Global Diversification, Hedging Diversification, and Default Risk in Bank Equity: An Option-Pricing Model

被引：0
|
作者：
Lin, Jyh-Horng [2 ]
Lin, Jyh-Jiuan [1 ]
Jou, Rosemary [3 ]
机构：
[1] Tamkang Univ, Dept Stat, 151 Ying Chuan Rd, Tamsui 251, Taipei County, Taiwan
[2] Tamkang Univ, Grad Inst Int Business, Tamsui 251, Taipei Cty, Taiwan
[3] Tamkang Univ, Grad Inst Management Sci, Tamsui 251, Taipei Cty, Taiwan
来源：
PROCEEDINGS OF THE 11TH WSEAS INTERNATIONAL CONFERENCE ON MATHEMATICAL AND COMPUTATIONAL METHODS IN SCIENCE AND ENGINEERING (MACMESE '09) | 2009年
关键词：
Default Risk; International Lending Diversification; Loan Portfolio Swap;
D O I：
暂无
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
Can multiple diversifications provide greater safety for banks? This paper aims to answer this question by applying Vassalou and Xing's (2004) formula, which is a nonlinear option-based function of the default probability of an individual bank. We find that the extent of global diversification may provide greater safety for banks, but that the extent of hedging diversification may not.
引用
收藏
页码：173 / +
页数：2
相关论文
共 50 条
12345