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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/11834


    Title: 存款保險與資本規範;Deposit Insurance and Capital Requirements
    Authors: 李詩政;Shih-Cheng Lee
    Contributors: 財務金融研究所
    Keywords: 存款保險;資本規範;資本寬容;道德風險;選擇權評價;風險值;Deposit insurance;Capital standard;Forbearance;Moral hazard;Option pricing;Value-at-Risk
    Date: 2003-01-06
    Issue Date: 2009-09-22 14:33:13 (UTC+8)
    Publisher: 國立中央大學圖書館
    Abstract: 論文摘要 本研究利用選擇權理論來探討存款保險之定價及政府對金融機構管理上相關的議題。本研究由三篇文章組成,第一篇探討寬容政策下存款保險之定價,本篇文章將資本寬容所造成的成本視為隱含在存款保險契約下的一個賣權,文中解得存款保險契約之封閉解,經由比較靜態分析本文發現政策越寬容越會造成存款保險契約價值的提高;另一方面,本文同時考慮在道德風險之問題。第二篇討論在不同的資本規範下對於存款保險定價之影響,本文延續第一篇的架構,比較1988年的資本規範與1996年的資本規範對於存款保險的影響,我們在這兩個資本規範下導得存款保險契約價值的封閉解,發現1996的資本規範下,存款保險契約價值對銀行資產波動性較具敏感性。第三篇在多期的模型架構下並引入隨機利率,透過蒙地卡羅模擬方法對存款保險契約進行定價,討論利率及銀行存在道德風險下對銀行存款保險定價的影響,文中並進一步探討資本寬容、銀行資本結構、銀行資產的利率彈性及評價期間這些因素對存款保險定價的影響。 Abstract This dissertation includes three essays. In first essay, we set up a deposit insurance pricing model that treats forbearance as an option to delay the resolution of undercapitalized financial institutions and, subsequently, derive a closed-form solution for the deposit insurance put. The put is decomposed into a capital component and a time component. We then evaluate how the critical policy parameters relate to the cost of deposit insurance. We also examine how moral hazard behavior and the accompanying risk-taking behavior affect deposit insurance premiums. We find that bank with more risk-taking activities will be made possible with a lower forbearance threshold and will consequently increase the loss exposure of the deposit insuring agent. Second essay derives the deposit insurance formula under both the regulatory mechanisms of Basel Accord and Value-at-Risk and evaluates how closure rules and other critical policy parameters affect the cost of deposit insurance. In the third essay, We set up a multiperiod deposit insurance pricing model, which utilizes an asset value reset rule comparable to the typical practice of insolvency resolution by insuring agencies. We incorporate capital forbearance and Value-at-Risk regulation in the multiperiod model. We also examine how moral hazard behavior and the accompanying risk-taking behavior affect deposit insurance premiums.
    Appears in Collections:[財務金融研究所] 博碩士論文

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