Optimal Bank Interest Margin under Government Capital Injections, and Troubled-Loan Purchases: A Contingent Claim Analysis

• Main Authors: Yu-Ting Huang, 黃鈺婷
• Other Authors: Jyh-Horng Lin
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/35762910614059242818

碩士 === 淡江大學 === 國際企業學系碩士班 === 100 === We use a contingent claim analysis approach from Black and Scholes (1973) to explore how the optimal bank interest margin and government interventions relates to one another under the global financial crisis of 2008. The main purposes of this thesis are the effectiveness of government bailout (TARP) and the impact of recipient bank’s operation management and rate-setting behavior. TARP was intended to stabilize the financial system and it includes: government purchases troubled loans - only for mortgage loans and injects capital for recipient banks. We frame our banking firms’ target profit function to analyze the rate-setting strategies under the assumption that banking firms pursue maximizing their equity values. The results of this thesis demonstrate as follows: (1) Optimal interest rate of banks will increase in order to gain bank’s profits, not only for the individual interest rate but also the mortgage interest rate. (2) The program can effectively improve the bank operations management, the quality of asset and management, and the illiquidity problems. The bank can reduce highly risk-weighted assets, change their physique. Importantly, it can let the financial system steady. Finally, it reveals that the policy is effectively.