淡江大學機構典藏:Item 987654321/96185
English  |  正體中文  |  简体中文  |  全文笔数/总笔数 : 55499/89835 (62%)
造访人次 : 10954095      在线人数 : 30
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜寻范围 查询小技巧:
  • 您可在西文检索词汇前后加上"双引号",以获取较精准的检索结果
  • 若欲以作者姓名搜寻,建议至进阶搜寻限定作者字段,可获得较完整数据
  • 进阶搜寻


    jsp.display-item.identifier=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/987654321/96185


    题名: A realized capped call option framework for loan-risk sensitive insurance premium valuation
    作者: Lin, Jyh-Horng;Chang, Chuen-Ping
    贡献者: 淡江大學國際企業學系
    关键词: Corporate borrower default risk;Realized capped call;Deposit insurance premium;Bank interest margin
    日期: 2014-02-01
    上传时间: 2014-03-05 22:51:52 (UTC+8)
    出版者: Kumamoto: I C I C International
    摘要: This paper examines the optimal interest margin, the spread between the loan rate and the deposit rate of a bank, when the risk of corporate borrower default is explicitly capped. Corporate borrower default risk is characterized by a lending function that includes corporate borrower risk and equity default probability. The equity of the bank can be viewed as a realized capped call option on its assets. This approach we will use is to calculate loan-risk sensitive insurance premium. The results show that when the investment value of the corporate borrower is high, market-based estimates of deposit insurance premium which ignore the realized cap are under valued. This type of situation calls for an increase in the deposit insurance premium in lieu with the asset risk of the corporate borrower. An increase in the corporate borrower's asset risk makes the bank more prone to loan risk-taking at a reduced margin when asset risk itself is low, but makes the bank more prudent to loan risk-taking at an increased margin when asset risk itself is high. Our results demonstrate why realized capped lending considerations may have further applicability to value fair deposit insurance premium in providing more stability in banking system.
    關聯: International Journal of Innovative Computing, Information and Control 10(1), pp.19-38
    显示于类别:[國際企業學系暨研究所] 期刊論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    A realized capped call option framework for loan-risk sensitive insurance premium valuation.pdf351KbAdobe PDF0检视/开启
    index.html0KbHTML230检视/开启
    index.html0KbHTML21检视/开启

    在機構典藏中所有的数据项都受到原著作权保护.

    TAIR相关文章

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