期刊論文
| 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 | en |
| ISSN | 1059-0560 1873-8036 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 否 |
| 國別 | NLD |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/19558 ) |