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:Credit Risk Hedging, Deposit Insurance Fund Protection, and Default Risk in Retail Banking during a Financial Crisis
學年103
學期2
出版(發表)日期2015/02/03
作品名稱Credit Risk Hedging, Deposit Insurance Fund Protection, and Default Risk in Retail Banking during a Financial Crisis
作品名稱(其他語言)
著者Shi Chen; Lin, Ku-Jun
單位School of Economics, Southwestern University of Finance and Economics; 淡江大學會計學系
出版者Toronto: Sciedu Press
著錄名稱、卷期、頁數Research in World Economy 6(1), pp.118-132
摘要The barrier options theory of corporate security valuation is applied to the contingent claims of a regulated bank. The regulator/insurer of the bank owns a down-and-in call option on the bank’s assets which can be balanced against the expected coverage cost. This paper examines how the bank’s credit risk hedging operation affects its spread behavior and performance and how these effects vary at various levels of the regulatory insurance fund protection. We find that an increase in the bank’s credit risk hedging has a negative effect on its loan rate, deposit rate, default risk, and liability value. The regulatory deposit insurance fund protection reinforces the reduction in bank default risk, thereby contributing to the stability of the banking system. The insurance fund protection with credit risk hedging confirms the requirement of the Dodd-Frank Wall Street Reform and Consumer Protection Act.
關鍵字
語言英文
ISSN1923-3981;1923-399X
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,紙本
相關連結
Google+ 推薦功能,讓全世界都能看到您的推薦!