期刊論文

標題 Bank Spread Behavior and Default Risk in Response to Capital Regulation in Merton, Black and Black-Merton Structural Frameworks
學年 102
學期 2
出版(發表)日期 2014/02/01
作品名稱 Bank Spread Behavior and Default Risk in Response to Capital Regulation in Merton, Black and Black-Merton Structural Frameworks
作品名稱(其他語言)
著者 Lin, Jyh Jiuan; Jou, Rosemary; Chang, Ching-Hui; Hung, Wei Ming
單位 淡江大學統計學系
出版者 Kumamoto: I C I C International
著錄名稱、卷期、頁數 International Journal of Innovative Computing, Information and Control 10(1), pp.211–231
摘要 This paper examines the relationship between capital regulation and default risk prediction with the bank interest margin determination under the standard Merton-type and Black-type structural models. The former can be identified as a narrow banking framework while the latter can be identified as a synergy banking framework. In addition, we also introduce a Black-Merton-type structural model in a non-exclusive, narrow-synergy framework. We compare the three structural models for their default prediction capabilities under capital regulation. We nd a consistent result from these three models: higher capital requirements lead to lower default risks in the bank's equity return. The ranking of the signi cance effect on default risk is sorted in the following order: Merton-type, Black-Merton-type and Black-type one. This analysis provides important strategic and policy implications for bank managers and regulators.
關鍵字 Bank spread behavior; Default risk; Capital regulation; Call option; Cap Option
語言 英文(美國)
ISSN 1349-4198
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 日本
公開徵稿
出版型式 電子版;