期刊論文
| 學年 | 101 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2013-01-01 |
| 作品名稱 | Bank Interest Margin and Default Risk under the Capped Schedule for Government Capital Injections in the Basel III Capital Adequacy Accord |
| 作品名稱（其他語言） | |
| 著者 | Chang, Chuen-Ping; Tsai, Jeng-Yan |
| 單位 | 淡江大學國際企業學系 |
| 出版者 | Athens: International Scientific Press |
| 著錄名稱、卷期、頁數 | Journal of Applied Finance & Banking 3(1), pp.161-175 |
| 摘要 | The Basel III Capital Adequacy Accord (BCAA) will cap government capital injections as qualifying capital at 90% of the nominal amount of such capital outstanding, beginning in 2013, and the cap will decline by 10% during each subsequent year (Eubanks, 2010); this cap is called a capped ratio schedule of government capital instruments. We add to the literature on government capital injections by providing an option-based illustration of how the capped ratio schedule can influence bank interest margins and failure probability. We show that a declining capped ratio increases a bank’s volume of lending at a reduced margin and further increases its default risk. The capped ratio schedule as such makes the bank less prudent and more prone to risk-taking, thereby adversely affecting the stability of the banking system. Our findings provide alternative explanations for criticisms of BCAA. |
| 關鍵字 | Basel III;Government capital injection;Bank interest margin;Failure probability |
| 語言 | en |
| ISSN | 1792-6580 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | Chang, C. P. |
| 審稿制度 | 是 |
| 國別 | GRC |
| 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/987654321/80739 ) |