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題名:存款保險與資本規範
作者:李詩政
作者(外文):Shih-Cheng Lee
校院名稱:國立中央大學
系所名稱:財務金融研究所
指導教授:俞明德
張傳章
學位類別:博士
出版日期:2003
主題關鍵詞:存款保險資本規範資本寬容道德風險選擇權評價風險值Deposit insuranceCapital standardForbearanceMoral hazardOption pricingValue-at-Risk
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:20
[1] Allen, L. and A. Saunders, 1993, Forbearance and Valuation of Deposit Insurance as a Callable Put, Journal of Banking and Finance 17, 629-643.new window
[2] Cooperstein, L., G. Pennacchi and F. Redburn, 1995, The Aggregate Cost of
Deposit Insurance: A Multiperiod Analysis, Journal of Financial Intermediation,
4, 242-271.
[3] Duan, J.-C., A.Moreau, C.W. Sealey, 1995, Deposit Insurance and Bank Interest Rate Risk: Pricing and Regulatory Implications, Journal of Banking and Finance 19, 1091-1108.
[4] Duan, J.-C., J-G Simonato, 1998, Empirical Martingale Simulation for Asset
Prices, Management Science 44, 1218-1233.
[5] Duan, J.-C. and M.-T. Yu, 1994, Forbearance and Pricing Deposit Insurance in
a Multiperiod Framework, Journal of Risk and Insurance 61, 575-591.
[6] Duan, J.-C. and M.-T. Yu, 1999, Capital Standard, Forbearance and Deposit
Insurance Coverage under GARCH, Journal of Banking and Finance 23, 1691- 1706.
[7] Epps, T. W., L. B. Pulley and D. B. Humphrey, 1996, Assessing the FDIC’s Premium and Examination Policies Using ’Soviet’ Put Options, Journal of Banking and Finance 20, 699-721.
[8] Fries, S. M., P. Mella-Barral and W.R.M. Perraudin, 1997, Optimal Bank Reorganization and the Fair Pricing of Deposit Guarantees, Journal of Banking and Finance 21, 441-468.
[9] Galloway, T.M., W. B. Lee and D. M. Roden, 1997, Bank’s Changing Incentives
and Opportunities for Risk Taking, Journal of Banking and Finance 21, 509-527.
[10] Kane, E. J., 1987, Dangers of Capital Forbearance: the Case of the FSLIC and “Zombie” S&Ls, Contemporary Policy Issues 5, 77-83.
[11] Kane, E. J., 2001, Dynamic Inconsistency of Capital Forbearance: Long-run vs. Short-run Eects of Too-big-to-fail Policymaking, Pacific-Basin Finance Journal 9, 281-300.
[12] McCulloch, J. H., 1985, Interest-Risk Sensitive Deposit Insurance Premia, Journal of Banking and Finance 9, 137-156.
[13] Merton, R., 1977, An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantee, Journal of Banking and Finance 1, 3-11.new window
[14] Nagarajan, S. and C. W. Sealey, 1995, Forbearance, Prompt Closure, and Incentive Compatible Bank Regulation, Journal of Banking and Finance, 19, 1109-
1130.
[15] Pennacchi, G., 1987a, Alternative Forms of Deposit Insurance: Pricing and Bank Incentive Issues, Journal of Banking and Finance, 11, 291-312.
[16] Pennacchi, G., 1987b, A Reexamination of the Over- (or Under-) Pricing of
Deposit Insurance, Journal of Money, Credit and Banking 19, 340-360.
[17] Ronn, E. and A. Verma, 1986, Pricing Risk-Adjusted Deposit Insurance: An
Option-Based Model, Journal of Finance 41, 871-895.
 
 
 
 
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