期刊論文

標題 Optimal bank loan rate and default risk in equity return under capital regulation and deposit insurance
學年 93
學期 1
出版(發表)日期 2005/01/01
作品名稱 Optimal bank loan rate and default risk in equity return under capital regulation and deposit insurance
作品名稱(其他語言)
著者 Pao, Shih-heng; Yi, Min-li; Lin, Jyh-horng
單位 淡江大學國際貿易學系暨國際企業研究所
出版者 New Delhi: TARU Publications
著錄名稱、卷期、頁數 Journal of Statistics & Management Systems 8(3), pp.587-600
摘要 This is a study that uses Merton’s (1974) option pricing model to value default measures for a bank and assess the effects of regulatory parameters on the bank’s equity return and default risk. We find that an increase in the capital-to-deposits ratio or in the deposit insurance premium results in a reduced the bank’s interest margin (and thus the bank’s equity return) under the negative elasticity effect. An increase in either regulatory parameter has a positive effect on the default risk in the bank’s equity return. Our findings provide alternative explanations for the theoretical argument concerning the bank interest margin and default risk in equity return under regulations.
關鍵字
語言 英文
ISSN 0972-0510
期刊性質 國外
收錄於
產學合作
通訊作者
審稿制度
國別 印度
公開徵稿
出版型式 紙本