English  |  正體中文  |  简体中文  |  Items with full text/Total items : 55025/89277 (62%)
Visitors : 10606960      Online Users : 18
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/108691


    Title: Bank Lending with Capped Credit Risk, Hedging Efficiency, and Government Capital Injection
    Other Titles: 英文
    Authors: Jyh-Jiuan Lin;Shi Chen;Rosemary Jou
    Keywords: Bank efficiency;government capital injection;capped call option;bank inter- est margin
    Date: 2016-09-01
    Issue Date: 2016-12-03 02:10:50 (UTC+8)
    Publisher: 淡江大學管理科學學系
    Abstract: This paper examines bank efficiency gain/loss from loan swap diversification under gov-
    ernment capital injection when the borrowing firm’s risk exposure in the product market is
    explicitly considered. The lending function of the bank creates specific risk characteristics
    of the borrowing firm and the necessity to model the equity of the bank as a capped call
    option. Using a contingent claim model of a bank-borrowing firm structure with capped call
    valuation, we find that loan swap diversification leads to higher efficiency gain for the bank.
    We also show that the bank increases interest margin, decreases equity risk, and increases
    efficiency gain as a reaction to an increase in the government’s capital injection. Bank effi-
    ciency which ignores the capped credit risk from the borrowing firm leads to loss from loan
    swap diversification. In the case where the cap is ignored, an increase in the government’s
    capital injection increases bank efficiency loss.
    Relation: International Journal of IInformation and Management Sciences 27(3), p.217-235
    DOI: 10.6186/IJIMS.2016.27.3.1
    Appears in Collections:[Graduate Institute & Department of Statistics] Journal Article

    Files in This Item:

    File Description SizeFormat
    Bank Lending with Capped Credit Risk, Hedging Efficiency, and Government Capital Injection.pdf1110KbAdobe PDF0View/Open
    index.html0KbHTML164View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback