Bank Spread Behavior and Default Risk in Response to Capital Regulation in Merton, Black and Black-Merton Structural Frameworks

淡江大學機構典藏 > 商管學院 > 統計學系暨研究所 > 期刊論文 > Item 987654321/98608

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/98608

题名:	Bank Spread Behavior and Default Risk in Response to Capital Regulation in Merton, Black and Black-Merton Structural Frameworks
作者:	Lin, Jyh Jiuan;Jou, Rosemary;Chang, Ching-Hui;Hung, Wei Ming
贡献者:	淡江大學統計學系
关键词:	Bank spread behavior;Default risk;Capital regulation;Call option;Cap Option
日期:	2014-02
上传时间:	2014-08-27 16:34:23 (UTC+8)
出版者:	Kumamoto: I C I C International
摘要:	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.
關聯:	International Journal of Innovative Computing, Information and Control 10(1), pp.211–231
显示于类别:	[統計學系暨研究所] 期刊論文

文件中的档案:

档案	描述	大小	格式	浏览次数
ijicic-12-10036.pdf	ANK SPREAD BEHAVIOR AND DEFAULT RISK IN RESPONSE TO CAPITAL REGULATION IN MERTON, BLACKAND BLACK-MERTON STRUCTURAL FRAMEWORKS	129Kb	Adobe PDF	209	检视/开启
index.html		0Kb	HTML	194	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