期刊論文
| 學年 | 102 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2014-02-01 |
| 作品名稱 | Bank Spread Behavior and Default Risk in Response to Capital Regulation in Merton, Black and Black-Merton Structural Frameworks |
| 作品名稱（其他語言） | |
| 著者 | Lin, Jyh Jiuan; Jou, Rosemary; Chang, Ching-Hui; Hung, Wei Ming |
| 單位 | 淡江大學統計學系 |
| 出版者 | Kumamoto: I C I C International |
| 著錄名稱、卷期、頁數 | International Journal of Innovative Computing, Information and Control 10(1), pp.211–231 |
| 摘要 | This paper examines the relationship between capital regulation and default risk prediction with the bank interest margin determination under the standard Merton-type and Black-type structural models. The former can be identified as a narrow banking framework while the latter can be identified as a synergy banking framework. In addition, we also introduce a Black-Merton-type structural model in a non-exclusive, narrow-synergy framework. We compare the three structural models for their default prediction capabilities under capital regulation. We nd a consistent result from these three models: higher capital requirements lead to lower default risks in the bank's equity return. The ranking of the signicance effect on default risk is sorted in the following order: Merton-type, Black-Merton-type and Black-type one. This analysis provides important strategic and policy implications for bank managers and regulators. |
| 關鍵字 | Bank spread behavior; Default risk; Capital regulation; Call option; Cap Option |
| 語言 | en_US |
| ISSN | 1349-4198 |
| 期刊性質 | 國外 |
| 收錄於 | EI |
| 產學合作 | |
| 通訊作者 | Lin, Jyh Jiuan |
| 審稿制度 | 是 |
| 國別 | JPN |
| 公開徵稿 | |
| 出版型式 | 電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/98608 ) |