The following information was submitted:
Transactions: WSEAS TRANSACTIONS ON MATHEMATICS
Transactions ID Number: 89-181
Full Name: Ching-Hui Chang
Position: Associate Professor
Age: ON
Sex: Male
Address: No.5, Te-Ming Rd., Gwei Shan District, Taoyuan County
Country: TAIWAN
Tel: 886-3-350-7001ext.3250
Tel prefix:
Fax: 886-3-359-3873
E-mail address: chchang@mcu.edu.tw
Other E-mails: jjlinster@gmail.com
Title of the Paper: partial state-owned bank interest margin, default risk, and structural breaks: a model of financial engineering
Authors as they appear in the Paper: Jyh-Horng Lin,Ching-Hui Chang, Rosemary Jou
Email addresses of all the authors: lin9015@mail.tku.edu.tw,chchang@mcu.edu.tw,893560135@s93.tku.edu.tw
Number of paper pages: 14
Abstract: 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.
Keywords: Partial Nationalization, Structural Change, Retail Banking, Interest Margin
EXTENSION of the file: .pdf
Special (Invited) Session: partial state-owned bank interest margin, default risk, and structural breaks: a model of financial engineering
Organizer of the Session: 101-199
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