博碩士論文 87445003 詳細資訊




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姓名 李詩政(Shih-Cheng Lee)  查詢紙本館藏   畢業系所 財務金融學系
論文名稱 存款保險與資本規範
(Deposit Insurance and Capital Requirements)
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摘要(中) 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。
摘要(英) 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.
關鍵字(中) ★ 存款保險
★ 資本規範
★ 資本寬容
★ 道德風險
★ 選擇權評價
★ 風險值
關鍵字(英) ★ Deposit insurance
★ Capital standard
★ Forbearance
★ Moral hazard
★ Option pricing
★ Value-at-Risk
論文目次 目 錄
(Contents)
Essay 1: Deposit Insurance under Forbearance and Moral Hazard
Abstract1-1
1. Introduction……………………………………………………………….1-2
2. A Model of Deposit Insurance under Forbearance………………………..1-4
2.1 Pricing Deposit Insurance under Forbearanc………………………….1-4
2.2 Forbearance: Capital Component vs. Time Component…………...….1-6
2.3 Policy Parameters and Deposit Insurance Guarantees……………………1-7
3. Moral Hazard under Forbearance………………………………………….1-9
3.1 Moral Hazard Intensity and Premium Rates……………………...…....1-10
3.2 Cross Effect of Moral Hazard Intensity and Forbearance Parameter….1-11
4. Deposit Insurance Premium Values………………………………………..1-11
5. Conlusions………………………………………………………………….1-12
References……………………………………………………………………..1-14
Chapter 2 Deposit Insurance and Capital Requirements: Basel Accord vs. Value-at-Risk
Abstract………………………………………………………………………...2-1
1. Introduction………………………………………………………………….2-2
2. Model………………………………………………………………………..2-3
2.1 Modeling Capital Requirements: Basel Accord versus Value-at-Risk…..2-5
2.2 Pricing Deposit Insurance under Capital Forbearance…………………..2-6
2.3 Forbearance and Deposit Insurance Guarantees…………………………2-8
2.4 Premium Rates…………………………………………………………..2-11
3. Conlusions…………………………………………………………………...2-11
References……………………………………………………………………...2-14
Chapter 3 Value-at-Risk and Pricing Deposit Insurance in a Multiperiod Framework
Abstract………………………………………………………………………..3-1
1. Introduction…………………………………………………………………3-2
2. A Multiperiod Model of Deposit Insurance Pricing ….……………………3-4
2.1 The Asset Value Dynamic……………………………………………...3-4
2.2 Premium for Deposit Insurance………………………………………...3-6
2.3 Capital Forbearance and Moral Hazard………………………………...3-10
2.4 Fairly-Priced Premium Rate…………………………………………….3-11
3. Numerical Analysis…………………………………………………………3-11
3.1 Simulation Method and Procedure………………………………………3-11
3.2 Parameter Values………………………………………………………...3-12
3.3 Fair Premium and Results……………………………………………….3-14
4. Conlusion……………………………………………………………………3-15
References……………………………………………………………………...3-17
參考文獻 [1] Allen, L. and A. Saunders, 1993, Forbearance and Valuation of Deposit Insurance as a Callable Put, Journal of Banking and Finance 17, 629-643.
[2] Cooperstein, L., G. Pennacchi and F. Redburn, 1995, The Aggregate Cost of
Deposit Insurance: A Multiperiod Analysis, Journal of Financial Intermediation,
4, 242-271.
[3] Duan, J.-C., A.Moreau, C.W. Sealey, 1995, Deposit Insurance and Bank Interest Rate Risk: Pricing and Regulatory Implications, Journal of Banking and Finance 19, 1091-1108.
[4] Duan, J.-C., J-G Simonato, 1998, Empirical Martingale Simulation for Asset
Prices, Management Science 44, 1218-1233.
[5] Duan, J.-C. and M.-T. Yu, 1994, Forbearance and Pricing Deposit Insurance in
a Multiperiod Framework, Journal of Risk and Insurance 61, 575-591.
[6] Duan, J.-C. and M.-T. Yu, 1999, Capital Standard, Forbearance and Deposit
Insurance Coverage under GARCH, Journal of Banking and Finance 23, 1691- 1706.
[7] Epps, T. W., L. B. Pulley and D. B. Humphrey, 1996, Assessing the FDIC’s Premium and Examination Policies Using ’Soviet’ Put Options, Journal of Banking and Finance 20, 699-721.
[8] Fries, S. M., P. Mella-Barral and W.R.M. Perraudin, 1997, Optimal Bank Reorganization and the Fair Pricing of Deposit Guarantees, Journal of Banking and Finance 21, 441-468.
[9] Galloway, T.M., W. B. Lee and D. M. Roden, 1997, Bank’s Changing Incentives
and Opportunities for Risk Taking, Journal of Banking and Finance 21, 509-527.
[10] Kane, E. J., 1987, Dangers of Capital Forbearance: the Case of the FSLIC and “Zombie” S&Ls, Contemporary Policy Issues 5, 77-83.
[11] Kane, E. J., 2001, Dynamic Inconsistency of Capital Forbearance: Long-run vs. Short-run Effects of Too-big-to-fail Policymaking, Pacific-Basin Finance Journal 9, 281-300.
[12] McCulloch, J. H., 1985, Interest-Risk Sensitive Deposit Insurance Premia, Journal of Banking and Finance 9, 137-156.
[13] Merton, R., 1977, An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantee, Journal of Banking and Finance 1, 3-11.
[14] Nagarajan, S. and C. W. Sealey, 1995, Forbearance, Prompt Closure, and Incentive Compatible Bank Regulation, Journal of Banking and Finance, 19, 1109-
1130.
[15] Pennacchi, G., 1987a, Alternative Forms of Deposit Insurance: Pricing and Bank Incentive Issues, Journal of Banking and Finance, 11, 291-312.
[16] Pennacchi, G., 1987b, A Reexamination of the Over- (or Under-) Pricing of
Deposit Insurance, Journal of Money, Credit and Banking 19, 340-360.
[17] Ronn, E. and A. Verma, 1986, Pricing Risk-Adjusted Deposit Insurance: An
Option-Based Model, Journal of Finance 41, 871-895.
指導教授 俞明德、張傳章
(Min-Teh Yu、Chuang-Chang Chang)
審核日期 2003-1-9
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