教師資料查詢 | 類別: 期刊論文 | 教師: 林谷峻 Lin Ku-jun (瀏覽個人網頁)

標題:A Barrier Option Utility Framework for Bank Interest Margin under Government Bailout
學年103
學期1
出版(發表)日期2014/09/30
作品名稱A Barrier Option Utility Framework for Bank Interest Margin under Government Bailout
作品名稱(其他語言)
著者Lin, Ku-Jun; Jou, Rosemary; Lin, Tzu-Hao
單位淡江大學會計學系
出版者Toronto: Sciedu Press
著錄名稱、卷期、頁數International Journal of Financial Research 5(4), pp.144-154
摘要The barrier options theory of corporate security valuation is applied to the contingent claims of a distressed bank under a bailout program of distressed loan purchases. In particular, the bank acts as if it has a single utility function that positively weights equity returns like, but negatively weights bankruptcy dislike. We show that an increase in the amount of distressed loan purchases decreases the loan amount at an increased margin when buying distressed loan amount is high. Bailout as such makes the bank less prone to loan risk taking, thereby contributing the stability of the banking system. A numerical exercise shows that the market-based estimates of the expected utility of bank equity returns which ignore the weights (a standard down-and-out call option) or the dislike (a standard call option) lead to significant overestimation.
關鍵字barrier option; distressed asset purchases; bank interest margin; default risk
語言英文(美國)
ISSN1923-4023
期刊性質國外
收錄於
產學合作
通訊作者Lin, Ku-Jun
審稿制度
國別加拿大
公開徵稿
出版型式電子版
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