請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/48490完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 陳業寧 | |
| dc.contributor.author | Yu-Chun Chen | en |
| dc.contributor.author | 陳俞君 | zh_TW |
| dc.date.accessioned | 2021-06-15T06:58:58Z | - |
| dc.date.available | 2011-02-20 | |
| dc.date.copyright | 2011-02-20 | |
| dc.date.issued | 2011 | |
| dc.date.submitted | 2011-01-26 | |
| dc.identifier.citation | Acharya, Viral V. (2009) “A theory of systemic risk and design of prudential bank regulation”, Journal of Financial Stability 5, 224-255.
Acharya, Viral V., Lasse H. Pedersen, Thomas Philippon, and Matthew Richardson (2009a) “Measuring Systemic Risk”, working paper, New York University Stern School of Business. Acharya, Viral V., Lasse H. Pedersen, Thomas Philippon, and Matthew Richardson (2010) “A Tax on Systemic Risk”, NBER publication on Quantifying Systemic Risk, ed. By Joseph Haubrich and Andrew Lo, forthcoming. Acharya, Viral V., and Tanju Yorulmazer (2007) “Too many to fail—An analysis of time-inconsistency in bank closure policies”, Journal of Financial Intermediation 16, 1-31. Brunnermeier (2009) “Deciphering the Liquidity and Credit Crunch 2007-2008”, Journal of Economic Perspectives 23, 77-100. Froot, Kenneth A., and Jeremy C. Stein (1998) “Risk management, capital budgeting, and capital structure policy for financial institutions: a integrated approach”, Journal of Financial Economics 47, 55-82. Shleifer, A., and Vishny, R.W. (2010) “Unstable banking”, Journal of Financial Economics 97, 306-318. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/48490 | - |
| dc.description.abstract | 現今的資本適足率規範大多在規範銀行的個別風險，但並未詳加考慮系統性風險及交易對手風險的部分。由於衍生性金融商品的發達，銀行可以針對自己投資可能產生的損失向保險公司購買信用違約交換來避險。然而，當政府不知道保險公司可能會倒閉時，政府所訂的資本適足率標準即會太過寬鬆，進而可能導致銀行投資過多的風險並危害到整體的社會福利。 | zh_TW |
| dc.description.abstract | The capital adequacy requirement focuses most on a bank’s own risk but fails to consider the systemic risk and counterparty risk. Banks can buy insurance to hedge the losses of their investments. However, when the regulator does not know that the insurance company may go bankrupt, he will impose a lax capital regulation which may causes banks take too much risk and hurts the social welfare. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T06:58:58Z (GMT). No. of bitstreams: 1 ntu-100-R97723011-1.pdf: 360470 bytes, checksum: 4c109272f55e4db222f7f0f8415745de (MD5) Previous issue date: 2011 | en |
| dc.description.tableofcontents | 口試委員審訂……………………………………………………………i
誌謝辭...................................................ii 中文摘要................................................iii Abstract.................................................iv 1.Introduction............................................1 2.Model...................................................4 3.Analysis................................................8 3.1.Without considering the bankruptcy of the insurance company...................................................9 3.2.Considering the possibility that the insurance company may go bankrupt..........................................10 3.3.Banks’ choice of total assets.......................13 4.Discussions............................................15 4.1.Social welfare.......................................16 4.2.Relax the assumption of bailout......................17 4.3.Implication on systemic risk.........................19 5.Conclusion.............................................20 Appendix.................................................21 References...............................................24 | |
| dc.language.iso | en | |
| dc.subject | 保險公司 | zh_TW |
| dc.subject | 系統性風險 | zh_TW |
| dc.subject | 銀行避險 | zh_TW |
| dc.subject | 資本適足率 | zh_TW |
| dc.subject | 交易對手風險 | zh_TW |
| dc.subject | Bank hedge | en |
| dc.subject | Insurance company | en |
| dc.subject | Counterparty risk | en |
| dc.subject | Capital regulation | en |
| dc.subject | Systemic risk | en |
| dc.title | 系統性風險、銀行避險與自有資本管制之關係 | zh_TW |
| dc.title | Systemic Risk, Bank Hedge, and Capital Regulation | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 99-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 王仁宏,王泰昌 | |
| dc.subject.keyword | 系統性風險,銀行避險,資本適足率,交易對手風險,保險公司, | zh_TW |
| dc.subject.keyword | Systemic risk,Bank hedge,Capital regulation,Counterparty risk,Insurance company, | en |
| dc.relation.page | 25 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2011-01-26 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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