中山管理評論

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中山管理評論  2002/12

第10卷英文特刊  p.71-93


題目
Asset Reshuffling, Capital Infusion and Optimal Capital Requirements
Asset Reshuffling, Capital Infusion and Optimal Capital Requirements
(633498955263593750.pdf 615KB)

作者
Roger C. Y. Chen/國立高雄第一科技大學金融學系
Roger C. Y. Chen/

Department of Money and Banking, National Kaohsiung First University


摘要(中文)

(633498955262968750.pdf 27KB)

關鍵字(中文)


摘要(英文)

This paper examines the problem of defining and computing optimal capital requirements for insured banks. Such requirements are optimal when they make an arbitrarily fixed deposit insurance premium actuarially fair for each bank. Optimal capital requirements for insured banks are determined via the duality between the fair insurance premium and capital-to-deposit ratio. When a bank's initial capital position is not optimal, a capital infusion or an asset reshuffling is required to restore capital to the optimal level. The determination of the optimal capita1 infusion, considering different post-infusion asset reshuffling strategies, is also discussed. Numerical examples are developed to illustrate the properties of the model.

(633498955262968750.pdf 27KB)

關鍵字(英文)

Deposit Insurance, Capital Infusion, Asset Reshuffling, Capital Requirements


政策與管理意涵


參考文獻