期刊論文
| 學年 | 100 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2012-01-01 |
| 作品名稱 | A Structure-Break Barrier Option Model of Optimal Bank Interest Margin in a Debt Crisis |
| 作品名稱（其他語言） | |
| 著者 | Tsai, Jeng-Yan; Hung, Wei-Ming; Jou, Rosemary |
| 單位 | 淡江大學國際企業學系 |
| 出版者 | Kumamoto: ICIC International |
| 著錄名稱、卷期、頁數 | ICIC Express Letters 6(9), pp.2289-2293 |
| 摘要 | This paper examines the optimal bank interest margin, the spread between the loan rate and the deposit rate of a bank, due to a debt crisis, sovereign debt in the bank's earning-asset portfolio is no longer safe. Under capital regulation, the bank's equity function is characterized by a down-and-out call option, with a structural break in volatility indicating a debt crisis. This research shows that the bank's interest margin is positively related to the structural break in volatility, and to the capital requirement. |
| 關鍵字 | |
| 語言 | en_US |
| ISSN | 1881-803X |
| 期刊性質 | 國外 |
| 收錄於 | EI |
| 產學合作 | |
| 通訊作者 | 蔡政言 (tsaijy@mail.tku.edu.tw) |
| 審稿制度 | 是 |
| 國別 | JPN |
| 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/987654321/79686 ) |