Troubled Asset Relief Program, Bank Interest Margin and Default Risk in Equity Return: an Option-pricing Model

被引：0

作者：

Lin, Jyh-Jiuan ^{[1
]}

Chang, Ching-Hui ^{[2
]}

Lin, Jyh-Horng ^{[3
]}

机构：

[1] Tamkang Univ, Dept Stat, 151 Ying Chuan Rd, Tamsui 251, Taipei County, Taiwan

[2] Ming Chuan Univ, Dept Appl Stat & Informat, Taoyuan 333, Taiwan

[3] Tamkang Univ, Grad Inst Int Business, Fujisawa, Kanagawa 251, Japan

来源：

PROCEEDINGS OF THE 8TH WSEAS INTERNATIONAL CONFERENCE ON APPLIED COMPUTER AND APPLIED COMPUTATIONAL SCIENCE: APPLIED COMPUTER AND APPLIED COMPUTATIONAL SCIENCE | 2009年

关键词：

Toxic Loans; Interest Margin; Default Risk; Troubled Asset Relief Program; DETERMINANTS;

D O I：

暂无

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

Will banks be willing to sell their toxic loans with the help of the Troubled Asset Relief Program (TARP)? The answer is yes as long as bids are high enough to tempt banks to deal. With the TARP's help, an increase in the toxic loans sold to the government increases the bank's margin and decreases the bank's default probability in equity return when the bank encounters greater risk. This paper concludes that setting up the TAR-P for the 'bad bank' solution may be a good move for retail banking, resulting in high margin and low default risk when its target banks are willing sellers.

引用

页码：514 / +

页数：2

共 9 条

[1] Modeling Bank Interest Margin and Loan Quality under the Troubled Asset Relief Program: An Option-Pricing Approach
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