| Credit risk Based on Firm Conduct - Performance and Bank Lending Decisions: A Capped Call Approach | |
|---|---|
| 學年 | 101 |
| 學期 | 1 |
| 出版（發表）日期 | 2012-08-01 |
| 作品名稱 | Credit risk Based on Firm Conduct - Performance and Bank Lending Decisions: A Capped Call Approach |
| 作品名稱（其他語言） | |
| 著者 | Tsai, Jeng-Yan; Chang, Chuen-Ping |
| 單位 | 淡江大學國際企業學系 |
| 出版者 | Journal of Applied Finance and Banking Herts: Scienpress Ltd |
| 著錄名稱、卷期、頁數 | Journal of Applied Finance & Banking 2(4), pp.69-84 |
| 摘要 | This paper models loan rate-setting behavior, taking into account the product pricing and performance of the borrowing firm, and also calculates the bank’s loan-risk sensitive equity values. The lending function creates the need to model bank equity as a capped call option, which captures the credit risk directly related to management of a firm’s operations. When the product price set by the borrowing firm is relatively high and the loan rate set by the bank is relatively low, a rise in the product price increases the loan amount at a reduced margin. A capped call as such makes the bank less prudent and more prone to risk-taking, thereby adversely affecting the stability of the banking system. We also show that the market-based estimates of bank equity, which ignore the cap, lead to significant overestimation. |
| 關鍵字 | Pricing;Credit risk;Firm conduct-performance;Bank lending;Capped call |
| 語言 | en |
| ISSN | 1792-6599 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | 蔡政言 (tsaijy@mail.tku.edu.tw) |
| 審稿制度 | 是 |
| 國別 | GRC |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/79689 ) |
GoogleAnalytics