教師資料查詢 | 類別: 期刊論文 | 教師: 林志娟 LIN JYH-JIUAN (瀏覽個人網頁)

標題:Bank Lending with Capped Credit Risk, Hedging Efficiency, and Government Capital Injection
學年105
學期1
出版(發表)日期2016/09/01
作品名稱Bank Lending with Capped Credit Risk, Hedging Efficiency, and Government Capital Injection
作品名稱(其他語言)英文
著者Jyh-Jiuan Lin; Shi Chen; Rosemary Jou
單位
出版者
著錄名稱、卷期、頁數International Journal of IInformation and Management Sciences 27(3), p.217-235
摘要This paper examines bank efficiency gain/loss from loan swap diversification under gov-
ernment capital injection when the borrowing firm’s risk exposure in the product market is
explicitly considered. The lending function of the bank creates specific risk characteristics
of the borrowing firm and the necessity to model the equity of the bank as a capped call
option. Using a contingent claim model of a bank-borrowing firm structure with capped call
valuation, we find that loan swap diversification leads to higher efficiency gain for the bank.
We also show that the bank increases interest margin, decreases equity risk, and increases
efficiency gain as a reaction to an increase in the government’s capital injection. Bank effi-
ciency which ignores the capped credit risk from the borrowing firm leads to loss from loan
swap diversification. In the case where the cap is ignored, an increase in the government’s
capital injection increases bank efficiency loss.
關鍵字Bank efficiency;government capital injection;capped call option;bank inter- est margin
語言英文
ISSN1017-1819
期刊性質國內
收錄於TSSCI;EI;
產學合作
通訊作者
審稿制度
國別中華民國
公開徵稿
出版型式,電子版
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