淡江大學機構典藏:Item 987654321/58479
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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/58479


    Title: On The Margin Effects Of Commercial Bank Expansion Into Securities And Insurance Activities Under The Same Roof: A Mathematical Swap Approach
    Authors: Lin, Jyh-Jiuan;Huang, Pai-Chou;Hung, Wei-Ming
    Contributors: 淡江大學統計學系
    Keywords: Gramm-Leach-Bliley Act;Commercial Banking;Investment Banking;Total Return Swap
    Date: 2010-11
    Issue Date: 2011-10-01 01:11:31 (UTC+8)
    Publisher: Zographou: World Scientific and Engineering Academy and Society (W S E A S)
    Abstract: 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.
    Relation: WSEAS Transactions on Circuits and Systems 9(11), pp.671-688
    Appears in Collections:[Graduate Institute & Department of Statistics] Journal Article

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