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UBC Theses and Dissertations
Estimation of the current market value of banks and the pricing of risk-adjusted deposit insurance and loan guarantee in an option-pricing context : the case of Hong Kong Lau, Yam Shing
Abstract
This paper presents a methodology for evaluating the solvency of banks and for empirically estimating the prices of government guarantees on loans made by banks and deposit insurance premiums, from the failure history of Hong Kong. The approach used exploits the isomorphic correspondence between loan guarantees and common stock put options. Though limited by the data set of publicly available information, this study is successful in identifying problem banks, and more specifically in evaluating the solvency of banks. Therefore, the model is useful in the early-warning aspect. Moreover, if the information set can be expanded to include those information available to the regulator, the result of this study can be improved.
Item Metadata
Title |
Estimation of the current market value of banks and the pricing of risk-adjusted deposit insurance and loan guarantee in an option-pricing context : the case of Hong Kong
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Creator | |
Publisher |
University of British Columbia
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Date Issued |
1987
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Description |
This paper presents a methodology for evaluating the solvency of banks and for empirically estimating the prices of government guarantees on loans made by banks and deposit insurance premiums, from the failure history of Hong Kong. The approach used exploits the isomorphic correspondence between loan guarantees and common stock put options. Though limited by the data set of publicly available information, this study is successful in identifying problem banks, and more specifically in evaluating the solvency of banks. Therefore, the model is useful in the early-warning aspect. Moreover, if the information set can be expanded to include those information available to the regulator, the result of this study can be improved.
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Genre | |
Type | |
Language |
eng
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Date Available |
2010-06-30
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Provider |
Vancouver : University of British Columbia Library
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Rights |
For non-commercial purposes only, such as research, private study and education. Additional conditions apply, see Terms of Use https://open.library.ubc.ca/terms_of_use.
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DOI |
10.14288/1.0096822
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URI | |
Degree | |
Program | |
Affiliation | |
Degree Grantor |
University of British Columbia
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Campus | |
Scholarly Level |
Graduate
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Aggregated Source Repository |
DSpace
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Item Media
Item Citations and Data
Rights
For non-commercial purposes only, such as research, private study and education. Additional conditions apply, see Terms of Use https://open.library.ubc.ca/terms_of_use.