期刊論文
| 學年 | 98 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2010-01-01 |
| 作品名稱 | A Two-Stage Call-Put-Pricing Frameworkfor a "Bad Bank" Solution and Bank Profitability |
| 作品名稱（其他語言） | |
| 著者 | Jou, Rosemary; Lin, Jyh-Horng |
| 單位 | 淡江大學國際貿易學系 |
| 出版者 | |
| 著錄名稱、卷期、頁數 | International Journal of Information and Management Sciences 21(2), pp.143-156 |
| 摘要 | With the growth in banking bailout programs has come a growing need to understand the potential effectiveness of these policies. In particular, a "bad bank" created by regulatory authorities uses funds to buy troubled loans from its selected banks and commits additional capital to them. This paper develops a two-stage call-put pricing framework that is used to study the selected bank's interest margin determination with the bad bank's help. We find that the selected bank's call option-based interest margin is positively related to its troubled loans bought by the bad bank, and to its equity capital inflow from the bad bank. We also show that the call-put option-based value of the bad bank's equity return increases with the selected bank's equity volatility. |
| 關鍵字 | Bank Interest Margin;Troubled Loans;Capitalization;Call Option;Put Option |
| 語言 | en |
| ISSN | |
| 期刊性質 | 國內 |
| 收錄於 | EI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 否 |
| 國別 | TWN |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/67404 ) |