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外文摘要
引文資料
題名:
監理姑息與存款保險定價:兼論Ronn-Verma以選擇權為基礎之評價模型
書刊名:
臺大管理論叢
作者:
林容竹
作者(外文):
Lin, Jung-chu
出版日期:
2005
卷期:
16:1
頁次:
頁93-114
主題關鍵詞:
監理姑息
;
選擇權定價模型
;
風險基準之存款保險費
;
定價過低或過高
;
Regulatory forbearance
;
Option pricing model
;
Risk-based deposit insurance premium
;
Under- or over-pricing
原始連結:
連回原系統網址
相關次數:
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:
1
共同引用:0
點閱:38
本文以臺灣上市銀行為樣本檢視監理姑息與存款保險定價兩者間之關係。首先回顧以選擇權定價模型評估風險基準保險費率之文獻;接著,應用Ronn-Verma選擇權定價模型分析臺灣上市銀行在不同的監理姑息環境下對存款保險費率之影響效果;我們發現所估計出來的保險費率不僅隨著時間的經過增加,也隨著監理姑息的程度而增加,且不同的監理姑息程度將導致定價過高或過低不同的推論;因此,我們的結論是存款保險機構是否高估或低估存款保險費率端視其監理姑息程度而定 。監理姑息程度愈高,被保機構承擔的風險愈高,則將被索取較高的費率:監理姑息程度低者,被保機構承擔的風險較低,則被收取的費率會較低。
以文找文
This paper examines the relationship between regulatory forbearance and the pricing of deposit insurance for listed commercial banks in Tawian. After first reviewing the literature regarding the application of the option pricing models to assess the risk-based deposit insurance premiums, we then apply the Ronn-Verma option pricing model to empirically examine the effect of alternative schemes of regulatory forbearance on the deposit insurance premiums of Taiwan's listed commercial banks. We find that the estimated deposit insurance premiums, in addition to increasing with time, are also increasing with the degree of regulatory forbearance, and different degrees of regulatory forbearance will lead to different inferences regarding over-or under-charging. Thus, we conclude that the extent to which the deposit insurance agency under-or over-prices the deposit insurance premiums will depend on the degree of regulatory forbearance. If there is a high degree of regulatory forbearance, the rish that insured institutions bear will be higher, and consequently a higher premium will be charged. However, when the degree of regulatory forbearance is lower, the rish that the insured institution bear will be lower and hence lower premiums will be assessed.
以文找文
期刊論文
1.
Allen, Linda、Saunders, Anthony(1993)。Forbearance and Valuation of Deposit Insurance as a Callable Put。Journal of Banking and Finance,17(4),629-643。
2.
Duan, J. C.、俞明德(1999)。Capital Standard, Forbearance and Deposit Insurance Pricing under GARCH。Journal of Banking & Finance,23,1691-1706。
3.
Duan, Jin Chuan、Yu, Min Teh(1994)。Forbearance and Pricing Deposit Insurance in a Multiperiod Framework。Journal of Risk and Insurance,61(4),575-591。
4.
Merton, Robert C.(1978)。On the Cost of Deposit Insurance When There Are Surveillance Costs。The Journal of Business,51(3),439-451。
5.
Pennacchi, G.(1987)。A Reexamination of the over- (or under-) Pricing of Deposit Insurance。Journal of Money, Credit, and Banking,19(4),340-360。
6.
Pennacchi, G. G.(1987)。Alternative Forms of Deposit Insurance: Pricing and Bank Incentive Issues。Journal of Banking & Finance,11(2),291-312。
7.
Ronn, Ehud I.、Verma, Avinash K.(1986)。Pricing Risk-adjusted Deposit Insurance: An Option-based Model。Journal of Finance,41(4),871-895。
8.
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。
9.
Ronn, E. I.、Verma, A. K.(1989)。Risk-based capital adequacy standards for a sample of 43 major banks。Journal of Banking and Finance,13,21-29。
10.
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。
11.
Merton, Robert C.(1977)。An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees: An Application of Modern Option Pricing Theory。Journal of Banking & Finance,1(1),3-11。
12.
Fischer, S.(1978)。Call Option Pricing When the Exercise Price is Uncertain, and The Valuation of Index Bonds。The Journal of Finance,33,169-176。
13.
Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。
14.
Acharya, S.、Dreyfus, J. F.(1989)。Optimal Bank Reorganization Policies and the Pricing of Federal Deposit Insurance。The Journal of Finance,44,1313-1334。
15.
Acharya, Sankarshan(1996)。Charter value, Minimum Bank Capital Requirement and Deposit Insurance Pricing in Equilibrium。Journal of Banking & Finance,20(2),351-375。
16.
Chan, Y.、Greenbaum, S. I.、Thakor, A. V.(1992)。Is Fairly Priced Deposit Insurance Possible?。The Journal of Finance,47,227-245。
17.
Dreyfus, J. F.、Saunders, A.、Allen, L.(1994)。Deposit Insurance and Regulatory Forbearance: Are Caps on Insured Deposit Optimal?。Journal of Money, Credit and Banking,61,412-438。
18.
Flannery, M. J.(1991)。Pricing Deposit Insurance When the Insurer Measures Bank Risk with Error。Journal of Banking & Finance,15,975-998。
19.
Bensoussan, A.、Crouhy, M.、Galai, D.(1994)。Stochastic Equity Volatility Related to the Leverage Effect I: Equity Volatility Behaviour。Applied Mathematical Finance,1,63-85。
20.
Duan, J.、Moreau, A. F.、Sealey, C. W.(1993)。Incentive Compatible Deposit Insurance Pricing and Bank Regulatory Policies。Research in Finance,11,207-227。
21.
黃達業、Lee, Cheng F.、Liaw, K. Thomas(1997)。Forecasting Bank Failures and Deposit Insurance Premiums。International Review of Economics and Finance,6,317-334。
其他
1.
Pennacchi, G. G.(2005)。Risk-based Capital Standards, Deposit Insurance and Procyclicality,0。
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