淡江大學機構典藏:Item 987654321/108691
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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/108691


    Title: Bank Lending with Capped Credit Risk, Hedging Efficiency, and Government Capital Injection
    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

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