The following information was submitted:
Transactions: WSEAS TRANSACTIONS ON INFORMATION SCIENCE AND APPLICATIONS
Transactions ID Number: 89-180
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: a structure-break option framework for bank margin valuation when foreign-denominated loans squeezing a country
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: 11
Abstract: The banking industry is recently experiencing a renewed focus on retail banking, a trend often attributed to the stability and profitability of retail activities (Hirtle and Stiroh, 2007). This paper examines operations management in bank interest margin when foreign-denominated loans are squeezing a country as its currency falters. In a call-option model with fat-tail distribution framework where structural changes from exchange rate depreciated dramatically are the source of uncertainty (we call such changes bad events), exchange rates or bad events have direct effects on the bank¡¦s optimal interest margin. A depreciation in the domestic currency results in an increased interest margin. We conclude that retail banking may be a relatively shrinking lending activity but it is a high return one when an observed bad event from the domestic-currency depreciation is becoming worse.
Keywords: Bank Interest Margin, Retail Banking, Exchange Rate, Structural Change
EXTENSION of the file: .pdf
Special (Invited) Session: a structure-break option framework for bank margin valuation when foreign-denominated loans squeezing a country
Organizer of the Session: 101-198
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