期刊論文
| 學年 | 93 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2005-01-01 |
| 作品名稱 | Loan portfolio swaps under capital regulation and deposit insurance: A bilateral pricing approach |
| 作品名稱（其他語言） | |
| 著者 | 林志娟; Lin, Jyh-jiuan; Lin, Jyh-horng |
| 單位 | 淡江大學統計學系 |
| 出版者 | Beograd：Ekonomski institut |
| 著錄名稱、卷期、頁數 | Industrija 33(1), pp.29-44 |
| 摘要 | Using a bilateral approach, we document a loan portfolio swap for lending management. This swap provides insurance against credit-related losses through diversification. We find that the bank’s optimal non-swap-performing (swap-performing) loan rate is negatively (positively) related to its credit improvement, to its counterparty’s credit deterioration, to the capital-to-deposits ratio, and to the deposit insurance premium under strategic substitutes if the bank is sufficiently powerful in the two loan markets. The most obvious application of our result is to the theory of how a bank should select a lending portfolio to compete. The strategic effect on one lending market in another market must be considered. Our findings provide alternative explanations for loan portfolio swap transactions concerning bank loan-rate-setting behavior and regulation. |
| 關鍵字 | |
| 語言 | en |
| ISSN | 0350-0373 |
| 期刊性質 | |
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| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 否 |
| 國別 | |
| 公開徵稿 | |
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| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/20661 ) |