誠;Hung, Wei-cheng
Contributors:	淡江大學國際貿易學系國際企業學碩士班林志鴻
Keywords:	國際放款;銀行風險;資本管制;International Lending;bank risk;Capital Regulation
Date:	2009
Issue Date:	2010-01-11 01:23:37 (UTC+8)
Abstract:	本篇論文試圖從銀行面對國際放款風險之論點，並應用 Acharya, Hasan, and Saunders (2006)與 Diamond (1984)對於銀行避險方法所持的不同觀點，導入具有能夠評估市場價值(market value)之Black and Scholes (1973)選擇權評價方法，利用比較靜態分析來解釋放款資金面對銀行風險及資本管制下，將會集中於國內放款市場或是分散在國外放款市場。利用上述研究方法證明出當銀行面對相對高的資本管制時，放款行為將會分散於國外市場，相反的，如果銀行欲追求高風險高收入的放款時，反而會集中放款資金在較熟悉的國內市場，本論文的結果可建議一國若欲將資金留在國內，過多的干預銀行放款行為將會達到反效果。 This thesis uses an option-based model to examine the relationships among capital regulation, bank risk, and the optimal international lending determination. An increase in the capital-to-deposits ratio decreases the bank’s domestic lending and increases foreign lending when the bank realizes a relatively less risky state of the world. An increase in the bank’s risk-taking incentive increases its domestic lending and decreases foreign lending when the bank realizes a relatively more risky state. Our findings provide alternative explanations concerning the effect of capital regulation on lending diversification and the effect of risk-taking incentive on lending focus.
Appears in Collections:	[Graduate Institute & Department of International Business] Thesis

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