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:A Structure-Break Barrier Option Model of Optimal Bank Interest Margin in a Debt Crisis
學年100
學期1
出版(發表)日期2012/01/01
作品名稱A Structure-Break Barrier Option Model of Optimal Bank Interest Margin in a Debt Crisis
作品名稱(其他語言)
著者Tsai, Jeng-Yan; Hung, Wei-Ming; Jou, Rosemary
單位淡江大學國際企業學系
出版者Kumamoto: ICIC International
著錄名稱、卷期、頁數ICIC Express Letters 6(9), pp.2289-2293
摘要This paper examines the optimal bank interest margin, the spread between the loan rate and the deposit rate of a bank, due to a debt crisis, sovereign debt in the bank's earning-asset portfolio is no longer safe. Under capital regulation, the bank's equity function is characterized by a down-and-out call option, with a structural break in volatility indicating a debt crisis. This research shows that the bank's interest margin is positively related to the structural break in volatility, and to the capital requirement.
關鍵字
語言英文(美國)
ISSN1881-803X
期刊性質國外
收錄於EI;
產學合作
通訊作者蔡政言 (tsaijy@mail.tku.edu.tw)
審稿制度
國別日本
公開徵稿
出版型式,電子版,紙本
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