Credit Risk Hedging, Deposit Insurance Fund Protection, and Default Risk in Retail Banking during a Financial Crisis

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題名:	Credit Risk Hedging, Deposit Insurance Fund Protection, and Default Risk in Retail Banking during a Financial Crisis
作者:	Shi Chen;Lin, Ku-Jun
貢獻者:	School of Economics, Southwestern University of Finance and Economics;淡江大學會計學系
關鍵詞:	Credit risk hedging;deposit insurance fund;spread behavior;default risk;barrier
日期:	2015-02-03
上傳時間:	2015-03-23 12:27:25 (UTC+8)
出版者:	Toronto: Sciedu Press
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.
關聯:	Research in World Economy 6(1), pp.118-132
DOI:	10.5430/rwe.v6n1p118
顯示於類別:	[會計學系暨研究所] 期刊論文

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