| Optimal bank interest margin under a swaption valuation | |
|---|---|
| 學年 | 92 |
| 學期 | 1 |
| 發表日期 | 2003-09-08 |
| 作品名稱 | Optimal bank interest margin under a swaption valuation |
| 作品名稱（其他語言） | |
| 著者 | Lin, Jyh-Horng; Lii, Peirchyi; Chang, Chuen-Ping |
| 作品所屬單位 | 淡江大學國際企業學系; 淡江大學管理科學學系 |
| 出版者 | 臺北縣淡水鎮：淡江大學 |
| 會議名稱 | 2003年兩岸管理科學暨經營決策學術研討會 |
| 會議地點 | 成都, 中國 |
| 摘要 | A model of coexistence of deposit taking and lending to determine the market value of bank equity and interest margin is developed. Moreover, we examine the relationships among capital regulation, deposit insurance, and the optimal bank interest margin under the valuation of swaptions. An increase in the capital-to-deposits ratio and the deposit insurance increases the bank's interest margin when the bank's swaption execution is during a longer period horizon between the forward start date and the forward maturity date and its forward swaption is struck at a negative annuity of loan rate- setting. Our findings provide alternative explanations for the swaption valuation concerning bank liquidity and risk management. |
| 關鍵字 | 存款保險;交換選擇權;存款資本比;選擇權評價;利差;Deposit Insurance;Swaption;Capital-To-Deposit Ratio;Option Valuation;Interest Margin |
| 語言 | en |
| 收錄於 | |
| 會議性質 | 兩岸 |
| 校內研討會地點 | |
| 研討會時間 | 20030908~20030908 |
| 通訊作者 | |
| 國別 | CHN |
| 公開徵稿 | Y |
| 出版型式 | |
| 出處 | 2003年兩岸管理科學暨經營決策學術研討會論文集, pp.223-236 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/19190 ) |
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