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Modeling Bank Interest Margin and Loan Quality under the Troubled Asset Relief Program: An Option-Pricing Approach

机译：问题资产救助计划下的银行利息保证金和贷款质量建模：一种期权定价方法

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Will setting up the Troubled Asset Relief Program (TARP) be good move for bank loan quality? In an option-pricing model where the bank's book value of loans is above its market price, an increase in loan amount sold, exactly what the TARP is meant to target, increases the bank's interest margin. The gap where carrying value is above market price is shrinking by decreasing the risky loans held by the bank and thus the bank's loan portfolio quality is improved.

机译：设立不良资产救助计划（TARP）对银行贷款质量是否有利？在银行的贷款账面价值高于其市场价格的期权定价模型中，出售的贷款数量的增加（正是TARP的目标）增加了银行的利率。账面价值高于市场价格的差距通过减少银行持有的风险贷款而缩小，从而改善了银行的贷款组合质量。

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来源
《Selected topics in applied computer science》|2010年|p.502-507|共6页
会议地点 Iwate(JP);Iwate(JP)
作者
JYH-HORNG LIN; JYH-JIUAN LIN; PAI-CHOU HUANG;
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作者单位

Graduate Institute of International Business, Tamkang University, Taiwan;

Department of Statistics, Tamkang University, Taiwan;

School of Buisness Administration, Southwestern University of Finance and Economics, China;

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会议组织
原文格式 PDF
正文语种 eng
中图分类计算技术、计算机技术;
关键词
troubled asset relief program; bank interest margin; loan quality;

机译：不良资产救助计划；银行利息保证金；贷款质量;

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专利

1. Modeling Bank Interest Margin and Loan Quality under the Troubled Asset Relief Program: An Option-Pricing Approach [J] . JYH-HORNG LIN, JYH-JIUAN LIN, PAI-CHOU HUANG WSEAS Transactions on Circuits and Systems . 2010,第10a12期

机译：问题资产救助计划下的银行利息保证金和贷款质量建模：一种期权定价方法
2. Troubled Asset Relief Program, Bank Interest Margin and Default Risk in Equity Return: An Option-Pricing Model [J] . JYH-JIUAN LIN, CHING-HUI CHANG, JYH-HORNG LIN WSEAS Transactions on Mathematics . 2009,第1a3期

机译：问题资产救助计划，银行利息保证金和股本回报中的违约风险：期权定价模型
3. An asset protection scheme for banks exposed to troubled loan portfolios [J] . Anders Grosen, Pernille Jessen, Thomas Kokholm Journal of Economics and Finance . 2014,第4期

机译：面向不良贷款组合的银行的资产保护计划
4. Troubled Asset Relief Program, Bank Interest Margin and Default Risk in Equity Return: an Option-pricing Model [C] . JYH-JIUAN LIN, CHING-HUI CHANG, JYH-HORNG LIN WSEAS International Conference on Applied Computer and Applied Computational Science . 2009

机译：陷入困境的资产救济计划，银行利息保证金和股权返回的违约风险：一个选项定价模型
5. An Evaluation of Mortgage-Backed Security Transactions Under the Troubled Asset Relief Program. [D] . Gross, Thomas F. 2012

机译：不良资产救助计划下的抵押支持证券交易评估。
6. Pharma TARP: A Troubled Asset Relief Program for Novel Abandoned Projects in the Pharmaceutical Industry [O] . Tamas Bartfai, Graham Vaughan Lees 2011

机译：Pharma TARP：针对制药业中新颖被遗弃项目的问题资产救助计划
7. Assets and Liabilities Management Modeling, with Liquidity Risk Management Approach In the Banking System Using Fuzzy Goal Programming [O] . Zahra Naji Azimi, Meysam Omrani 2016

机译：资产和负债管理建模，利用模糊目标规划的银行系统流动性风险管理方法
8. Troubled Asset Relief Program: Treasury Needs to Strengthen Its Decision-Making Process on the Term Asset-Backed Securities Loan Facility [R] . 2010

机译：陷入困境的资产救助计划：财政部需要加强对资产支持证券贷款工具的决策过程

Modeling Bank Interest Margin and Loan Quality under the Troubled Asset Relief Program: An Option-Pricing Approach

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