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 equity risk under bailout programs of loan guarantee and/or equity capital injection
學年102
學期2
出版(發表)日期2014/05/01
作品名稱Bank equity risk under bailout programs of loan guarantee and/or equity capital injection
作品名稱(其他語言)
著者Lin, Jyh-Horng; Tsai, Jeng-Yan; Huan, Wei-Ming
單位
出版者
著錄名稱、卷期、頁數International Review of Economics & Finance 31, pp.263-274
摘要We analyze the implication of a bailout package including a loan guarantee and a direct equity capital injection on the equity risk of a distressed bank at the taxpayer costs. The lending function with a loan guarantee of the bank creates the need to model equity as a down-and-out call (DOC) option with a capital injection due to the bank in distress. We provide validation of the DOC model by showing that the values of down-and-out call at various levels of bailout are economically significant for the distressed bank. We show that a loan guarantee, a capital injection, or a combination of the two tends to be successful in improving bank equity return. From an equity-return perspective, the bank prefers the combined package to either the solo bailout. Alternatively, from an equity-risk perspective, the government (and thus the taxpayers) prefers either the solo bailout to the combined package. The results may cast doubt on the effectiveness of the combined rescue program to simultaneously exert equity return-increasing and equity risk-reducing effects on the distressed bank.
關鍵字Bank interest margin;Equity risk;Loan guarantee;Direct equity capital injection
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
審稿制度
國別荷蘭
公開徵稿
出版型式,紙本
相關連結
Google+ 推薦功能,讓全世界都能看到您的推薦!