Modeling Bank Interest Margin and Loan Quality under the Troubled Asset Relief Program: An Option-Pricing Approach

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題名:	Modeling Bank Interest Margin and Loan Quality under the Troubled Asset Relief Program: An Option-Pricing Approach
作者:	Lin, Jyh-horng;Lin Jyh-jiuan;Huang Pai-chou
貢獻者:	淡江大學國際企業學系;淡江大學統計學系
關鍵詞:	Troubled Asset Relief Program;Bank Interest Margin;Loan Quality
日期:	2010-11
上傳時間:	2011-10-22 23:46:54 (UTC+8)
出版者:	Zographou: World Scientific and Engineering Academy and Society (W S E A S)
摘要:	The troubled assets on U.S. banks books could grow to as much as $5 trillion, one Goldman Sachs analyst estimates [10]. Will setting up the Troubled Asset Relief Program (TARP) be good move for bank loan quality? The answer is yes. In an option-pricing model where the bank book value of loans is above its market price, an increase in loan amount sold, exactly what the TARP is meant to target, increases the bank interest margin. The gap where carrying value is above market price is shrinking by decreasing the risky loans held by the bank and thus the bank loan portfolio quality is improved.
關聯:	WSEAS Transactions on Circuits and Systems 9(11), pp.689-699
顯示於類別:	[統計學系暨研究所] 期刊論文 [國際企業學系暨研究所] 期刊論文

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