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題名：臺灣新商業銀行存款保險費率與風險移轉行為研究
書刊名：中山管理評論
作者：徐守德 引用關係／蔡明憲
作者(外文)：Shyu, David／Tsai, Min-shann
出版日期：2000
卷期：8:4
頁次：頁691-708
主題關鍵詞：存款保險；風險基準；風險移轉；Deposit insurance；Risk-based；Risk-shifting
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(1) 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:1
  • 共同引用共同引用:6
  • 點閱點閱:39
　　本文利用選擇權的評價方法，探討台灣新銀行風險基準下的存款保險費率，並與當時回定費率比較，結果發現存保費率整體而言偏低。另一方面，本文分別同時考量資產價值報酬的瞬息、標準差與負債比率及每元存款保險費率間之互動來檢視新銀行風險移轉的現象，結果發現，樣本中的新銀行皆存在將風險移轉給存保公司的現象。
　　This study adopts option's pricing model to estimate the risk-based depository insurance premium for Taiwan's new commercial banks. It compares the result with the fixed rate in Taiwan and finds that Taiwan's depository insurance premium is quite too low. Beside, this study takes the instantaneous standard deviation of an asset value's return, its debt ratio and deposit insurance premium per dollar to detect the risk transfer effect. The findings indicate that risk transfer phenomenon significantly exists for Taiwan's new commercial banks.
期刊論文
1.Goldfeld, S. M.、R. E. Quandt(1973)。The Estimation of Structural Shifts by Switching Regressions。Annals of Economic and Social Measurement，2，475-485。  new window
2.Duan, Jin Chuan、Moreau, Arthur F.、Sealey, Calvin W.(1992)。Fixed-rate deposit insurance and risk-shifting behavior at commercial banks。Journal of Banking and Finance，16，715-742。  new window
3.Kane, E. J.(1986)。Appearance and Reality in Deposit Insurance: The Case for Reform。Journal of Banking and Finance，10，175-188。  new window
4.Allen, Linda、Saunders, Anthony(1993)。Forbearance and Valuation of Deposit Insurance as a Callable Put。Journal of Banking and Finance，17(4)，629-643。  new window
5.Duan, Jin Chuan、俞明德(1994)。Assessing the cost of Taiwan's deposit insurance。Pacific-Basin Finance Journal，2(1)，73-90。  new window
6.Pennacchi, G. G.(1987)。Alternative Forms of Deposit Insurance: Pricing and Bank Incentive Issues。Journal of Banking & Finance，11(2)，291-312。  new window
7.Ronn, Ehud I.、Verma, Avinash K.(1986)。Pricing Risk-adjusted Deposit Insurance: An Option-based Model。Journal of Finance，41(4)，871-895。  new window
8.徐守德、蔡明憲(19991100)。臺灣存款保險費率與商業銀行風險移轉行為研究。證券市場發展，11(2)=42，1-28。new window  延伸查詢new window
9.Marcus, A. J.、Shaked, I.(1984)。The Valuation of FDIC Deposit Insurance Using Option-Pricing Estimates。Journal of Money, Credit, and Banking，16(4)，446-460。  new window
10.Sharpe, W. F.(1978)。Bank capital adequacy, deposit insurance and security values。Journal of Financial and Quantitative Analysis，13，701-718。  new window
11.Buser, S. A.、Chen, A. H.、Kane, E. J.(1981)。Federal Deposit Insurance, Regulatory Policy, and Optimal Bank Capital。Journal of Finance，36，51-60。  new window
12.Furlong, F. T.、Keeley, M. C.(1989)。Capital regulation and bank risk-taking: A note。Journal of Banking and Finance，13，883-891。  new window
13.Koehn, M.、Santomero, A. M.(1980)。Regulation of bank capital and portfolio risk。The Journal of Finance，35，1235-1250。  new window
14.James, Christopher(1988)。The Use of Loan Sales and Standby Letters of Credit by Commercial Banks。Journal of Monetary Economics，22(3)，395-422。  new window
15.Marcus, Alan J.(1984)。Deregulation and Bank Financial Policy。Journal of Banking and Finance，8(4)，557-565。  new window
16.Saunders, Anthony、Strock, Elizabeth、Travlos, Nickolaos G.(1990)。Ownership Structure, Deregulation, and Bank Risk Taking。The Journal of Finance，45(2)，643-654。  new window
17.Keeley, Michael C.、Furlong, Frederick T.(1990)。A reexamination of mean-variance analysis of bank capital regulation。Journal of Banking and Finance，14(1)，69-84。  new window
18.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy，81(3)，637-654。  new window
19.林鎧藩(1987)。中央存款保險公司業務概述。存款保險資訊季刊，1(1)，7-8。new window  延伸查詢new window
20.俞明德、許亮嵐(1993)。金融監管能力與存款保險費率之評價。經濟論文叢刊，21(1)，45-49。new window  延伸查詢new window
21.陳漢楓(1989)。論存款保險制度之重要性。存款保險資訊季刊，2(4)，1-4。new window  延伸查詢new window
22.黃麗卿(1988)。風險導向存款保險問題之回顧與文獻。存款保險資訊季刊，1(3)，28-44。new window  延伸查詢new window
23.鄭明慧(1996)。發行特別股強化我國存保基金可行性研究。存款保險資訊季刊，9(3)，52-57。new window  延伸查詢new window
24.鄭明慧、詹碧蓮、陳惠文(1996)。我國存款保險制度實施差別費率之可行性研究。存款保險資訊季刊，10(1)，5-30。new window  延伸查詢new window
25.Benston, G. J.(1983)。Deposit Insurance and Bank Failure。Federal Reserve Bank of Atlanta Economic Review，4-17。  new window
26.Flannery, M. J.(1982)。Deposit Insurance Creates a Need for Bank Regulation。Business Review，17-27。  new window
27.Flannery, Mark J.(1989)。Capital Regulation and Insured Banks' Choice of Individual Loan Default Risks。Journal of Monetary Economics，24，235-258。  new window
28.Schwartz, E.、Giammarino, R. E.、Zechner, J.(1989)。Market Valuation of Bank Assets and Deposit Insurance in Canada。The Canadian Journal of Economics=Revue canadienne d'Economique，22，109-127。  new window
29.Gilbert, G. G.(1983)。Disclosure and Market Discipline: Issues and Evidence。Economic Review，November，70-76。  new window
30.Goodman, L. S.、Santomero, A. M.(1986)。Variable-rate Deposit Insurance: A Re-examination。Journal of Banking & Finance，10，203-218。  new window
31.Kahane, Y.(1977)。Capital Adequacy and the Regulation of Financial Intermediaries。The Journal of Business，51，413-438。  new window
32.Kane, E. J.(1987)。No Room for Weak Links in the Chain of Deposit-insurance Reform。Journal of Financial Services Research，1，77-111。  new window
33.Mingo, J. J.(1978)。Regulation Influence on Bank Capital Investment。The Journal of Finance，30，111-1121。  new window
34.Mussa, M.(1986)。Safety and Soundness as an Objective of Regulations of Depository Institutions: Comment on Kareken。The Journal of Business，59，97-117。  new window
35.Peltzman, S.(1970)。Capital Investment in Commercial Banking and Its Relationship to Portfolio Regulation。Journal of Political Economy，78(1)，1-26。  new window
36.Pyle, D. H.(1984)。Deregulation and Deposit Insurance Reform。Federal Reserve Bank of San Francisco Economics Review，Spring，5-15。  new window
37.Pyle, D. H.(1986)。Capital Regulation and Deposit Insurance。Journal of Banking & Finance，10，189-201。  new window
38.Santomero, A. M.、Vinso, J. D.(1977)。Estimating the Probability of Failure for Commercial Banks and the Banking System。Journal of Banking & Finance，1，185-205。  new window
學位論文
1.許亮嵐(1992)。存款保險費率之訂定--複合選擇權定價之應用(碩士論文)。國立中央大學。  延伸查詢new window
2.朱俊宇(1993)。存款保險風險導向費率制度發展之研究，0。  延伸查詢new window
3.呂青樺(1991)。存款保險差別費率定價模式探討－兼論金融檢查成本之影響，0。  延伸查詢new window
4.林獻章(1990)。各種以風險為導向的存款保險費率計價模式在國內的適用性分析與飲用選擇權理論的模擬試算，0。  延伸查詢new window
5.洪淑貞(1990)。存款保險費率定價模式之研究，0。  延伸查詢new window
圖書
1.Benston, George J.、Eisenbeis, Robert A.、Horvitz, Paul M.、Kane, Edward J.、Kaufman, George G.(1986)。Perspectives on Safe and Sound Banking: Past, Present, and Future。Cambridge：MIT Press。  new window
2.Goldfeld, S. M.、Quandt, R. E.(1972)。Nonlinear Methods in Econometrics。North-Holland。  new window
 
 
 
 
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