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:A barrier option framework for bank interest margin management under anticipatory regret aversion
學年101
學期2
出版(發表)日期2013/07/01
作品名稱A barrier option framework for bank interest margin management under anticipatory regret aversion
作品名稱(其他語言)
著者Lin, Jyh-Horng; Hung, Wei-Ming
單位淡江大學國際企業學系
出版者Amsterdam: Elsevier BV
著錄名稱、卷期、頁數Economic Modelling 33, pp.794-801
摘要This paper proposes a framework for bank equity valuation based on a path-dependent, barrier option model. A direct implication of this framework is that bank equity will be priced as a down-and-out call option. Using this approach, we examine how bank interest margin, i.e., the spread between the loan rate and the deposit rate, is determined when a bank is regret-averse. Regret-averse preferences are characterized by a down-and-in call, which is specified as the difference between a standard call and a down-and-out call. The model demonstrates how anticipatory regret aversion and the default barrier jointly determine an optimal bank interest margin decision. We find that a bank interest margin with a low level of default barrier is negatively related to anticipatory regret aversion and to the default barrier. Regret aversion and default barriers make a bank less prudent and more prone to risk-taking, thereby adversely affecting the stability of the banking system.
關鍵字Bank interest margin; Regret aversion;Barrier option; Bank equity valuation
語言英文
ISSN0264-9993
期刊性質國外
收錄於SSCI;A&HCI
產學合作
通訊作者
審稿制度
國別荷蘭
公開徵稿
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