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    Title: 政府援助計畫, 權益報酬風險與違約風險機率 : 選擇權評價分析
    Other Titles: Equity risk and default risk under TARP : option model
    Authors: 李致緯;Lee, Chih Wei
    Contributors: 淡江大學國際企業學系碩士班
    林志鴻
    Keywords: 援助方案;違約風險機率;權益報酬風險;選擇權評價分析;TARP;Equity Risk;default risk;Option Model
    Date: 2012
    Issue Date: 2013-04-13 10:54:14 (UTC+8)
    Abstract: 因為全球性的金融危機,導致流動性問題浮現,金融市場出現信用緊縮,為了挽救失序的金融環境,政府提出問題銀行之援助計畫,目的是探討政府提出援助計畫後,對困難銀行之違約風險和權益資金風險是否能得到改善,能否能有效的穩定金融市場的狀況。

    本研究探討政府之援助政策會如何影響困難銀行的營運,首先導入利差行為管理,決定出銀行的最適放款利率和最適抵押貸款利率,利用選擇權評價分析,決定銀行的權益報酬部位。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。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,且加入最適利率條件限制,利用違約風險機率和權益報酬風險來考慮政府的援助計畫是否具有效力,以供政府及金融機構之參考。

    結論可以分成主要四個部分:(1)當政府採取交換不良資產的援助方案,增加不良資產的交換比例時,銀行的權益報酬違約風險將會降低。(2)當政府採取直接資金挹注,增加資金挹注的比例時,銀行的權益報酬違約風險將會降低。(3)當政府採取交換不良資產的援助方案,增加不良資產的交換比例時,銀行的權益報酬風險水平將會降低。(4) 當政府採取直接資金挹注,增加資金挹注的比例時,銀行的權益報酬風險水平將會降低。綜合以上論述,TARP確實能有效降低違約風險和權益報酬風險,銀行會將把放款利率調升,不但提高本身的利潤,也可以讓銀行經營情況獲得改善,銀行也會把抵押貸款的利率調降,讓抵押貸款部位較具還款能力,因此銀行的不良放款將有望回收。
    Liquidity problems emerge because of the global financial crisis, financial market credit crunch, in order to save the financial environment of the disorder, the Government TARP of the problem banks, the aim is to explore the Government TARP, the breach of the problem banks risk and the risk of equity capital can be improved, the ability to effectively stabilize financial market conditions.

    In this study, the aid policy of the government how it will affect the operation of the problem banks, first import the spread behavior management, the decision of the bank''s optimal loan interest rates and optimal mortgage rates, the use of option valuation analysis to determine the bank''s return on equity parts. The model combines the properties of the risk in the portfolio, cost conditions and interest rate-setting behavior. Manufacturers assume that banks in this study greatly into the premise that the pursuit of equity value, the establishment of the objective function, and joined the optimal interest rate conditions, the risk of default probability and equity return risk to consider whether the Government''s aid program has effect for reference of the government and financial institutions.
    Appears in Collections:[國際企業學系暨研究所] 學位論文

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