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:Loan Portfolio Swaps and Optimal Lending
學年93
學期2
出版(發表)日期2005/03/01
作品名稱Loan Portfolio Swaps and Optimal Lending
作品名稱(其他語言)
著者Lin, Jyh-horng; Yi, Min-li
單位淡江大學國際貿易學系
出版者Springer
著錄名稱、卷期、頁數Review of quantitative finance and accounting 24(2), pp.177-198
摘要Theories on loan portfolio swap hedging are based on a portfolio-choice approach. This paper presents an alternative: a firm-theoretic model for bank behavior with loan portfolio swaps. Our paper derives the optimal loan rate and rate-taking loan amount of the banks portfolio, and relates them to the market loan rate, counterparty loan rate, swap default risk, capital-to-deposits ratio, and deposit insurance. We find that in the bilateral default risk approach, the comparative static results are generated by four factors: the banks risk magnitude about the equity market value, loan composition in the swap contract, the substitution effect in the loan portfolio, and the income effect from the swap transaction. The results imply that changes in the payoff asymmetry in the event of swap default and the banks regulatory parameters have a direct effect on the banks loan portfolio for lending and swap transactions.
關鍵字loan portfolio swap;optimal loan rate;capital-to-deposits ratio;deposit insurance
語言英文(美國)
ISSN0924-865X
期刊性質國外
收錄於
產學合作
通訊作者
審稿制度
國別美國
公開徵稿
出版型式,紙本
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