Going-Concern Value of Bank Spread Management and Hedging Behavior Under Risk-Adjusted Deposit Insurance Pricing

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題名:	Going-Concern Value of Bank Spread Management and Hedging Behavior Under Risk-Adjusted Deposit Insurance Pricing
作者:	林志鴻
貢獻者:	淡江大學國際貿易學系暨國際企業研究所
日期:	2007-04
上傳時間:	2011-10-22 23:53:37 (UTC+8)
摘要:	We present a potential reform of risk-adjusted deposit insurance pricing with forward contracts We show that bank spread management itself may provide the Federal Deposit Insurance Corporation's (FDIC's) protection from credit and interest rate risks even though the bank's spread decisions are made prior to the realization of those tow risks. But if the bank's spread decisions are made subsequent to the realization of the credit and/or interest rate risks, the forward contracts may serve the FDIC for microhedging and/or macrohedging purposes. Further, a decrease in the capital-to-deposits ratio decreases the FDIC's going-concern insurance premium market value. Our results suggest the view that capital regulation and bank spread management can also be important in influencing the FDIC's hedging decisions.
關聯:	Indian Journal of Economics 349(4), pp.627-640
顯示於類別:	[國際企業學系暨研究所] 期刊論文

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