教師資料查詢 | 類別: 期刊論文 | 教師: 林志鴻 Jyh-horng Lin (瀏覽個人網頁)

標題:A Structure-Break Option Framework for Bank Margin Valuation When Foreign-Denominated Loans Squeezing a Country
學年98
學期2
出版(發表)日期2010/02/01
作品名稱A Structure-Break Option Framework for Bank Margin Valuation When Foreign-Denominated Loans Squeezing a Country
作品名稱(其他語言)
著者Lin, Jyh-Horng; Chang, Ching-Hui; Jou, Rosemary
單位淡江大學國際貿易學系
出版者
著錄名稱、卷期、頁數WSEAS Transactions on Information Science and Applications 7(2), pp.196-206
摘要The banking industry is recently experiencing a renewed focus on retail banking, a trend often attributed to the stability and profitability of retail activities (Hirtle and Stiroh, 2007). This paper examines operations management in bank interest margin when foreign-denominated loans are squeezing a country as its currency falters. In a call-option model with fat-tail distribution framework where structural changes from exchange rate depreciated dramatically are the source of uncertainty (we call such changes bad events), exchange rates or bad events have direct effects on the bank's optimal interest margin. A depreciation in the domestic currency results in an increased interest margin. We conclude that retail banking may be a relatively shrinking lending activity but it is a high return one when an observed bad event from the domestic-currency depreciation is becoming worse.
關鍵字Bank Interest Margin; Retail Banking; Exchange Rate; Structural Change
語言英文
ISSN
期刊性質
收錄於EI
產學合作
通訊作者Chang, Ching-Hui
審稿制度
國別希臘
公開徵稿
出版型式紙本
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