| 来源类型 | Working Paper
|
| 规范类型 | 报告
|
| DOI | 10.3386/w0237
|
| 来源ID | Working Paper 0237
|
| Interest Rate Risk and Capital Adequacy For Traditional Banks and Financial Intermediaries |
| J. Huston McCulloch
|
| 发表日期 | 1978-03-01
|
| 出版年 | 1978
|
| 语种 | 英语
|
| 摘要 | Traditionally, banks and financial intermediaries borrow short and lend long. This causes a risk of negative net worth (and failure, under simplifying assumptions), because the present discounted value of the assets is more volatile than that of the liabilities. This paper utilizes a new option pricing model for speculative assets whose log price relative is a symmetric stable Paretian random variable. This model is used to empirically evaluate the probability of failure and fair value of deposit insurance as a function of capital-asset ratio for a bank with demand liabilities and longer term, default-risk-free, perfectly marketable assets. The maturities used for the assets range from three months to 30 years (in order to incorporate thrift institutions). Implications for reserve requirement policy and for liability management are discussed. |
| URL | https://www.nber.org/papers/w0237
|
| 来源智库 | National Bureau of Economic Research (United States)
|
| 引用统计 |
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/557422
|
推荐引用方式
GB/T 7714 |
J. Huston McCulloch. Interest Rate Risk and Capital Adequacy For Traditional Banks and Financial Intermediaries. 1978.
|
|
文件名：
|
w0237.pdf
|
|
格式：
|
Adobe PDF
|
此文件暂不支持浏览
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
