A call option framework for loan swap hedging under government capital injection
學年 104
學期 1
出版（發表）日期 2015-12-30
作品名稱 A call option framework for loan swap hedging under government capital injection
作品名稱（其他語言）
著者 Chen, Shi; Lin, Ku-Jun; Li, Xuelian
單位
出版者
著錄名稱、卷期、頁數 International Journal of Innovative Computing, Information and Control 11(6), pp.1931-1946
摘要 The call options theory of corporate security valuation is applied to the contingent claims of a bank conducting loan portfolio hedging diversification under government capital injection. We find that diversification is not guaranteed to produce efficiency gain. It is shown that hedging diversification transaction leads to superior equity return performance and greater safety for the bank; however, it results in increasing the efficiency loss from diversification. While we show that government capital injection helps increase bank equity return and decrease equity risk, we document detrimental effects on the efficiency loss from diversification. From a normative standpoint, our results suggest that the bailout program of government capital injection creates an incentive for banks to pursue hedging management strategies.
關鍵字 Hedging;Bank interest margin;Bank equity risk;Government capital injection;Efficiency
語言 en
ISSN 1349-4198
期刊性質 國外
收錄於 EI
產學合作
通訊作者 Ku-Jun Lin
審稿制度 否
國別 JPN
公開徵稿
出版型式 ,電子版,紙本
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