教師資料查詢 | 類別: 期刊論文 | 教師: 林志鴻 Jyh-horng Lin (瀏覽個人網頁)

標題:Optimal Bank Interest Margin Under Capital Regulation:
學年107
學期2
出版(發表)日期2019/03/20
作品名稱Optimal Bank Interest Margin Under Capital Regulation:
作品名稱(其他語言)
著者Xuelian Li; Jyh-Horng Lin; Fu-Wei Huang
單位
出版者
著錄名稱、卷期、頁數International Journal of Information and Management Sciences
摘要This paper takes a contingent claim approach to the market valuation of a banking
firm’s equity. A model is presented that explicitly takes into account the following: (i) the
bank is regret-averse; (ii) the earning-asset portfolio of the bank includes regular banking
loans, default-free liquid assets, and shadow banking wealth management products; and (iii)
imposing heightened capital requirements on the bank emerges. We argue that it may not
be regretful for the bank to conduct the WMPs, implying that these activities have been
increasing over time. Increases in WMPs or capital requirements decrease the bank interest
margin, which makes the bank more prone to loan risk-taking, thereby adversely affecting
banking stability.
關鍵字Regret;shadow banking;bank interest margin;capital regulation
語言英文
ISSN1017-1819
期刊性質國內
收錄於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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