English  |  正體中文  |  简体中文  |  Items with full text/Total items : 49287/83828 (59%)
Visitors : 7153527      Online Users : 65
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/80536


    Title: Optimal bank interest margins under capital regulation in a call-option utility framework
    Authors: 蔡政言;Tsai, Jeng-Yan
    Contributors: 淡江大學國際企業學系
    Keywords: Call-option utility maximization;Call-option equity maximization;Bank interest margins;Capital regulation
    Date: 2013-03
    Issue Date: 2013-01-30 10:59:12 (UTC+8)
    Publisher: Elsevier BV
    Abstract: This paper examines the optimal bank interest margin under capital regulation when the bank's preference admits an additive call-option representation including both the like of higher equity return and the dislike of higher equity risk. In the call-option utility maximization, an increase in the capital requirement results in an increased amount of loans held by a bank at a reduced margin when loan quality is in distress. We also show that the impact on the bank interest margin from an increase in the capital requirement which ignores the dislike, that we call such behavior call-option equity maximization, leads to significant underestimation. Our results cast doubt on the effectiveness of capital regulation to exert a risk-reducing and return-increasing effect on the bank in particular where loan quality becomes worse, thereby adversely affecting the stability of the banking system.
    Relation: Economic Modelling 31, pp.557-565
    DOI: 10.1016/j.econmod.2012.12.024
    Appears in Collections:[國際企業學系暨研究所] 期刊論文

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML90View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback