A Structure-Break Option Framework for Bank Margin Valuation When Foreign-Denominated Loans Squeezing a Country

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 987654321/67403

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題名:	A Structure-Break Option Framework for Bank Margin Valuation When Foreign-Denominated Loans Squeezing a Country
作者:	Lin, Jyh-Horng;Chang, Ching-Hui;Jou, Rosemary
貢獻者:	淡江大學國際貿易學系
關鍵詞:	Bank Interest Margin;Retail Banking;Exchange Rate;Structural Change
日期:	2010-02
上傳時間:	2011-10-22 23:49:30 (UTC+8)
摘要:	The banking industry is recently experiencing a renewed focus on retail banking, a trend often attributed to the stability and profitability of retail activities (Hirtle and Stiroh, 2007). This paper examines operations management in bank interest margin when foreign-denominated loans are squeezing a country as its currency falters. In a call-option model with fat-tail distribution framework where structural changes from exchange rate depreciated dramatically are the source of uncertainty (we call such changes bad events), exchange rates or bad events have direct effects on the bank's optimal interest margin. A depreciation in the domestic currency results in an increased interest margin. We conclude that retail banking may be a relatively shrinking lending activity but it is a high return one when an observed bad event from the domestic-currency depreciation is becoming worse.
關聯:	WSEAS Transactions on Information Science and Applications 7(2), pp.196-206
顯示於類別:	[國際企業學系暨研究所] 期刊論文

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