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    Title: Bank Spread Behavior and Default Risk in Response to Capital Regulation in Merton, Black and Black-Merton Structural Frameworks
    Authors: Lin, Jyh Jiuan;Jou, Rosemary;Chang, Ching-Hui;Hung, Wei Ming
    Contributors: 淡江大學統計學系
    Keywords: Bank spread behavior;Default risk;Capital regulation;Call option;Cap Option
    Date: 2014-02
    Issue Date: 2014-08-27 16:34:23 (UTC+8)
    Publisher: Kumamoto: I C I C International
    Abstract: This paper examines the relationship between capital regulation and default risk prediction with the bank interest margin determination under the standard Merton-type and Black-type structural models. The former can be identified as a narrow banking framework while the latter can be identified as a synergy banking framework. In addition, we also introduce a Black-Merton-type structural model in a non-exclusive, narrow-synergy framework. We compare the three structural models for their default prediction capabilities under capital regulation. We find a consistent result from these three models: higher capital requirements lead to lower default risks in the bank's equity return. The ranking of the signifiance effect on default risk is sorted in the following order: Merton-type, Black-Merton-type and Black-type one. This analysis provides important strategic and policy implications for bank managers and regulators.
    Relation: International Journal of Innovative Computing, Information and Control 10(1), pp.211–231
    Appears in Collections:[統計學系暨研究所] 期刊論文

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