期刊論文
| 學年 | 101 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2013-01-01 |
| 作品名稱 | Bank Capital Regulation in a Cap Option Framework |
| 作品名稱（其他語言） | |
| 著者 | Tsai, Jeng-Yan; Hung, Wei-Ming |
| 單位 | 淡江大學國際企業學系 |
| 出版者 | Amsterdam: Elsevier BV * North-Holland |
| 著錄名稱、卷期、頁數 | International Review of Economics & Finance 25, pp.66–74 |
| 摘要 | Synergy-banking management under capital regulation is done through a gluing together of lending and deposit-taking. Under this viewpoint, we argue that the cap options theory of corporate security valuation can be applied to the contingent claims of the synergy-banking firm. The equity holders of the bank own a cap option on the bank equity return which can be considered against their expected investment opportunity costs captured by the cap rates. We show that an increase in the cap rate increases the risky loans held by the bank at a lower interest margin, and then increases the equity risk and the default risk of equity. An increase in the capital-to-deposits ratio decreases the risky loans held by the bank at an increased margin, and decreases the bank's equity risk and the default probability in the bank's equity. Capital regulation as such makes the bank more prudent and less prone to risk-taking, thereby contributing to the stability of the banking system. Our findings may support increased capital requirements in the spirit of the Dodd–Frank Act of the Basel Accord (Eubanks, 2010). |
| 關鍵字 | Cap options;Capital regulation;Bank interest margin;Equity volatility;Default risk |
| 語言 | en |
| ISSN | 1059-0560 |
| 期刊性質 | 國外 |
| 收錄於 | SSCI |
| 產學合作 | |
| 通訊作者 | Tsai, Jeng-Yan (tsaijy@mail.tku.edu.tw) |
| 審稿制度 | 是 |
| 國別 | NLD |
| 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/987654321/79684 ) |