English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 58323/91877 (63%)
造訪人次 : 14359952      線上人數 : 139
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/987654321/99333

    題名: A Barrier Option Utility Framework for Bank Interest Margin under Government Bailout
    作者: Lin, Ku-Jun;Jou, Rosemary;Lin, Tzu-Hao
    貢獻者: 淡江大學會計學系
    關鍵詞: barrier option;distressed asset purchases;bank interest margin;default risk
    日期: 2014-09-30
    上傳時間: 2014-10-28 16:54:52 (UTC+8)
    出版者: Toronto: Sciedu Press
    摘要: The barrier options theory of corporate security valuation is applied to the contingent claims of a distressed bank under a bailout program of distressed loan purchases. In particular, the bank acts as if it has a single utility function that positively weights equity returns like, but negatively weights bankruptcy dislike. We show that an increase in the amount of distressed loan purchases decreases the loan amount at an increased margin when buying distressed loan amount is high. Bailout as such makes the bank less prone to loan risk taking, thereby contributing the stability of the banking system. A numerical exercise shows that the market-based estimates of the expected utility of bank equity returns which ignore the weights (a standard down-and-out call option) or the dislike (a standard call option) lead to significant overestimation.
    關聯: International Journal of Financial Research 5(4), pp.144-154
    DOI: 10.5430/ijfr.v5n4p144
    顯示於類別:[會計學系暨研究所] 期刊論文


    檔案 描述 大小格式瀏覽次數
    5644-17938-1-SM.pdfpaper 203KbAdobe PDF312檢視/開啟



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