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:An Option-Based Pricing Model to Determine Optimal Bank Interest Margins with Hidden Actions under Deposit Insurance Schemes
學年93
學期2
出版(發表)日期2005/03/01
作品名稱An Option-Based Pricing Model to Determine Optimal Bank Interest Margins with Hidden Actions under Deposit Insurance Schemes
作品名稱(其他語言)
著者Yi, Min-Li; Lin, Jyh-horng
單位淡江大學國際貿易學系
出版者International journal of management
著錄名稱、卷期、頁數International Journal of Management 22(1), pp.71-78
摘要This paper develops an option-based pricing model to study the optimal bank interest margin determination with hidden action under deposit insurance. This model shows that the optimal bank interest margin reacts negatively to an increase in the deposit insurance premium, and the bank, given a constant risk-adjusted deposit insurance has an incentive to gamble for resurrection when the bank operates on a relatively less elastic portion of its loan demand curve. The findings demonstrate the important links between optimal interest margins and market discipline.
關鍵字Studies; Put & call options; Prices; Deposit insurance; Insurance premiums; Economic models; Banks
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ISSN0813-0183
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