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  • 學位論文

銀行獲取貸款者軟信息效率分析:上限選擇權模式架構

Bank efficiency gain, borrower soft information and capital regulation: a capped call approach

指導教授 : 林志鴻 賴錦璋

摘要


本論文提出了在資本管制下,銀行獲取貸款者軟信息的效率取得之架構。將銀行的放款函數藉由貸款者的軟信息來設立出一個明確的信用風險,並以銀行的股東權益做為上限選擇權。本論文中顯示,正向軟信息的提升,會減少銀行的利差與股權風險,並增加軟信息的效率取得。軟信息的取得能促使銀行系統穩定。隨著資本對存款比率的增加,造成銀行的利差減少、股權風險增加,並隨之降低了效率取得,而資本管制就其本身而言,則阻礙了軟信息的獲得並對於銀行的穩定造成了不利的影響。

並列摘要


This thesis proposes a framework for efficiency gain from bank acquisition of borrower soft information under capital regulation. The lending function of the bank creates an explicit credit risk captured by borrower soft information and the necessity to model the bank’s equity as a capped call option. We show that an increase in the favorable soft information decreases the bank’s interest margin and equity risk, and increases the efficiency gain from soft information acquisition. Soft information acquisition contributes to the stability of the banking system. As the capital-to-deposits ratio increases, the bank interest margin is decreased, the equity risk is increased, and the efficiency gain is decreased. Capital regulation as such discourages soft information acquisition and adversely affects the banking stability.

參考文獻


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