期刊論文
| 學年 | 105 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2016-09-01 |
| 作品名稱 | Bank Lending with Capped Credit Risk, Hedging Efficiency, and Government Capital Injection |
| 作品名稱（其他語言） | |
| 著者 | Jyh-Jiuan Lin; Shi Chen; Rosemary Jou |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | International Journal of IInformation and Management Sciences 27(3), p.217-235 |
| 摘要 | This paper examines bank efficiency gain/loss from loan swap diversification under gov- ernment capital injection when the borrowing firm’s risk exposure in the product market is explicitly considered. The lending function of the bank creates specific risk characteristics of the borrowing firm and the necessity to model the equity of the bank as a capped call option. Using a contingent claim model of a bank-borrowing firm structure with capped call valuation, we find that loan swap diversification leads to higher efficiency gain for the bank. We also show that the bank increases interest margin, decreases equity risk, and increases efficiency gain as a reaction to an increase in the government’s capital injection. Bank effi- ciency which ignores the capped credit risk from the borrowing firm leads to loss from loan swap diversification. In the case where the cap is ignored, an increase in the government’s capital injection increases bank efficiency loss. |
| 關鍵字 | Bank efficiency;government capital injection;capped call option;bank inter- est margin |
| 語言 | en |
| ISSN | 1017-1819 |
| 期刊性質 | 國內 |
| 收錄於 | TSSCI EI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | TWN |
| 公開徵稿 | |
| 出版型式 | ,電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/108691 ) |