期刊論文

標題 Bank Lending with Capped Credit Risk, Hedging Efficiency, and Government Capital Injection
學年 105
學期 1
出版(發表)日期 2016/09/01
作品名稱 Bank Lending with Capped Credit Risk, Hedging Efficiency, and Government Capital Injection
作品名稱(其他語言) 英文
著者 Jyh-Jiuan Lin; Shi Chen; Rosemary Jou
單位
出版者
著錄名稱、卷期、頁數 International Journal of IInformation and Management Sciences 27(3), p.217-235
摘要 This paper examines bank efficiency gain/loss from loan swap diversification under gov- ernment capital injection when the borrowing firm’s risk exposure in the product market is explicitly considered. The lending function of the bank creates specific risk characteristics of the borrowing firm and the necessity to model the equity of the bank as a capped call option. Using a contingent claim model of a bank-borrowing firm structure with capped call valuation, we find that loan swap diversification leads to higher efficiency gain for the bank. We also show that the bank increases interest margin, decreases equity risk, and increases efficiency gain as a reaction to an increase in the government’s capital injection. Bank effi- ciency which ignores the capped credit risk from the borrowing firm leads to loss from loan swap diversification. In the case where the cap is ignored, an increase in the government’s capital injection increases bank efficiency loss.
關鍵字 Bank efficiency;government capital injection;capped call option;bank inter- est margin
語言 英文
ISSN 1017-1819
期刊性質 國內
收錄於 TSSCI;EI;
產學合作
通訊作者
審稿制度
國別 中華民國
公開徵稿
出版型式 ,電子版