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- W2250092938 abstract "This paper proposes a call option model for bank interest margin and default risk valuation based on an event-dependent, structural break framework under the return of banking nationalization. The primary feature is the existence of the discontinuity and fat tails of asset returns and risks caused by structural changes. We show that an increase in the structural breaks in mean return discontinuity and volatility fluctuation caused by the increasing degree of the bank's partial nationalization increases the bank's interest margin and default risk." @default.
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- W2250092938 date "2009-12-29" @default.
- W2250092938 modified "2023-09-24" @default.
- W2250092938 title "Partial state-owned bank interest margin, default risk, and structural breaks: a model of financial engineering" @default.
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