How does soft information about small business lending affect bank efficiency under capital regulation?
In this paper, we develop a capped call option model to evaluate the equity of a bank under capital regulation. A capped type of credit risk from the performance of relationship borrowing firms is explicitly considered, captured by a mechanism through borrower soft information that the bank produces...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2019-03-01
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| Series: | Quantitative Finance and Economics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/10.3934/QFE.2019.1.53/fulltext.html |