期刊論文
| 學年 | 98 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2010-02-01 |
| 作品名稱 | A Structure-Break Option Framework for Bank Margin Valuation When Foreign-Denominated Loans Squeezing a Country |
| 作品名稱（其他語言） | |
| 著者 | Lin, Jyh-Horng; Chang, Ching-Hui; Jou, Rosemary |
| 單位 | 淡江大學國際貿易學系 |
| 出版者 | |
| 著錄名稱、卷期、頁數 | WSEAS Transactions on Information Science and Applications 7(2), pp.196-206 |
| 摘要 | The banking industry is recently experiencing a renewed focus on retail banking, a trend often attributed to the stability and profitability of retail activities (Hirtle and Stiroh, 2007). This paper examines operations management in bank interest margin when foreign-denominated loans are squeezing a country as its currency falters. In a call-option model with fat-tail distribution framework where structural changes from exchange rate depreciated dramatically are the source of uncertainty (we call such changes bad events), exchange rates or bad events have direct effects on the bank's optimal interest margin. A depreciation in the domestic currency results in an increased interest margin. We conclude that retail banking may be a relatively shrinking lending activity but it is a high return one when an observed bad event from the domestic-currency depreciation is becoming worse. |
| 關鍵字 | Bank Interest Margin; Retail Banking; Exchange Rate; Structural Change |
| 語言 | en |
| ISSN | |
| 期刊性質 | |
| 收錄於 | EI |
| 產學合作 | |
| 通訊作者 | Chang, Ching-Hui |
| 審稿制度 | |
| 國別 | GRC |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/67403 ) |