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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/74005

    Title: On the margin effects of commercial bank expansion into securities and insurance activities : a mathematical swap approach
    Other Titles: 在資本管制下商業銀行擴張證券與保險業務之利差管理分析 : 選擇權交換模式方法
    Authors: 洪偉銘;Hung, Wei-Ming
    Contributors: 淡江大學國際企業學系碩士班
    Keywords: 金融服務現代化法案;商業銀行;投資銀行;總報酬交換交易;Gramm-Leach-Bliley Act;Commercial Banking;Investment Banking;Total Return Swaps
    Date: 2011
    Issue Date: 2011-12-28 17:46:27 (UTC+8)
    Abstract: 1999年美國通過金融服務現代化法案(或稱GLBA),允許商業銀行兼營投資銀行的證券、保險業務。雖有不少文獻提及在GLBA實行後,對金融業造成有利的發展,但是當2008年美國保險巨人AIG,其營運發生重大的損失,即使美國政府為持續扶持AIG的營運,大量投入資金予以協助,保險戶仍逐漸對具有保險屬性的保險公司失去信心,再加上GLBA允許商業銀行得以擴張保險業務,或許AIG營運不善,給予商業銀行發展擴張其保險服務業務的機會。這議題給予本論文研究的空間與方向。

    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.
    Appears in Collections:[Graduate Institute & Department of International Business] Thesis

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