BANK SPREAD BEHAVIOR AND DEFAULT RISK IN RESPONSE TO CAPITAL REGULATION IN MERTON, BLACK AND BLACK-MERTON STRUCTURAL FRAMEWORKS

被引：0

作者：

Lin, Jyh Jiuan ^{[1
]}

Jou, Rosemary ^{[2
]}

Chang, Ching-Hui ^{[4
]}

Hung, Wei Ming ^{[3
]}

机构：

[1] Tamkang Univ, Dept Stat, 151 Yingzhuan Rd, New Taipei 25137, Taiwan

[2] Tamkang Univ, Dept Int Business, New Taipei 25137, Taiwan

[3] Tamkang Univ, Dept Management Sci, New Taipei 25137, Taiwan

[4] Ming Chuan Univ, Dept Appl Stat & Informat Sci, Gui Shan Dist 333, Taoyuan County, Taiwan

来源：

INTERNATIONAL JOURNAL OF INNOVATIVE COMPUTING INFORMATION AND CONTROL | 2014年 / 10卷 / 01期

关键词：

Bank spread behavior; Default risk; Capital regulation; Call option; Cap option;

D O I：

暂无

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

This paper examines the relationship between capital regulation and default risk prediction with the bank interest margin determination under the standard Merton-type and Black-type structural models. The former can be identified as a narrow banking framework while the latter can be identified as a synergy banking framework. In addition, we also introduce a Black-Merton-type structural model in a non-exclusive, narrow synergy framework. We compare the three structural models for their default prediction capabilities under capital regulation. We find a consistent result from these three models: higher capital requirements lead to lower default risks in the bank's equity return. The ranking of the significance effect on default risk is sorted in the following order: Merton type, Black-Merton-type and Black-type one. This analysis provides important strategic and policy implications for bank managers and regulators.

引用

页码：211 / 231

页数：21