On The Margin Effects Of Commercial Bank Expansion Into Securities And Insurance Activities Under The Same Roof: A Mathematical Swap Approach
學年 99
學期 1
出版（發表）日期 2010-11-01
作品名稱 On The Margin Effects Of Commercial Bank Expansion Into Securities And Insurance Activities Under The Same Roof: A Mathematical Swap Approach
作品名稱（其他語言）
著者 Lin, Jyh-Jiuan; Huang, Pai-Chou; Hung, Wei-Ming
單位 淡江大學統計學系
出版者 Zographou: World Scientific and Engineering Academy and Society (W S E A S)
著錄名稱、卷期、頁數 WSEAS Transactions on Circuits and Systems 9(11), pp.671-688
摘要 The Gramm-Leach-Bliley Act (GLBA) of 1999 allows commercial bank expansion into investment banking of securities and insurance activities without limit in subsidiaries separate from commercial banks. This paper demonstrates how securities hedging, insurance underwriting, and capital regulation through the total return swap approach jointly determine the optimal bank interest margin under the same roof. We find that the bank's interest margin and noninterest income are positively related to the bank's securities hedging demand, and to the insurance underwriting provision, but negatively related to the bank capital requirement. We also find that the results of the bank's noninterest income follow a similar argument as in the case of a change in interest margin. The results show that the combined production of commercial banking expansion into investment banking enhances the bank's synergistic gains. In addition, if regulators reduce capital charges, a commercial bank will have a strong incentive to expand its investment banking activities. This suggests obvious diversification benefits from the return to investment banking under the same roof.
關鍵字 Gramm-Leach-Bliley Act; Commercial Banking; Investment Banking; Total Return Swap
語言 en
ISSN 1109-2734
期刊性質 國外
收錄於 EI
產學合作
通訊作者 Lin, Jyh-Jiuan
審稿制度
國別 GRC
公開徵稿
出版型式 紙本
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