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文章基本信息

  • 标题:Market Valuation and Risk Assessment of Canadian Banks
  • 本地全文:下载
  • 作者:Liu, Ying ; Papakirykos, Eli ; Yuan, Mingwei
  • 期刊名称:Journal of Food Distribution Research
  • 印刷版ISSN:0047-245X
  • 出版年度:2006
  • 卷号:37
  • 期号:SUPPL
  • 页码:63-80
  • 出版社:Food Distribution Research Society
  • 摘要:This paper applies the asset valuation model developed by Rabinovitch (1989) to the six largest Canadian banks. The model is an extension of the Merton (1977a) option-pricing model with the incorporation of stochastic interest rates. We then introduce a measure of distance-to default, Z-score. Our results indicate that the market value of bank assets is almost always below its book value and that Canadian banks have a very low insolvency risk over time, except for 1982 and 1983. We also find that both the market valuation of the bank assets and the z-score of these Canadian banks demonstrate similar regime switches in the late 1990s, which may be related to regulatory changes during the 1990s.
  • 关键词:asset pricing;financial institution
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