Credit Risk Hedging, Deposit Insurance Fund Protection, and Default Risk in Retail Banking during a Financial Crisis
學年 103
學期 2
出版（發表）日期 2015-02-03
作品名稱 Credit Risk Hedging, Deposit Insurance Fund Protection, and Default Risk in Retail Banking during a Financial Crisis
作品名稱（其他語言）
著者 Shi Chen; Lin, Ku-Jun
單位 School of Economics, Southwestern University of Finance and Economics; 淡江大學會計學系
出版者 Toronto: Sciedu Press
著錄名稱、卷期、頁數 Research in World Economy 6(1), pp.118-132
摘要 The barrier options theory of corporate security valuation is applied to the contingent claims of a regulated bank. The regulator/insurer of the bank owns a down-and-in call option on the bank’s assets which can be balanced against the expected coverage cost. This paper examines how the bank’s credit risk hedging operation affects its spread behavior and performance and how these effects vary at various levels of the regulatory insurance fund protection. We find that an increase in the bank’s credit risk hedging has a negative effect on its loan rate, deposit rate, default risk, and liability value. The regulatory deposit insurance fund protection reinforces the reduction in bank default risk, thereby contributing to the stability of the banking system. The insurance fund protection with credit risk hedging confirms the requirement of the Dodd-Frank Wall Street Reform and Consumer Protection Act.
關鍵字
語言 en
ISSN 1923-3981 1923-399X
期刊性質 國外
收錄於
產學合作
通訊作者 Lin, Ku-Jun
審稿制度 否
國別 CAN
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/987654321/101028 )

機構典藏連結
SDGS 優質教育