Equity Risk and Default Risk under TARP：Option Model

• Main Authors: Chih Wei Lee, 李致緯
• Other Authors: 林志鴻
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/14616678725140186058

碩士 === 淡江大學 === 國際企業學系碩士班 === 100 === Liquidity problems emerge because of the global financial crisis, financial market credit crunch, in order to save the financial environment of the disorder, the Government TARP of the problem banks, the aim is to explore the Government TARP, the breach of the problem banks risk and the risk of equity capital can be improved, the ability to effectively stabilize financial market conditions. In this study, the aid policy of the government how it will affect the operation of the problem banks, first import the spread behavior management, the decision of the bank''s optimal loan interest rates and optimal mortgage rates, the use of option valuation analysis to determine the bank''s return on equity parts. The model combines the properties of the risk in the portfolio, cost conditions and interest rate-setting behavior. Manufacturers assume that banks in this study greatly into the premise that the pursuit of equity value, the establishment of the objective function, and joined the optimal interest rate conditions, the risk of default probability and equity return risk to consider whether the Government''s aid program has effect for reference of the government and financial institutions.