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 en_US
ISSN 1923-4023
期刊性質 國外
收錄於
產學合作
通訊作者 Lin, Ku-Jun
審稿制度 是
國別 CAN
公開徵稿
出版型式 電子版
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