Partial State-Owned Bank Interest Margin, Default Risk, and Structural Breaks: A Model of Financial Engineering
學年 98
學期 1
出版（發表）日期 2010-01-01
作品名稱 Partial State-Owned Bank Interest Margin, Default Risk, and Structural Breaks: A Model of Financial Engineering
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 Mathematics 9(1), pp.42-55
摘要 Recent reports demonstrate that the grip of nationalism is tightest in banking (Economist, 2009a), and in France and Britain, politicians powering taxpayers' money into ailing banks are demanding that the cash be lent at home (Economist, 2009b). This paper proposes a call option model for bank interest margin and default risk valuation based on an event-dependent, structural break framework under the return of banking nationalization. The primary feature is the existence of the discontinuity and fat tails of asset returns and risks caused by structural changes. We show that an increase in the structural breaks in mean return discontinuity and volatility fluctuation caused by the increasing degree of the bank's partial nationalization increases the bank's interest margin and default risk. We conclude that nationalization may be a high return-volatility structure break.
關鍵字 Partial Nationalization; Structural Change; Retail Banking; Interest Margin
語言 en
ISSN 1109-2769; 2224-2880
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
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