期刊論文
| 學年 | 101 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2013-07-01 |
| 作品名稱 | A barrier option framework for bank interest margin management under anticipatory regret aversion |
| 作品名稱（其他語言） | |
| 著者 | Lin, Jyh-Horng; Hung, Wei-Ming |
| 單位 | 淡江大學國際企業學系 |
| 出版者 | Amsterdam: Elsevier BV |
| 著錄名稱、卷期、頁數 | Economic Modelling 33, pp.794-801 |
| 摘要 | This paper proposes a framework for bank equity valuation based on a path-dependent, barrier option model. A direct implication of this framework is that bank equity will be priced as a down-and-out call option. Using this approach, we examine how bank interest margin, i.e., the spread between the loan rate and the deposit rate, is determined when a bank is regret-averse. Regret-averse preferences are characterized by a down-and-in call, which is specified as the difference between a standard call and a down-and-out call. The model demonstrates how anticipatory regret aversion and the default barrier jointly determine an optimal bank interest margin decision. We find that a bank interest margin with a low level of default barrier is negatively related to anticipatory regret aversion and to the default barrier. Regret aversion and default barriers make a bank less prudent and more prone to risk-taking, thereby adversely affecting the stability of the banking system. |
| 關鍵字 | Bank interest margin; Regret aversion;Barrier option; Bank equity valuation |
| 語言 | en |
| ISSN | 0264-9993 |
| 期刊性質 | 國外 |
| 收錄於 | SSCI A&HCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | NLD |
| 公開徵稿 | |
| 出版型式 | |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/91603 ) |