期刊論文
| 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 | en |
| 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 | GRC |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/69196 ) |