銀行是金融中介機構，向存款者吸取資金，再將資金貸放出去，存款和放款雖然是銀行的傳統業務，卻仍然是最重要的業務，可隨時滿足顧客對資金的需求，但不管是存款和放款皆涉及流動性管理，並和利率風險息息相關，金融當局為了維持金融市場的秩序，仍然必須對銀行資本適足性加以控管。在銀行解除管制後，銀行可以自行訂定利率並設計新的金融商品，但在自由化之後，銀行為了達到業績，不斷調降存、放款利差，但存款和放款的利差對銀行流動性管理相當重要，因為對銀行獲利有相當大的影響，本論文藉由探討銀行流動性和獲利之間的關係，如何決定最適利率，這些議題值得深入探討。 本論文針對金融中介機構提出三個相關理論模型，藉由利率制定行為（考慮銀行流動性）、金融相關管制、選擇權評價分析（考慮風險性）的特性來建立模型，強調金融中介機構的流動性管理及利率決策制定行為。以上模型特性可提供銀行在決定最適資產組合和最適利率時主要的參考。本論文的貢獻是利用選擇權評價分析來結合風險考量的組合理論方法(portfolio-theoretic approach)來強調廠商權益資本的市場價值，將放款風險納入模型之中，和廠商理論方法(firm-theoretic approach)的利率制定行為，來建立利率制定的模型，相較於其他金融中介模型，尤其是在策略性流動性管理，更能符合金融中介的實際特性。 Banks act as intermediaries in the allocation of financial resources. The traditional and still the most important function is to gather deposits and then make loans. Banks are in the business of lending and borrowing money associated with risk management under financial regulation. Under deregulation in the banking industry, a bank can set interest rates and designs new financial products as well. However, banking deregulation has led to increased competition in the banking industry. Banks start decreasing their interest margin to achieve their sales targets. As the spread or liquidity management between lending and borrowing money is so important to bank profitability, the related issues of how it is optimally determined and how it is adjusted to changes in the banking environment deserve closer scrutiny. Three theoretical models of the financial intermediary under option-based valuation have been presented in this dissertation. These models allow readers to trace through the consequences of bank liquidity under synergy management. Interest rate-setting behavior (and thus liquidity management considerations), regulation, and option-based, risk-adjusted uncertainty are simultaneously incorporated in these three models. The contribution of this dissertation is to integrate the firm-theoretic approach with the portfolio-theoretic approach that emphasizes on the market value of a bank’s equity capital and to develop three related interest-rate setting models. Unlike earlier intermediary behavior frameworks, especially in strategic liquidity management, these frameworks ignore the above considerations and their implications cannot be extended to more general applications.
