關鍵字查詢 | 類別:期刊論文 | | 關鍵字:Optimal Bank Interest Margin Under Capital Regulation

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序號 學年期 教師動態
1 107/2 國企系 林志鴻 教授 期刊論文 發佈 Optimal Bank Interest Margin Under Capital Regulation: Regret Aversion and Shadow Banking , [107-2] :Optimal Bank Interest Margin Under Capital Regulation: Regret Aversion and Shadow Banking期刊論文Optimal Bank Interest Margin Under Capital Regulation: Regret Aversion and Shadow BankingXuelian Li; Jyh-Horng Lin; Fu-Wei HuangRegret;shadow banking;bank interest margin;capital regulationInternational Journal of Information and Management Sciences 30(2), p.169 - 184This paper takes a contingent claim approach to the market valuation of a banking firm's equity. A model is presented that explicitly takes into account the following: (i) the bank is regret-averse; (ii) the earning-asset portfolio of the bank includes regular banking loans, default-free liquid assets, and shadow banking wealth management products; and (iii) imposing heightened capital requirements on the bank emerges. We argue that it may not be regretful for the bank to conduct the WMPs, implying that these activities have been increasing over time. Increases in WMPs or capital requirements decrease the bank interest margin, whic
2 101/2 國企系 蔡政言 教授 期刊論文 發佈 Optimal bank interest margins under capital regulation in a call-option utility framework , [101-2] :Optimal bank interest margins under capital regulation in a call-option utility framework期刊論文Optimal bank interest margins under capital regulation in a call-option utility framework蔡政言; Tsai, Jeng-Yan淡江大學國際企業學系Call-option utility maximization;Call-option equity maximization;Bank interest margins;Capital regulationAmsterdam: Elsevier BV * North-HollandEconomic Modelling 31, pp.557-565This paper examines the optimal bank interest margin under capital regulation when the bank's preference admits an additive call-option representation including both the like of higher equity return and the dislike of higher equity risk. In the call-option utility maximization, an increase in the capital requirement results in an increased amount of loans held by a bank at a reduced margin when loan quality is in distress. We also show that the impact on the bank interest margin from an increase in the capital requirement which ignores the dislike, that we call such behavior call-option equity maximization
3 101/1 國企系 蔡政言 教授 期刊論文 發佈 Risk and Regret Aversions on Optimal Bank Interest Margin under Capital Regulation , [101-1] :Risk and Regret Aversions on Optimal Bank Interest Margin under Capital Regulation期刊論文Risk and Regret Aversions on Optimal Bank Interest Margin under Capital RegulationTsai, Jeng-Yan淡江大學國際企業學系Interest margin;Capital regulation;Regret aversion;Risk aversionAmsterdam: Elsevier BV * North-HollandEconomic Modelling 29(6), pp.2190–2197This paper examines the bank's optimal loan rate (and thus the bank's interest margin) under more stringent capital regulation when the bank is not only risk-averse but also regret-averse. Risk-averse preferences are characterized by an option-based utility function that includes disutility from the dislike of bank equity risk. Regret-averse preferences feature an option-based utility function that includes disutility from having chosen ex-post suboptimal alternatives. We show that an increase in bank capital requirement results in an increased margin under risk aversion dominating regret aversion, whereas it results in a reduced margin under regret aversion d
4 101/1 國企系 蔡政言 教授 期刊論文 發佈 Optimal Bank Interest Margin under Capital Regulation: Equity Return Maximization V.S. Equity Risk Minimization , [101-1] :Optimal Bank Interest Margin under Capital Regulation: Equity Return Maximization V.S. Equity Risk Minimization期刊論文Optimal Bank Interest Margin under Capital Regulation: Equity Return Maximization V.S. Equity Risk MinimizationTsai, Jeng-Yan; Hung, Wei-Ming; Jou, Resomary淡江大學國際企業學系;2013011819:55 verified by SujenBank interest margin;capital regulation;equity return maximization;equity risk minimizationNew Yourk: Academic Journals Inc.African Journal of Business Management 6(44), pp.10791-10798This paper examines the effects of capital regulation on the optimal bank interest margin with two related bank objectives of option-based equity return maximization and equity risk minimization. We find that an increase in the capital-to-deposits ratio decreases the optimal interest margin under the equity return maximization, but increases the margin under the equity risk minimization. The proposed Basel system as such enables the bank to be more prone to loan risk when the objective is the
5 89/2 國企系 林志鴻 教授 期刊論文 發佈 Optimal bank interest margin under capital regulation and deposit insurance : A contingent claim analysis , [89-2] :Optimal bank interest margin under capital regulation and deposit insurance : A contingent claim analysis期刊論文Optimal bank interest margin under capital regulation and deposit insurance : A contingent claim analysis林志鴻; Lin, Jyh-horng; 鄧玉英; Teng, Yu-ying淡江大學國際貿易學系暨國際企業研究所JAI PressAdvances in quantitative analysis of finance and accounting 9, pp.229-247tku_id: 000077224; 000103095;Submitted by 曉芬 游 (139570@mail.tku.edu.tw) on 2011-10-22T15:55:45Z No. of bitstreams: 0;Made available in DSpace on 2011-10-22T15:55:46Z (GMT). No. of bitstreams: 0en1061-8910國外SSCI<links><record><name>機構典藏連結</name><url>http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/67463</url></record></links>
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