An Option-Based Pricing Model to Determine Optimal Bank Interest Margins with Hidden Actions under Deposit Insurance Schemes

淡江大學機構典藏 > 商管學院 > 國際企業學系暨研究所 > 期刊論文 > Item 987654321/19564

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题名:	An Option-Based Pricing Model to Determine Optimal Bank Interest Margins with Hidden Actions under Deposit Insurance Schemes
作者:	Yi, Min-Li;Lin, Jyh-horng
贡献者:	淡江大學國際貿易學系
关键词:	Studies;Put & call options;Prices;Deposit insurance;Insurance premiums;Economic models;Banks
日期:	2005-03
上传时间:	2009-11-04 17:23:04 (UTC+8)
出版者:	International journal of management
摘要:	This paper develops an option-based pricing model to study the optimal bank interest margin determination with hidden action under deposit insurance. This model shows that the optimal bank interest margin reacts negatively to an increase in the deposit insurance premium, and the bank, given a constant risk-adjusted deposit insurance has an incentive to gamble for resurrection when the bank operates on a relatively less elastic portion of its loan demand curve. The findings demonstrate the important links between optimal interest margins and market discipline.
關聯:	International Journal of Management 22(1), pp.71-78
显示于类别:	[國際企業學系暨研究所] 期刊論文

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