聯邦存款保險公司促進法案下的銀行違約風險: 障礙上限選擇權評價模式分析

Translated Titles

A note on bank default risk under the Federal Deposit Insurance Corporation Improvement Act: A barrier cap option approach





Key Words

綜效銀行 ; 銀行利差 ; 違約風險 ; 障礙 ; 上限 ; Synergy banking ; Bank interest margin ; Default risk ; Barrier ; Cap



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Chinese Abstract


English Abstract

Thesis proposes a framework for equity valuation of a regulated bank based on a path-dependent, barrier cap option model. A synergy banking proposal captured by a cap option, a gluing together of deposit-taking and lending, is a characteristic of bank interest margin management between the loan rate and the deposit rate. Path dependency is a characteristic of bank assets because equity can be knocked out whenever a legally binding barrier is breached. The Federal Deposit Insurance Corporation (FDIC) as a regulator and insurer controls the barrier by the power vested in it by the FDIC Improvement Act. Raising the regulatory barrier level, implying better protection of the insurance fund (and thus less protection of the bank), decreases loan risk-taking at an increased margin, but increases the default risk in the bank’s equity returns. Regulatory barrier as such can account for phenomenon of “flight to quality” with significant bankruptcy predication.

Topic Category 商管學院 > 國際企業學系碩士班
社會科學 > 管理學
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