關鍵字查詢 | 類別:期刊論文 | | 關鍵字:Loan Portfolio Swaps and Optimal Lending

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1 93/2 國企系 林志鴻 教授 期刊論文 發佈 Loan Portfolio Swaps and Optimal Lending , [93-2] :Loan Portfolio Swaps and Optimal Lending期刊論文Loan Portfolio Swaps and Optimal LendingLin, Jyh-horng; Yi, Min-li淡江大學國際貿易學系loan portfolio swap;optimal loan rate;capital-to-deposits ratio;deposit insuranceSpringerReview of quantitative finance and accounting 24(2), pp.177-198Theories 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 resul
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