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    Title: 資本管制、紓困方案與銀行利差管理 : 兩階段買賣權訂價模型
    Other Titles: Bad bank solution and optimal interest margin under capital regulation : a two-stage call-put-based option model
    Authors: 邱淑婷;Chiu, Shu-Ting
    Contributors: 淡江大學國際企業學系碩士班
    林志鴻;Lin, Jyh-Horng
    Keywords: 銀行最適利差;不良資產;資本管制;買權;賣權;Bank Interest Margin;Troubled Loans;Capital Regulation;Call Option;Put Option
    Date: 2011
    Issue Date: 2011-12-28 17:55:54 (UTC+8)
    Abstract: 隨著國際金融海嘯的到來,導致流動性枯竭及金融市場信用緊縮,同時,伴隨著金融監管的疏失與不足下,政府發展其對營運艱困銀行之援助計畫,目的是探討政府提出之援助計畫對營運艱困銀行之經營體系的改善是否有直接幫助,且間接的穩定其金融市場,以及政府對於銀行或金融機構的管制措施,是否也能審慎考量其適當性,如此方可達到政府及金融機構之雙方兼顧之預期。

    本研究探討政府之政策及資本管制下會如何影響營運艱困銀行經營體質之改善,與銀行最適放款利率的決定。研究重點在於試圖建立一個買權-賣權兩階段選擇權訂價模型,並導入Black and Scholes (1973)提出的或有請求權分析法,決定銀行及政府之權益報酬來凸顯其政策有效性。模型結合了投資組合中的風險屬性、成本條件及利率制定行為的廠商理論。本研究假設銀行廠商在追求權益價值極大化為前提之下,建立出其目標函數,分析其利率制定策略,以供政府及金融機構之參考。

    本研究顯示出兩個主要結果:(1)政府提出之政策(TARP),包括:增加不良資產之購買比例及增加資金挹注時,有效改善營運艱困銀行之經營體質,銀行之權益報酬皆增加。(2)政府增加其營運艱困銀行之資本管制時,導致銀行之權益報酬反而減少。根據這兩項結果可得知,政府所提出之TARP,大部分資金是來自於納稅人,銀行體質變好,同時,金融市場穩定了,相對失業問題降低,對納稅人而言自然有利。但資本管制下的政策,可建議政府回歸市場機制,減少不必要的干預,過度干預反而會造成反效果,何不讓市場自動調節,回復銀行本身其效率。
    The purpose of this study is to explore how to decide the optimal interest margin of the selected banks and improvement of bank’s operation management under the policy effectiveness of the banking bailout program and capital regulation. This paper develops a two-stage call-put pricing framework and quotes the contingent claim approach from Black and Scholes (1973). Our model involves the firm theories about risk attribute, cost condition and rate-setting behavior. We construct our banking firms’ target profit function to analyze the rate-setting strategies for the consultation to the government and commercial banks on strategies making under the assumption that banking firms pursue maximizing their equity values.

    The results of this study reveal as follows: (1) The policy (TARP) includes: buying troubled loans from selected banks by using funds and increasing equity capital inflow for the government. Both can effectively improve the bank operations management. (2) The government decides to increase the capital regulation. The optimal interest rate of banks will decrease in order to provide a return to a larger equity base under the negative elasticity effect. According to the results of this study, an institution that created by government used funds which are from taxpayer and private investors. The bank changed for the better physique, at the same time, the financial market steady. And it reduces unemployment rate and creates more jobs. However, the capital regulation can be suggested that the government return to market mechanism and reduce unnecessary intervention.
    Appears in Collections:[國際企業學系暨研究所] 學位論文

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