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    题名: On The Margin Effects Of Commercial Bank Expansion Into Securities And Insurance Activities Under The Same Roof: A Mathematical Swap Approach
    作者: Lin, Jyh-Jiuan;Huang, Pai-Chou;Hung, Wei-Ming
    贡献者: 淡江大學統計學系
    关键词: Gramm-Leach-Bliley Act;Commercial Banking;Investment Banking;Total Return Swap
    日期: 2010-11
    上传时间: 2011-10-01 01:11:31 (UTC+8)
    出版者: Zographou: World Scientific and Engineering Academy and Society (W S E A S)
    摘要: The Gramm-Leach-Bliley Act (GLBA) of 1999 allows commercial bank expansion into investment banking of securities and insurance activities without limit in subsidiaries separate from commercial banks. This paper demonstrates how securities hedging, insurance underwriting, and capital regulation through the total return swap approach jointly determine the optimal bank interest margin under the same roof. We find that the bank's interest margin and noninterest income are positively related to the bank's securities hedging demand, and to the insurance underwriting provision, but negatively related to the bank capital requirement. We also find that the results of the bank's noninterest income follow a similar argument as in the case of a change in interest margin. The results show that the combined production of commercial banking expansion into investment banking enhances the bank's synergistic gains. In addition, if regulators reduce capital charges, a commercial bank will have a strong incentive to expand its investment banking activities. This suggests obvious diversification benefits from the return to investment banking under the same roof.
    關聯: WSEAS Transactions on Circuits and Systems 9(11), pp.671-688
    显示于类别:[統計學系暨研究所] 期刊論文

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