教師資料查詢 | 類別: 期刊論文 | 教師: 林志娟 LIN JYH-JIUAN (瀏覽個人網頁)

標題:Loan portfolio swaps under capital regulation and deposit insurance: A bilateral pricing approach
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BeogradEkonomski 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.
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語言英文
ISSN0350-0373
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