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    題名: Effects of government capital injection on bank and bank-dependent borrower
    作者: Chen, Shi;Lin, Ku-Jun
    關鍵詞: Government capital injection;Default risk;Barrier option
    日期: 2016-01-01
    上傳時間: 2016-04-22 13:44:27 (UTC+8)
    摘要: We examine the impacts on bank interest margin, bank default risk, and bank-dependent borrower default risk from changes in the bailout program of government capital injections. This paper focuses on the capped credit risk, the risk of default related to borrower health states. We show that government capital injection helps to reduce default risk for the bank, but indirectly increases the default risk for the borrowing firm. Government capital injection is more likely to produce greater safety for the bank when the borrowing firm is in a distressed situation (e.g., a high-risk and low-return one). The capital effect on bank safety is underestimated when the capped credit
    risk is ignored. We conclude that a government capital injection program stabilizes the bank, but deteriorates the borrowing firm.
    關聯: Economic Modeling 52 Part B, pp.618-629
    DOI: 10.1016/j.econmod.2015.10.006
    顯示於類別:[會計學系暨研究所] 期刊論文

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