期刊論文
| 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 | en |
| 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 | IND |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/24406 ) |