期刊論文

標題 Modeling Bank Interest Margin and Loan Quality under the Troubled Asset Relief Program: An Option-Pricing Approach
學年 99
學期 1
出版(發表)日期 2010/11/01
作品名稱 Modeling Bank Interest Margin and Loan Quality under the Troubled Asset Relief Program: An Option-Pricing Approach
作品名稱(其他語言)
著者 Lin, Jyh-horng; Lin Jyh-jiuan; Huang Pai-chou
單位 淡江大學國際企業學系; 淡江大學統計學系
出版者 Zographou: World Scientific and Engineering Academy and Society (W S E A S)
著錄名稱、卷期、頁數 WSEAS Transactions on Circuits and Systems 9(11), pp.689-699
摘要 The troubled assets on U.S. banks books could grow to as much as $5 trillion, one Goldman Sachs analyst estimates [10]. Will setting up the Troubled Asset Relief Program (TARP) be good move for bank loan quality? The answer is yes. In an option-pricing model where the bank book value of loans is above its market price, an increase in loan amount sold, exactly what the TARP is meant to target, increases the bank interest margin. The gap where carrying value is above market price is shrinking by decreasing the risky loans held by the bank and thus the bank loan portfolio quality is improved.
關鍵字 Troubled Asset Relief Program; Bank Interest Margin; Loan Quality
語言 英文
ISSN 1109-2734;2224-266X
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;電子版