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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/79689


    Title: Credit risk Based on Firm Conduct - Performance and Bank Lending Decisions: A Capped Call Approach
    Authors: Tsai, Jeng-Yan;Chang, Chuen-Ping
    Contributors: 淡江大學國際企業學系
    Keywords: Pricing;Credit risk;Firm conduct-performance;Bank lending;Capped call
    Date: 2012-08
    Issue Date: 2013-01-08 22:51:59 (UTC+8)
    Publisher: Journal of Applied Finance and Banking
    Herts: Scienpress Ltd
    Abstract: This paper models loan rate-setting behavior, taking into account the product pricing and performance of the borrowing firm, and also calculates the bank’s loan-risk sensitive equity values. The lending function creates the need to model bank equity as a capped call option, which captures the credit risk directly related to management of a firm’s operations. When the product price set by the borrowing firm is relatively high and the loan rate set by the bank is relatively low, a rise in the product price increases the loan amount at a reduced margin. A capped call as such makes the bank less prudent and more prone to risk-taking, thereby adversely affecting the stability of the banking system. We also show that the market-based estimates of bank equity, which ignore the cap, lead to significant overestimation.
    Relation: Journal of Applied Finance & Banking 2(4), pp.69-84
    Appears in Collections:[國際企業學系暨研究所] 期刊論文

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