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    Title: Optimal bank loan rate and default risk in equity return under capital regulation and deposit insurance
    Authors: Pao, Shih-heng;Yi, Min-li;Lin, Jyh-horng
    Contributors: 淡江大學國際貿易學系暨國際企業研究所
    Date: 2005-01
    Issue Date: 2009-11-30 18:20:35 (UTC+8)
    Publisher: New Delhi: TARU Publications
    Abstract: This is a study that uses Merton’s (1974) option pricing model to value default measures for a bank and assess the effects of regulatory parameters on the bank’s equity return and default risk. We find that an increase in the capital-to-deposits ratio or in the deposit insurance premium results in a reduced the bank’s interest margin (and thus the bank’s equity return) under the negative elasticity effect. An increase in either regulatory parameter has a positive effect on the default risk in the bank’s equity return. Our findings provide alternative explanations for the theoretical argument concerning the bank interest margin and default risk in equity return under regulations.
    Relation: Journal of Statistics & Management Systems 8(3), pp.587-600
    DOI: 10.1080/09720510.2005.10701181
    Appears in Collections:[國際企業學系暨研究所] 期刊論文

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