Advanced search
Publication Cover
Applied Economics Volume 46, 2014 - Issue 13
Submit an article Journal homepage
96
Views
0
CrossRef citations to date
0
Altmetric
Original Articles

Assessing bank equity risk under Legacy Loan Program

Jyh-Horng LinDepartment of International Business, Tamkang University, Taipei, Taiwan
,
Jeng-Yan TsaiDepartment of International Business, Tamkang University, Taipei, TaiwanCorrespondence[email protected]
&
Wei-Ming HungDepartment of Management Science, Tamkang University, Taipei, Taiwan
Pages 1499-1508 | Published online: 11 Feb 2014

References

  • Akhigbe, A., Madura, J. and Martin, A. D. (2007) Effects of fed policy actions on the default likelihood of commercial banks, Journal of Financial Research, 30, 147–62.
  • Ausubel, L. M. and Cramton, P. (2009) A two-sided auction for legacy loans, Working Paper, University of Maryland. Available at http://www.eco.uc3m.es/~acabrales/confer/M-SWET/Ausubel3.pdf (accessed 1 January 2014).
  • Bayazitova, D. and Shivdasani, A. (2012) Assessing TARP, Review of Financial Studies, 25, 377–407.
  • Black, F. and Scholes, M. (1973) The pricing of options and corporate liabilities, Journal of Political Economy, 81, 637–54.
  • Brockman, P. and Turtle, H. J. (2003) A barrier option framework for corporate security valuation, Journal of Financial Economics, 67, 511–29.
  • Chou, H. C. and Wang, D. (2007) Performance of default risk model with barrier option framework and maximum likelihood estimation: evidence from Taiwan, Physica A, 385, 270–80.
  • Episcopos, A . (2008) Bank capital regulation in a barrier option framework, Journal of Banking and Finance, 32, 1677–86.
  • Hoshi, T. and Kashyap, A. K. (2010) Will the US Bank recapitalization succeed? Eight lessons from Japan, Journal of Financial Economics, 97, 398–417.
  • Lin, J. H., Lin, J. J. and Chang, C. H. (2012) A note on selling distressed loans with bank bailouts: modeling of bank interest margin with default probabilities, Applied Economic Letters, 19, 623–7.
  • Merton, R. C. (1973) Theory of rational option pricing, Bell Journal of Economics and Management Science, 4, 141–83.
  • Merton, R. C. (1974) On the pricing of corporate debt: the risk structure of interest rates, Journal of Finance, 29, 449–70.
  • Mukuddem-Petersen, J., Petersen, M. A., Schoeman, I. M. et al. (2008) Dynamic modelling of bank profits, Applied Financial Economics Letters, 4, 157–61.
  • Oak, R. (2009) Legacy loans program: program description and request for comments, Economic Populist. Available at http://www.economicpopulist.org/content/fdic-asking-comments-legacy-loan-program (accessed 1 January 2014).
  • Ronn, E. and Verma, A. (1986) Pricing risk-adjusted deposit insurance: an option-based model, Journal of Finance, 41, 871–95.
  • Saunders, A. and Schumacher, L. (2000) The determinants of bank interest rate margins: an international study, Journal of International Money and Finance, 19, 813–32.
  • Sorensen, E. H. and Bollier, T. F. (1994) Pricing swap default risk, Financial Analysts Journal, 50, 23–33.
  • Vassalou, M. and Xing, Y. (2004) Default risk in equity returns, Journal of Finance, 59, 831–68.
  • Webel, B. (2011) Troubled Asset Relief Program (TARP): implementation and status, Congressional Research Service, 7–5700. Available at https://www.fas.org/sgp/crs/misc/R41427.pdf (accessed 1 January 2014).
  • Wong, K. P. (1997) On the determinants of bank interest margins under credit and interest rate risks, Journal of Banking and Finance, 21, 251–71.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.