• 作者： 陳勝源
• 作者服務機構： Graduate Institute of Finance, Ming Chuan University Taipei, Taiwan, R.O.C.
• 中文摘要： Merton (1978), Kane (1986) and Kaufman (1992) all pointed that the regulator, under the flat premium system, would forbear failing bank while taking the monitoring cost and the society stability into considerations. From the viewpoint of the agency theory, this research intends to amend Allen and Saunders'(1993) callable perpetual American put option model and concludes as follows 1. The riskfree rate and the bank asset risk have an influence on the regulator closure policy, which is a kind of risk-based policy. In addition, the insured bank's self-closure point is also affected by the regulator closure policy. 2. Given the conditions of flat premium, fixed interest rate, and closure policy, if the risk of the insured institutions' assets increases, the capital adequacy ratio requirements from the regulator should be increased accordingly and its amplitude is increasing. When the bank's risk exceeds a critical level, the regulator must tighten the closure policy moderately. The closure policy is one of the important financial supervisory auxiliary tools. 3. When the insured bank's risk is low, the regulator is aimed at blocking the incentive of risk-taking for the insured bank; therefore, the requirements of capital adequacy is important. On the contrary, when the insured bank face the worse operating environment, it is better to apply the capital forbearance to settle the incentive conflicts on both sides. 4. Under the behavior of bank's moral hazard, the prevailing rate may not be enough to offset the potential losses of the insurer. On the other hands, the problems of the moral hazard of the insured commercial banks are not much serious than the uninsured banks.
• 英文摘要： Merton (1978)，Kane (1986) 與 Kaufman (1992) 均曾指出，單一費率制度下，基於監督成本與社會安定因素雙重考量，主管機關會寬容瀕臨倒閉的銀行。本研究由代理理論觀點，考量主管機關的寬容政策，認為存保賣權履約價應反映主管機關的停業政策而調整，故嘗試修正 Allen 與 Saunders (1993) 的美式可贖回永續賣權評價模式，並獲致以下的結論：1. 有關停業政策方面：主管機關停業政策受無風險利率、銀行資產報酬風險影響，為一種風險性停業政策；而要保機構的自動停業點則另受主管機關停業政策影響。2. 有關資本比率方面：在單一費率、利率固定、停業政策既定的條件下，要保機構資產風險若是增加，主管機關的資本適足比率要求應同向提高，且提高幅度遞增，而停業政策為重要的金融監理輔助工具。3. 在政策工具的關連性與適用時機方面：當要保銀行營運風險不高時，主管機關對要保機構管制旨在遏止其追逐風險的動機，故此時資本比率要求是有其重要性；相反地，在要保機關在面臨惡劣的經營環境時，則必須改以調適雙方誘因衝突的資本寬容為佳。4. 道德危機方面：主管機關所面對「道德危機」的潛在存保成本，高於現行費率，因而現行費率可能不足以抵銷「道德危機」下潛在損失。另外，入保商業銀行的道德危機問題並不會比未入保之銀行嚴重。
• 中文關鍵字： deposit insurance; closure policy; capital adequacy; capital forbearance; option pricing model
• 英文關鍵字： 存款保險；停業政策；資本寬容；資本適足性；選擇權評價模式