Mirror Transactions Under Capital Regulation and Deposit Insurance

• Main Authors: Wu, Ching-I, 吳清益
• Other Authors: Jyh-Horng Lin
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/86832067168028918232

碩士 === 淡江大學 === 國際貿易學系碩士在職專班 === 91 === Title of Thesis: Mirror Transactions Under Total pages: 61 Capital Regulation and Deposit Insurance Key Words: Derivative Product Company, Loan Portfolio Swap, Capital Regulation, Deposit Insurance, Mirror transaction Name of Institute: Master’s Program in International Business, Tamkang University. Graduate Date: June, 2003 Degree Conferred: Master Name of Student: Ching-I Wu Advisor: Dr. Jyh-Horng Lin Dr. Jyh-Jiuan Lin 吳清益 林志鴻 博士 林志娟 博士 Abstract： We use an option-based valuation to examine mirror transactions of loan portfolio swaps between a parent bank and its structured derivative product company (DPC). The transactions are governed by capital regulation and deposit insurance. We model the risk premium compensation on the parent bank''s loan portfolio swaps that reflect the magnitude of potential default risk of its structured DPC. We show that under strategic complements, the parent''s optimal non-swap-performing and swap-performing loan rates are a decreasing function of the defaulting of the DPC''s collateral and capital-to-deposits ratio, and an increasing function of the DPC''s customer bank''s loan rate and deposit insurance premium.