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題名:存款保險之評價:信用風險模型之應用
書刊名:風險管理學報
作者:李君屏 引用關係陳宏輝
作者(外文):Lee, Jin-PingChen, Hong-Huei
出版日期:2007
卷期:9:1
頁次:頁5-25
主題關鍵詞:存款保險存款保險組合信用風險模型KMV模型風險差別費率風險貢獻Deposit insuranceDeposit insurance portfolioCredit risk modelKMV modelRisk-based premiumRisk contribution
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(2) 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:2
  • 共同引用共同引用:5
  • 點閱點閱:20
期刊論文
1.Cooperstein, R.、Pennacchi, G.、Redburn, F.(1995)。The Aggregate Cost of Deposit Insurance: A Multiperiod System。Journal of Financial Intermediation,4(3),242-271。  new window
2.Crouhy, M.、Galai, D.、Mark, R.(2000)。A comparative Analysis of Current Credit Risk Model。Journal of Banking and Finance,24(1/2),59-117。  new window
3.Dangl, T.、Lehar, A.(2004)。Value-at-Risk vs. Building Block Regulation in Banking。Journal of Financial Intermediation,13(2),96-131。  new window
4.Falkenheim, M.、Pennacchi, G.(2003)。The Cost of Deposit Insurance For Private Held Banks: A Market Comparable Approach。Journal of Financial Service Research,24(2),121-148。  new window
5.Falkenheim, M.、Pennacchi, G.(2003)。The Cost of Deposit Insurance For Private Held Banks: A Market Comparable Approach。Journal of Financial Service Research,24(3),121-148。  new window
6.Kupiec, P. H.(2004)。Internal Model-Based Capital Regulation and Bank Risk-Taking Incentive。Journal of Derivative,11(4),33-42。  new window
7.McCulloch, J. H.(1985)。Interest-Risk Sensitive Deposit Insurance Premia。Journal of Banking and Finance,9(1),137-156。  new window
8.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
9.Duan, J. C.、Moreau, A. F.、Sealey, C. W.(1995)。Deposit Insurance and Bank Interest Rate Risk: Pricing and Regulatory Implication。Journal of Banking & Finance,19,1091-1108。  new window
10.Duan, J. C.、俞明德(1999)。Capital Standard, Forbearance and Deposit Insurance Pricing under GARCH。Journal of Banking & Finance,23,1691-1706。  new window
11.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
12.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。  new window
13.Episcopos, A.(2004)。The Implied Reserves of the Bank Insurance Fund。Journal of Banking and Finance,28(7),1617-1635。  new window
14.Lee, S. C.、Lee, J. P.、Yu, M. T.(2005)。Bank Capital Forbearance and Valuation of Deposit Insurance。Canadian Journal of Administrative Sciences,22(3),220-229。  new window
15.Merton, Robert C.(1978)。On the Cost of Deposit Insurance When There Are Surveillance Costs。The Journal of Business,51(3),439-451。  new window
16.Pennacchi, G.(1987)。A Reexamination of the over- (or under-) Pricing of Deposit Insurance。Journal of Money, Credit, and Banking,19(4),340-360。  new window
17.Pennacchi, G. G.(1987)。Alternative Forms of Deposit Insurance: Pricing and Bank Incentive Issues。Journal of Banking & Finance,11(2),291-312。  new window
18.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
19.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
20.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
21.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。  new window
22.Crouhy, Michel D.、Galai, Dan、Mark, Robert(2000)。A Comparative Analysis of Current Credit Risk Models。Journal of Banking and Finance,24(1/2),59-117。  new window
研究報告
1.Maccario, A.、Sironi, A.、Zazzara, C.(2003)。Credit Risk Models: An Application to Deposit Insurance Pricing。  new window
學位論文
1.徐孝義(2009)。美國連鎖加盟餐廳績效評估--價值鏈資料包絡法模型分析(博士論文)。東吳大學。new window  延伸查詢new window
2.樊高民(1997)。台灣地區金融機構存款保險費率之實證研究(碩士論文)。淡江大學。  延伸查詢new window
圖書
1.Ong, M.(1999)。Internal Credit Risk Models: Capital Allocation and Performance Measurement。London:Risk Books。  new window
 
 
 
 
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