期刊論文

標題 Global Diversification,Hedging Diversification,and Default Risk in Bank Equity: An Option-Pricing Model
學年 98
學期 1
出版(發表)日期 2009/11/01
作品名稱 Global Diversification,Hedging Diversification,and Default Risk in Bank Equity: An Option-Pricing Model
作品名稱(其他語言)
著者 Lin, Jyh-Horng; Lin, Jyh-Jiuan; Jou, Rosemary
單位 淡江大學統計學系
出版者 Athens: World Scientific and Engineering Academy and Society (W S E A S)
著錄名稱、卷期、頁數 WSEAS Transactions on Mathematics 11(8), pp.667-678
摘要 Many banks diversify their operations, either across different national markets (global diversification), across different borrowers by offsetting credit risks (hedging diversification), or both. Can multiple diversifications provide greater safety for banks? This paper aims to answer this question by using an option-based pricing model to formulate the default risk in bank equity returns under global and hedging diversifications. In particular, we apply Vassalou and Xing’s (2004) formula, which is a nonlinear option-based function of the default probability of an individual bank’s equity return. This formula is calculated using the contingent claim methodology of Black and Scholes (1973) and Merton (1974). We find that the extent of global diversification may provide greater safety for banks, but also that the extent of hedging diversification may not.
關鍵字 Default Risk;International Lending Diversification;Loan Portfolio Swap
語言 英文
ISSN 1109-2769; 2224-2880
期刊性質 國外
收錄於 EI
產學合作
通訊作者 Lin, Jyh-Jiuan
審稿制度
國別 希臘
公開徵稿
出版型式 紙本