教師資料查詢 | 類別: 期刊論文 | 教師: 蔡政言 Tsai Jeng-yan (瀏覽個人網頁)

標題:Bank Capital Regulation in a Cap Option Framework
學年101
學期1
出版(發表)日期2013/01/01
作品名稱Bank Capital Regulation in a Cap Option Framework
作品名稱(其他語言)
著者Tsai, Jeng-Yan; Hung, Wei-Ming
單位淡江大學國際企業學系
出版者Amsterdam: Elsevier BV * North-Holland
著錄名稱、卷期、頁數International Review of Economics & Finance 25, pp.66–74
摘要Synergy-banking management under capital regulation is done through a gluing together of lending and deposit-taking. Under this viewpoint, we argue that the cap options theory of corporate security valuation can be applied to the contingent claims of the synergy-banking firm. The equity holders of the bank own a cap option on the bank equity return which can be considered against their expected investment opportunity costs captured by the cap rates. We show that an increase in the cap rate increases the risky loans held by the bank at a lower interest margin, and then increases the equity risk and the default risk of equity. An increase in the capital-to-deposits ratio decreases the risky loans held by the bank at an increased margin, and decreases the bank's equity risk and the default probability in the bank's equity. Capital regulation as such makes the bank more prudent and less prone to risk-taking, thereby contributing to the stability of the banking system. Our findings may support increased capital requirements in the spirit of the Dodd–Frank Act of the Basel Accord (Eubanks, 2010).
關鍵字Cap options;Capital regulation;Bank interest margin;Equity volatility;Default risk
語言英文
ISSN1059-0560
期刊性質國外
收錄於SSCI;
產學合作
通訊作者Tsai, Jeng-Yan (tsaijy@mail.tku.edu.tw)
審稿制度
國別荷蘭
公開徵稿
出版型式,電子版,紙本
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