資本管制、銀行違約風險與最適放款利率決策 : 障礙選擇權評價模式

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Title:	資本管制、銀行違約風險與最適放款利率決策 : 障礙選擇權評價模式
Other Titles:	Bank default risk assessment and optimal-interest margin under capital regulation : a barrier-option approach
Authors:	劉嘉瑛;Liu, Chia-Ying
Contributors:	淡江大學國際企業學系碩士班林志鴻;Lin, Jyh-Hong
Keywords:	銀行利差;違約風險;障礙選擇權評價模式;資本管制;Bank Interest Margin;default risk;Barrier Option Pricing;Capital Regulation
Date:	2011
Issue Date:	2011-12-28 17:53:01 (UTC+8)
Abstract:	本論文在下終出局的障礙選擇權評價模式下，試圖去導出銀行利差的市場價值與其所對應的違約風險機率，特別是在違約風險於到期日前發生的狀況下。透過障礙負債水準的改變，可以反映出銀行的曝險程度，經由利差決策，利用這些訊息可以進行銀行的風險管理。此外，政府為了維持銀行的資產品質，給予銀行一些限制，也將資本管制加入了討論。結果發現，當障礙負債比率增加時，會造成權益報酬及違約風險機率增加。另一方面，政府加強資本管制程度時，反而會引起金融體系的不穩定，本論文將建議銀行回歸市場力量運作的機制。 This paper examine a down-and-out call option pricing model to conduct the market value of bank interest margin and its default probability in equity return, especially triggering default prior to the maturity. Through changes in the barrier-to-debt ratio into interest margins and in its exposure to the ratio, we can use the information to manage risk. However, the government has capital regulation in order to maintain the asset equity of the banking firms, and we also discuss the effect on equity return and its default probability when it changes. This study shows that when the barrier-to-debt ratio increases the return of bank has higher interest margin and default risk in equity return. In the other hand, an increase in bank capital requirement will result in financial instability. That the invisible hand theory is applied to banking risk management.
Appears in Collections:	[Graduate Institute & Department of International Business] Thesis

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