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    題名: A Structure-Break Barrier Option Model of Optimal Bank Interest Margin in a Debt Crisis
    作者: Tsai, Jeng-Yan;Hung, Wei-Ming;Jou, Rosemary
    貢獻者: 淡江大學國際企業學系
    關鍵詞: Barrier option;Bank interest margin;Structural break;Capital regulation
    日期: 2012-09
    上傳時間: 2013-01-08 22:46:39 (UTC+8)
    出版者: Kumamoto: ICIC International
    摘要: This paper examines the optimal bank interest margin, the spread between the loan rate and the deposit rate of a bank, due to a debt crisis, sovereign debt in the bank's earning-asset portfolio is no longer safe. Under capital regulation, the bank's equity function is characterized by a down-and-out call option, with a structural break in volatility indicating a debt crisis. This research shows that the bank's interest margin is positively related to the structural break in volatility, and to the capital requirement.
    關聯: ICIC Express Letters 6(9), pp.2289-2293
    顯示於類別:[國際企業學系暨研究所] 期刊論文

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