Lin, Jyh-horng; Chen, Shi; Huang, Fu-Wei - In: International Journal of Financial Studies : open … 6 (2018) 3, pp. 1-20
In this paper, we develop a contingent claim model to evaluate a bank’s equity and liabilities that integrates the premature default risk conditions with loan rate-setting behavioral mode and multiple shadow banking activities under capital regulation. The barrier options theory of corporate...
