English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 59160/92571 (64%)
造訪人次 : 740368      線上人數 : 43
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/80536


    題名: Optimal bank interest margins under capital regulation in a call-option utility framework
    作者: 蔡政言;Tsai, Jeng-Yan
    貢獻者: 淡江大學國際企業學系
    關鍵詞: Call-option utility maximization;Call-option equity maximization;Bank interest margins;Capital regulation
    日期: 2013-03
    上傳時間: 2013-01-30 10:59:12 (UTC+8)
    出版者: Elsevier BV
    摘要: 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.
    關聯: Economic Modelling 31, pp.557-565
    DOI: 10.1016/j.econmod.2012.12.024
    顯示於類別:[國際企業學系暨研究所] 期刊論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    index.html0KbHTML205檢視/開啟
    Optimal bank interest margins under capital regulation in a call-option utility framework.pdf486KbAdobe PDF0檢視/開啟

    在機構典藏中所有的資料項目都受到原著作權保護.

    TAIR相關文章

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