:::

詳目顯示

回上一頁
題名:臺灣銀行業存款保險費率、資本寬容與金檢頻率之研究
書刊名:管理科學研究
作者:巫春洲周恆志
作者(外文):Wu, Chun-chouChou, Heng-chih
出版日期:2008
卷期:5:1
頁次:頁39-59
主題關鍵詞:存款保險隨機利率資本寬容金檢頻率Deposit insuranceStochastic interest rateCapital forbearanceExamination schedules
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:0
  • 點閱點閱:27
本文在Merton (1977)選擇權評價法的架構下,加入Vasicek (1977)隨機利率行程,並引用Duan (1994,2000)的最大概似估計法(MLE)來估計台灣銀行業的存保費率。我們發現實際的存保費率遠低於理論費率,顯示中央存保公司在存款保險費率方面補貼銀行。其次本文發現台灣銀行業的存保契約中所隱含的資本寬容率相對較低,這個結果可以解釋為何台灣之金融機構發生破產清算的處分頻次並不高。最後,本文發現台灣銀行業現行存保契約中所對應的定期金融檢查頻率遠低於每半年一次。
期刊論文
1.Duan, Jin Chuan(2000)。Correction: Maximum likelihood estimation using price data of the derivative contract。Mathematical Finance,10(4),461-462。  new window
2.Duan, J. C.(2004)。Fair Insurance Guaranty Premia in the Presence of Risk-based Capital Regulations, Stochastic Interest Rate and Catastrophe Risk。Journal of Banking and Finance。  new window
3.King, K. K.(1991)。Market-based, Risk-adjusted Examination Schedules for Depository Institutions。Journal of Banking and Finance,15,955-974。  new window
4.Laeven, L.(2002)。Bank Risk and Deposit Insurance。The Word Bank Economic Review,16,109-137。  new window
5.Kane, E. J.(1986)。Appearance and Reality in Deposit Insurance Reform: The Case for Reform。Journal of Banking and Finance,10(2),175-188。  new window
6.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
7.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
8.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
9.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
10.Duan, J. C.、Simonato, J. G.(2002)。Maximum Likelihood Estimation of Deposit Insurance Value with Interest Rate Risk。Journal of Empirical Finance,9(1),109-132。  new window
11.Duan, Jin-Chuan(1994)。Maximum Likelihood Estimation Using Price Data Of The Derivative Contract。Mathematical Finance,4(2),155-167。  new window
12.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
13.Rabinovitch, Ramon(1989)。Pricing stock and bond options when the default free rate is stochastic。Journal of Financial and Quantitative Analysis,24(4),447-457。  new window
14.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
15.Vasicek, Oldrich Alfonso(1977)。An Equilibrium Characterization of the Term Structure。Journal of Financial Economics,5(2),177-188。  new window
16.Merton, Robert C.(1974)。On the pricing of corporate debt: The risk structure of interest rate。Journal of Finance,29(2),449-470。  new window
研究報告
1.Lehar, A.(2003)。Implementing a Portfolio Perspective in Banking Supervision。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE