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 call option framework for loan swap hedging under government capital injection
學年104
學期1
出版(發表)日期2015/12/30
作品名稱A call option framework for loan swap hedging under government capital injection
作品名稱(其他語言)
著者Chen, Shi; Lin, Ku-Jun; Li, Xuelian
單位
出版者
著錄名稱、卷期、頁數International Journal of Innovative Computing, Information and Control 11(6), pp.1931-1946
摘要The call options theory of corporate security valuation is applied to the contingent claims of a bank conducting loan portfolio hedging diversification under government capital injection. We find that diversification is not guaranteed to produce efficiency
gain. It is shown that hedging diversification transaction leads to superior equity return performance and greater safety for the bank; however, it results in increasing the efficiency loss from diversification. While we show that government capital injection helps increase bank equity return and decrease equity risk, we document detrimental effects on the efficiency loss from diversification. From a normative standpoint, our results suggest that the bailout program of government capital injection creates an incentive for banks to pursue hedging management strategies.
關鍵字Hedging;Bank interest margin;Bank equity risk;Government capital injection;Efficiency
語言英文
ISSN1349-4198
期刊性質國外
收錄於EI;
產學合作
通訊作者Ku-Jun Lin
審稿制度
國別日本
公開徵稿
出版型式,電子版,紙本
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