關鍵字查詢 | 類別:期刊論文 | | 關鍵字:An Option-pricing Model

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1 97/2 統計系 林志娟 教授 期刊論文 發佈 Rescue Plan, Bank Interest Margin and Future Promised Lending: An Option-pricing Model , [97-2] :Rescue Plan, Bank Interest Margin and Future Promised Lending: An Option-pricing Model期刊論文Rescue Plan, Bank Interest Margin and Future Promised Lending: An Option-pricing ModelLin, Jyh-Jiuan; Chang, Ching-Hui; Lin, Jyh-Horng淡江大學統計學系; 淡江大學國際貿易學系bank rescue plan;interest Margin;future lendingAthens: World Scientific and Engineering Academy and Society (W S E A S)WSEAS Transactions on Information Science and Applications 6(6), pp.956-965This paper examines a bank rescue plan for future lending. We demonstrate that an increase in the loans guaranteed by the government or in bank responsible for the first stake of any losses results in an increased interest margin. Eventually, the plan will be lifted when bank becomes healthy. The bank will keep its promise to increase its future lending at a reduced margin.tku_id:; 000077224; 000117604;Submitted by 曉芬 游 (139570@mail.tku.edu.tw) on 2011-10-22T15:56:29Z No. of bitstreams: 0;Made available in DSpace on 2011-10-22T15:56:29Z (GMT).
2 97/2 國企系 林志鴻 教授 期刊論文 發佈 Rescue Plan, Bank Interest Margin and Future Promised Lending: An Option-pricing Model , [97-2] :Rescue Plan, Bank Interest Margin and Future Promised Lending: An Option-pricing Model期刊論文Rescue Plan, Bank Interest Margin and Future Promised Lending: An Option-pricing ModelLin, Jyh-Jiuan; Chang, Ching-Hui; Lin, Jyh-Horng淡江大學統計學系; 淡江大學國際貿易學系bank rescue plan;interest Margin;future lendingAthens: World Scientific and Engineering Academy and Society (W S E A S)WSEAS Transactions on Information Science and Applications 6(6), pp.956-965This paper examines a bank rescue plan for future lending. We demonstrate that an increase in the loans guaranteed by the government or in bank responsible for the first stake of any losses results in an increased interest margin. Eventually, the plan will be lifted when bank becomes healthy. The bank will keep its promise to increase its future lending at a reduced margin.tku_id:; 000077224; 000117604;Submitted by 曉芬 游 (139570@mail.tku.edu.tw) on 2011-10-22T15:56:29Z No. of bitstreams: 0;Made available in DSpace on 2011-10-22T15:56:29Z (GMT).
3 99/1 統計系 林志娟 教授 期刊論文 發佈 Modeling Bank Interest Margin and Loan Quality under the Troubled Asset Relief Program: An Option-Pricing Approach , [99-1] :Modeling Bank Interest Margin and Loan Quality under the Troubled Asset Relief Program: An Option-Pricing Approach期刊論文Modeling Bank Interest Margin and Loan Quality under the Troubled Asset Relief Program: An Option-Pricing ApproachLin, Jyh-horng; Lin Jyh-jiuan; Huang Pai-chou淡江大學國際企業學系; 淡江大學統計學系Troubled Asset Relief Program; Bank Interest Margin; Loan QualityZographou: World Scientific and Engineering Academy and Society (W S E A S)WSEAS Transactions on Circuits and Systems 9(11), pp.689-699The troubled assets on U.S. banks books could grow to as much as $5 trillion, one Goldman Sachs analyst estimates [10]. Will setting up the Troubled Asset Relief Program (TARP) be good move for bank loan quality? The answer is yes. In an option-pricing model where the bank book value of loans is above its market price, an increase in loan amount sold, exactly what the TARP is meant to target, increases the bank interest margin. The gap where carrying value is above market price is shrinking by decr
4 99/1 國企系 林志鴻 教授 期刊論文 發佈 Modeling Bank Interest Margin and Loan Quality under the Troubled Asset Relief Program: An Option-Pricing Approach , [99-1] :Modeling Bank Interest Margin and Loan Quality under the Troubled Asset Relief Program: An Option-Pricing Approach期刊論文Modeling Bank Interest Margin and Loan Quality under the Troubled Asset Relief Program: An Option-Pricing ApproachLin, Jyh-horng; Lin Jyh-jiuan; Huang Pai-chou淡江大學國際企業學系; 淡江大學統計學系Troubled Asset Relief Program; Bank Interest Margin; Loan QualityZographou: World Scientific and Engineering Academy and Society (W S E A S)WSEAS Transactions on Circuits and Systems 9(11), pp.689-699The troubled assets on U.S. banks books could grow to as much as $5 trillion, one Goldman Sachs analyst estimates [10]. Will setting up the Troubled Asset Relief Program (TARP) be good move for bank loan quality? The answer is yes. In an option-pricing model where the bank book value of loans is above its market price, an increase in loan amount sold, exactly what the TARP is meant to target, increases the bank interest margin. The gap where carrying value is above market price is shrinking by decr
5 98/1 統計系 林志娟 教授 期刊論文 發佈 Global Diversification,Hedging Diversification,and Default Risk in Bank Equity: An Option-Pricing Model , [98-1] :Global Diversification,Hedging Diversification,and Default Risk in Bank Equity: An Option-Pricing Model期刊論文Global Diversification,Hedging Diversification,and Default Risk in Bank Equity: An Option-Pricing ModelLin, Jyh-Horng; Lin, Jyh-Jiuan; Jou, Rosemary淡江大學統計學系Default Risk;International Lending Diversification;Loan Portfolio SwapAthens: World Scientific and Engineering Academy and Society (W S E A S)WSEAS Transactions on Mathematics 11(8), pp.667-67899學年度林志娟研究獎補助論文Many banks diversify their operations, either across different national markets (global diversification), across different borrowers by offsetting credit risks (hedging diversification), or both. Can multiple diversifications provide greater safety for banks? This paper aims to answer this question by using an option-based pricing model to formulate the default risk in bank equity returns under global and hedging diversifications. In particular, we apply Vassalou and Xing’s (2004) formula, which is a nonlinear option-based
6 99/2 國企系 林志鴻 教授 期刊論文 發佈 The Effects of the Change of Bond Insurance Premium and Capital Regulatory Ratio on Loan and Deposit Rates: An Option-Pricing Model , [99-2] :The Effects of the Change of Bond Insurance Premium and Capital Regulatory Ratio on Loan and Deposit Rates: An Option-Pricing Model期刊論文The Effects of the Change of Bond Insurance Premium and Capital Regulatory Ratio on Loan and Deposit Rates: An Option-Pricing ModelPao, Shin-heng; Lin, Jyh-horng; Chang, Shu-hui淡江大學國際企業學系Municipal bond;Capital-to-deposit ratio;Interest margins;Bond insurance;Elasticity;optionZographou: World Scientific and Engineering Academy and Society (W S E A S)WSEAS Transactions on Mathematics 7(10), pp.219-228We propose an option-based model that examines the relationships among municipal bonds with prepackaged insurance, capital insurance, and optimal bank interest margins. If the elasticity effect is positive (negative), then an increase in the bond insurance premium will increase the bank's optimal loan rate (optimal deposit rate). If the elasticity effect is negative (positive), then an increase in the capital-to-deposit ratio will increase (decrease) the bank
7 97/2 統計系 林志娟 教授 期刊論文 發佈 The Effects of Sunshine-Induced Mood on Bank lending Decisions and Default Risk: An Option-Pricing Model , [97-2] :The Effects of Sunshine-Induced Mood on Bank lending Decisions and Default Risk: An Option-Pricing Model期刊論文The Effects of Sunshine-Induced Mood on Bank lending Decisions and Default Risk: An Option-Pricing Model林志娟; Lin, Jyh-Jiuan; 林志鴻; Lin, Jyh-horng; 周繼儒; Jou, Rosemary淡江大學統計學系; 淡江大學國際貿易學系; 淡江大學管理科學學系default risk; fat tails; sunny weather; upbeat moodAthens: World Scientific and Engineering Academy and Society (WSEAS)WSEAS Transactions on Information Science and Applications 6(6), pp.946-955Even though psychological evidence and casual intuition predict that weather may lead to changes in equity returns, little attention has been paid to these changes through asset pricing mechanisms. This paper fills this gap by examining the effects of sunny weather enhanced upbeat mood on bank spread management and default risk. An option-based model of bank spread behavior is developed to study these closely related phenomena. The model is designed to indicate the fat tails of loan repayments ca
8 97/2 統計系 林志娟 教授 期刊論文 發佈 Troubled Asset Relief Program, Bank Interest Margin and Default Risk in Equity Return: An Option-Pricing Model , [97-2] :Troubled Asset Relief Program, Bank Interest Margin and Default Risk in Equity Return: An Option-Pricing Model期刊論文Troubled Asset Relief Program, Bank Interest Margin and Default Risk in Equity Return: An Option-Pricing Model林志娟; Lin, Jyh-Jiuan; Chang, Ching-hui; 林志鴻; Lin, Jyh-horng淡江大學國際貿易學系default risk; interest margin; toxic loans; troubled asset relief programWorld Scientific and Engineering Academy and Society (WSEAS)WSEAS Transactions on Mathematics 8(3), pp.117-126Will banks be willing to sell their toxic loans with the help of the Troubled Asset Relief Program (TARP)? The answer is yes as long as bids are high enough to tempt banks to deal. With the TARP's help, an increase in the toxic loans sold to the government increases the bank's margin and decreases the bank's default probability in equity return when the bank encounters greater risk. This paper concludes that setting up the TARP for the 'bad bank' solution may be a good move for retail banking, resulting in high margin
9 97/2 法文系(夜) 林志鴻 講師 期刊論文 發佈 Troubled Asset Relief Program, Bank Interest Margin and Default Risk in Equity Return: An Option-Pricing Model , [97-2] :Troubled Asset Relief Program, Bank Interest Margin and Default Risk in Equity Return: An Option-Pricing Model期刊論文Troubled Asset Relief Program, Bank Interest Margin and Default Risk in Equity Return: An Option-Pricing Model林志娟; Lin, Jyh-Jiuan; Chang, Ching-hui; 林志鴻; Lin, Jyh-horng淡江大學國際貿易學系default risk; interest margin; toxic loans; troubled asset relief programWorld Scientific and Engineering Academy and Society (WSEAS)WSEAS Transactions on Mathematics 8(3), pp.117-126Will banks be willing to sell their toxic loans with the help of the Troubled Asset Relief Program (TARP)? The answer is yes as long as bids are high enough to tempt banks to deal. With the TARP's help, an increase in the toxic loans sold to the government increases the bank's margin and decreases the bank's default probability in equity return when the bank encounters greater risk. This paper concludes that setting up the TARP for the 'bad bank' solution may be a good move for retail banking, resulting in high margin
10 97/2 法文系(夜) 林志鴻 講師 期刊論文 發佈 The Effects of Sunshine-Induced Mood on Bank lending Decisions and Default Risk: An Option-Pricing Model , [97-2] :The Effects of Sunshine-Induced Mood on Bank lending Decisions and Default Risk: An Option-Pricing Model期刊論文The Effects of Sunshine-Induced Mood on Bank lending Decisions and Default Risk: An Option-Pricing Model林志娟; Lin, Jyh-Jiuan; 林志鴻; Lin, Jyh-horng; 周繼儒; Jou, Rosemary淡江大學統計學系; 淡江大學國際貿易學系; 淡江大學管理科學學系default risk; fat tails; sunny weather; upbeat moodAthens: World Scientific and Engineering Academy and Society (WSEAS)WSEAS Transactions on Information Science and Applications 6(6), pp.946-955Even though psychological evidence and casual intuition predict that weather may lead to changes in equity returns, little attention has been paid to these changes through asset pricing mechanisms. This paper fills this gap by examining the effects of sunny weather enhanced upbeat mood on bank spread management and default risk. An option-based model of bank spread behavior is developed to study these closely related phenomena. The model is designed to indicate the fat tails of loan repayments ca
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