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 Two-Stage Call-Put-Pricing Frameworkfor a "Bad Bank" Solution and Bank Profitability
學年98
學期1
出版(發表)日期2010/01/01
作品名稱A Two-Stage Call-Put-Pricing Frameworkfor a "Bad Bank" Solution and Bank Profitability
作品名稱(其他語言)
著者Jou, Rosemary; Lin, Jyh-Horng
單位淡江大學國際貿易學系
出版者
著錄名稱、卷期、頁數International Journal of Information and Management Sciences 21(2), pp.143-156
摘要With the growth in banking bailout programs has come a growing need to understand the potential effectiveness of these policies. In particular, a "bad bank" created by regulatory authorities uses funds to buy troubled loans from its selected banks and commits additional capital to them. This paper develops a two-stage call-put pricing framework that is used to study the selected bank's interest margin determination with the bad bank's help. We find that the selected bank's call option-based interest margin is positively related to its troubled loans bought by the bad bank, and to its equity capital inflow from the bad bank. We also show that the call-put option-based value of the bad bank's equity return increases with the selected bank's equity volatility.
關鍵字Bank Interest Margin;Troubled Loans;Capitalization;Call Option;Put Option
語言英文
ISSN
期刊性質國內
收錄於EI;
產學合作
通訊作者
審稿制度
國別中華民國
公開徵稿
出版型式,電子版,紙本
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