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系統識別號 U0026-0508201623414200
論文名稱(中文) 考慮交易對手違約風險下銀行存款保險之評價
論文名稱(英文) Valuation of Bank Deposit Insurance with Counterparty Default Risk
校院名稱 成功大學
系所名稱(中) 財務金融研究所碩士在職專班
系所名稱(英) Graduate Institute of Finance (on the job class)
學年度 104
學期 2
出版年 105
研究生(中文) 林嘉沅
研究生(英文) Chia-Yuan Lin
電子信箱 agerse@gmail.com
學號 R87031231
學位類別 碩士
語文別 英文
論文頁數 42頁
口試委員 指導教授-劉裕宏
口試委員-王澤世
口試委員-顏盟峯
口試委員-姜一銘
中文關鍵字 易脆選擇權  存款保險  違約風險 
英文關鍵字 Vulnerable Option  Deposit Insurance  Default Risk 
學科別分類
中文摘要 此篇論文主要考慮在交易對手違約風險模型下,銀行存款保險之最佳選擇權評價模式,尤其當財務危機爆發時,交易對手的其他負債比率往往會高於選擇權本身,導致交易對手違約風險提升,故考慮將其他負債列入交易對手計算保費之風險評估。
為了求得此違約風險選擇權評價模式,利用三維度二項樹法、對數轉換及一階泰勒展開式,來建構選擇權近似公式解。此篇論文使用台灣存款保險公司及各金融機構的年報資料,時間為2011年至2015年財報日期。
實證結果顯示存款保險公司的其他負債對於存款保險保費有顯著影響性,故此結果支持當計算存款保險保費時,應該考量將存款保險公司的其他負債列入風險評估內。
英文摘要 This thesis focuses on the optimal value of European vulnerable put option on the fair premium of deposit insurance. In particular, it considers the other liabilities in the capital structure of the option writer, and if the proportion of other liabilities of the option writer is larger than the value of the option if financial distress occurs.
In order to price the model of vulnerable put options, this study uses a three-dimensional binomial tree, log transformation and first-order Taylor series approximation to construct an appropriate formula. This thesis uses data from the annual reports of the CDIC and the financial institutions in Taiwan for the period 2010-2015.
The results show that the other liabilities of the Federal Deposit Insurance Corporation (FDIC) have a significant effect on the deposit insurance premiums, and thus support the view that the options and other liabilities which should be considered in the capital structure of the FDIC when calculating the deposit insurance premium.
論文目次 摘要 I
Abstract II
Chapter 1.Introduction 1
1.1.The Research Background and Objectives 1
1.2.Structure of the Thesis 6
Chapter 2.Literature Review 7
2.1.Literature Review of Vulnerable Options Model 7
2.2.Literature Review of Deposit Insurance Model 15
Chapter 3.The Implied Guaranty Fund Reserves under Credit Risk 24
3.1.Assumptions and Notations 24
3.2.Valuation Equation of Full Coverage Deposit Insurance 27
3.3.Valuation Equation of Limited Coverage Deposit Insurance 28
3.4.Valuation Methods 29
Chapter 4.Data and Analysis 32
4.1.Data and Analysis 32
Chapter 5.Conclusions and Suggestions 40
References 41
參考文獻 1.Allen, L. and Saunders, A. (1993), “Forbearance and Valuation of Deposit Insurance as a Callable Put”. Journal of Banking and Finance, 17, pp. 629-643.

2.Cox, J .C. and Ross, S.A. (1976), “The Valuation of Options for Alternative Stochastic Processes”. Journal of Financial Economics, 3, pp. 145-166.

3.Cummins, D. (1988), “Risk-Based Premium for Insurance Guaranty Funds” Journal of Finance, 43, pp. 823-839.

4.Episcopo, A. (2003), “The Implied Reserves of the Bank Insurance Fund”. Journal of Banking and Finance, 28, pp. 1617-1635.

5.Fard, F.A. (2015), “Analytical Pricing of Vulnerable Options under a Generalized Jump–Diffusion Model”. Insurance: Mathematics and Economics, 60, pp. 19-28.

6.Harrison, J.M. and Pliska, S.R. (1981), “Martingales and Stochastic Integrals in the Theory of Continuous Trading”. Stochastic Processes and Their Applications, 11, pp. 215-260.

7.Hull, J. and White, A. (1995), “The Impact of Default Risk on The Prices of Options and Other Derivative Securities”. Journal of Banking and Finance, 19, pp. 299-322.

8.Johnson, H. and Stulz, R. (1987), “The Pricing of Options with Default Risk”. Journal of Finance, 42, pp. 267-280.

9.Jarrow, R. and Turnbull, S. (1995), “Pricing Derivatives on Financial Securities Subject to Credit Risk”. Journal of Finance, 50, pp. 53-86.

10.Klein, P. (1996), “Pricing Black-Scholes Options with Correlated Credit Risk”. Journal of Banking and Finance, 20, pp. 1111-1129.

11.Klein, P. and Inglis, M. (2001), “Pricing Vulnerable European Option when The Option’s Payoff Can Increase the Risk of Financial Distress”. Journal of Banking and Finance, 25, pp. 993-1012.

12.Liu, Y. H., and Jiang, I. M. (2010), ““Vulnerable Option Pricing under Heterogeneity and Its Applications in Taiwan Warrant Market”, International Journal of Fuzzy Systems. Vol 12, No 3, pp. 243-253.

13.Lee, S.C., Lin, C.T. and Tsai, M.S. (2015), “The Pricing of Deposit Insurance in the Presence of Systematic Risk”. Journal of Banking and Finance, 51, pp. 1-11.

14.Merton, R. (1977), “An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees”. Journal of Banking and Finance, 3, pp. 3-11.

15.Marcus, A. and Shaked, I. (1984), “The Valuation of FDIC Deposit Insurance Using Option-Pricing Estimates”. Journal of Money, Credit and Banking, 16, pp. 446-460.

16.Pyle, D. (1986), “Capital Regulation and Deposit Insurance”. Journal of Banking and Finance, 10, pp. 189-201.

17.Ronn, E. and Verma, A. (1986), “Pricing Risk-Adjusted Deposit Insurance: An Option-Based Model”. Journal of Finance, 41, pp. 871-895.

18.Tian, L.H., Wang, G.Y., Wang, X.C. and Wang, Y.J. (2014), “Pricing Vulnerable Options with Correlated Credit Risk Under Jump‐Diffusion Processes”. The Journal of Futures Markets, 34, pp. 957-979.
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