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:Partial State-Owned Bank Interest Margin, Default Risk, and Structural Breaks: A Model of Financial Engineering
學年98
學期1
出版(發表)日期2010/01/01
作品名稱Partial State-Owned Bank Interest Margin, Default Risk, and Structural Breaks: A Model of Financial Engineering
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 Mathematics 9(1), pp.42-55
摘要Recent reports demonstrate that the grip of nationalism is tightest in banking (Economist, 2009a), and in France and Britain, politicians powering taxpayers' money into ailing banks are demanding that the cash be lent at home (Economist, 2009b). This paper proposes a call option model for bank interest margin and default risk valuation based on an event-dependent, structural break framework under the return of banking nationalization. The primary feature is the existence of the discontinuity and fat tails of asset returns and risks caused by structural changes. We show that an increase in the structural breaks in mean return discontinuity and volatility fluctuation caused by the increasing degree of the bank's partial nationalization increases the bank's interest margin and default risk. We conclude that nationalization may be a high return-volatility structure break.
關鍵字Partial Nationalization; Structural Change; Retail Banking; Interest Margin
語言英文
ISSN1109-2769; 2224-2880
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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