關鍵字查詢 | 類別:期刊論文 | | 關鍵字:Bank equity risk under bailout programs of loan guarantee and/or equity capital injection

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1 102/2 國企系 蔡政言 教授 期刊論文 發佈 Bank equity risk under bailout programs of loan guarantee and/or equity capital injection , [102-2] :Bank equity risk under bailout programs of loan guarantee and/or equity capital injection期刊論文Bank equity risk under bailout programs of loan guarantee and/or equity capital injectionLin, Jyh-Horng; Tsai, Jeng-Yan; Huan, Wei-MingBank interest margin;Equity risk;Loan guarantee;Direct equity capital injectionInternational Review of Economics & Finance 31, pp.263-274We analyze the implication of a bailout package including a loan guarantee and a direct equity capital injection on the equity risk of a distressed bank at the taxpayer costs. The lending function with a loan guarantee of the bank creates the need to model equity as a down-and-out call (DOC) option with a capital injection due to the bank in distress. We provide validation of the DOC model by showing that the values of down-and-out call at various levels of bailout are economically significant for the distressed bank. We show that a loan guarantee, a capital injection, or a combination of the two tends to be successful in impro
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