Bank Interest Margin and Default Risk under the Capped Schedule for Government Capital Injections in the Basel III Capital Adequacy Accord
學年 101
學期 1
出版（發表）日期 2013-01-01
作品名稱 Bank Interest Margin and Default Risk under the Capped Schedule for Government Capital Injections in the Basel III Capital Adequacy Accord
作品名稱（其他語言）
著者 Chang, Chuen-Ping; Tsai, Jeng-Yan
單位 淡江大學國際企業學系
出版者 Athens: International Scientific Press
著錄名稱、卷期、頁數 Journal of Applied Finance & Banking 3(1), pp.161-175
摘要 The Basel III Capital Adequacy Accord (BCAA) will cap government capital injections as qualifying capital at 90% of the nominal amount of such capital outstanding, beginning in 2013, and the cap will decline by 10% during each subsequent year (Eubanks, 2010); this cap is called a capped ratio schedule of government capital instruments. We add to the literature on government capital injections by providing an option-based illustration of how the capped ratio schedule can influence bank interest margins and failure probability. We show that a declining capped ratio increases a bank’s volume of lending at a reduced margin and further increases its default risk. The capped ratio schedule as such makes the bank less prudent and more prone to risk-taking, thereby adversely affecting the stability of the banking system. Our findings provide alternative explanations for criticisms of BCAA.
關鍵字 Basel III;Government capital injection;Bank interest margin;Failure probability
語言 en
ISSN 1792-6580
期刊性質 國外
收錄於
產學合作
通訊作者 Chang, C. P.
審稿制度 是
國別 GRC
公開徵稿
出版型式 ,紙本
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