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 en_US
ISSN 0924-865X
期刊性質 國外
收錄於
產學合作
通訊作者
審稿制度
國別 USA
公開徵稿
出版型式 ,紙本
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