教師資料查詢 | 類別: 期刊論文 | 教師: 林志鴻 Jyh-horng Lin (瀏覽個人網頁)

標題:A contingent claim analysis of a rate-setting financial intermediary
學年89
學期1
出版(發表)日期2000/10/01
作品名稱A contingent claim analysis of a rate-setting financial intermediary
作品名稱(其他語言)
著者Lin, Jyh-horng
單位淡江大學國際貿易學系
出版者Elsevier
著錄名稱、卷期、頁數International Review of Economics & Finance 9(4), pp.375-386
摘要Realizing that a financial intermediary's lending, treated as an investment opportunity, is like a financial call option clarifies the role of uncertainty. We argue that the portfolio-theoretic approach and the firm-theoretic approach have important linkages that can be used to demonstrate the contingent claim analysis of a rate-setting financial intermediary. Borrower-intermediary-lender relationships between the portfolio-theoretic combined volatilities and the firm-theoretic rate-setting modes under the Black-Scholes valuation are investigated, and the conclusions depend upon the portfolio composition redistribution effect. The effect of changes in the open market security rates on the loan rate and deposit rate settings depend on the borrower-intermediary-lender relationship, portfolio risk, and management of rate-setting strategy. Moreover, movements in open market security rates are not necessarily transmitted to the loan lender and deposit absorber.
關鍵字Black-Scholes valuation;Loan rate setting;Deposit rate setting
語言英文
ISSN1059-0560;1873-8036
期刊性質國外
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產學合作
通訊作者
審稿制度
國別荷蘭
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