The following information was submitted:
Transactions: WSEAS TRANSACTIONS ON MATHEMATICS
Transactions ID Number: 32-592
Full Name: Jyh-Horng Lin
Position: Professor
Age: ON
Sex: Male
Address: 151 Ying-Chuan Road, Tamsui, Taipei County 251
Country: TAIWAN
Tel: 886-2-2621-5656ext2567
Tel prefix:
Fax: 886-2-2620-9730
E-mail address: lin9015@mail.tku.edu.tw
Other E-mails: 117604@mail.tku.edu.tw; jjlinster@gmail.com
Title of the Paper: credit default swaps and default risk in bank equity returns: a mathematical model of the banking firm theory
Authors as they appear in the Paper: Jyh-Horng Lin , Rosemary Jou and Huei-Shin Shiu
Email addresses of all the authors: lin9015@mail.tku.edu.tw,893560135@s93.tku.edu.tw,hueishin@mail.ltu.edu.tw
Number of paper pages: 10
Abstract: This paper examines the relationships among credit default swaps (CDS), government bailout, and default risk in bank equity returns. In a model where CDS trading is the transaction for controlling credit risk, changes in the bank¡¦s CDS demand or structural changes in the CDS provider, caused by government-bailout affect bank¡¦s default risk. An increase in CDS increases the optimal bank interest margin and decreases default risk in equity return when the CDS provider is healthy. Structural changes in the CDS provider caused by government¡¦s increasing bailout decreases the optimal interest margin and increases default risk. This scenario causes bank concern that CDS issues plaguing the insurer will affect bank margin management.
Keywords: Credit Default Swap, Default Risk, Interest Margin, Insurer
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