關鍵字查詢 | 類別:期刊論文 | | 關鍵字:A bilateral pricing approach

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序號 學年期 教師動態
1 93/1 統計系 林志娟 教授 期刊論文 發佈 Loan portfolio swaps under capital regulation and deposit insurance: A bilateral pricing approach , [93-1] :Loan portfolio swaps under capital regulation and deposit insurance: A bilateral pricing approach期刊論文Loan portfolio swaps under capital regulation and deposit insurance: A bilateral pricing approach林志娟; Lin, Jyh-jiuan; Lin, Jyh-horng淡江大學統計學系Beograd:Ekonomski institutIndustrija 33(1), pp.29-44Using 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 c
2 93/1 國企系 林志鴻 教授 期刊論文 發佈 Loan portfolio swaps under capital regulation and deposit insurance: A bilateral pricing approach , [93-1] :Loan portfolio swaps under capital regulation and deposit insurance: A bilateral pricing approach期刊論文Loan portfolio swaps under capital regulation and deposit insurance: A bilateral pricing approach林志娟; Lin, Jyh-jiuan; Lin, Jyh-horng淡江大學統計學系Beograd:Ekonomski institutIndustrija 33(1), pp.29-44Using 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 c
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