教師資料查詢 | 類別: 期刊論文 | 教師: 林志娟 LIN JYH-JIUAN (瀏覽個人網頁)

標題:Global Diversification,Hedging Diversification,and Default Risk in Bank Equity: An Option-Pricing Model
學年98
學期1
出版(發表)日期2009/11/01
作品名稱Global Diversification,Hedging Diversification,and Default Risk in Bank Equity: An Option-Pricing Model
作品名稱(其他語言)
著者Lin, Jyh-Horng; Lin, Jyh-Jiuan; Jou, Rosemary
單位淡江大學統計學系
出版者Athens: World Scientific and Engineering Academy and Society (W S E A S)
著錄名稱、卷期、頁數WSEAS Transactions on Mathematics 11(8), pp.667-678
摘要Many banks diversify their operations, either across different national markets (global diversification), across different borrowers by offsetting credit risks (hedging diversification), or both. Can multiple diversifications provide greater safety for banks? This paper aims to answer this question by using an option-based pricing model to formulate the default risk in bank equity returns under global and hedging diversifications. In particular, we apply Vassalou and Xing’s (2004) formula, which is a nonlinear option-based function of the default probability of an individual bank’s equity return. This formula is calculated using the contingent claim methodology of Black and Scholes (1973) and Merton (1974). We find that the extent of global diversification may provide greater safety for banks, but also that the extent of hedging diversification may not.
關鍵字Default Risk;International Lending Diversification;Loan Portfolio Swap
語言英文
ISSN1109-2769; 2224-2880
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
國別希臘
公開徵稿
出版型式紙本
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