The Real Options Model of Optimal Timing in Banks Write-off Decisions under Dynamic Circumstances

摘要：

This paper employs a real option approach to evaluate the value of the option to delay write-offs non-performing loans(NPLs) in commercial banks. On the assumption that the callback rate of NPLs follows the standard geometric Bronian and the reinvestment return follows jump-diffusion model, the partial differential equation which the value keep to is obtained using dynamic programming technique. With the condition of value-matching and smooth-pasting, the solution of the equation is obtained. The optimal timing in bankswriting offtheir NPLs is gained with the solution, along with the condition to put off disposal of NPLs.

关键词： Non-performing loans Real options Optimal timing

作者: Chen Jinlong Xiong Tao Zeng Wuying

作者单位: College of Business Administration; Huaqiao Unversity, Fujian, Quanzhou, 362021, China;Research Cent College of Business Administration; Huaqiao Unversity, Fujian, Quanzhou, 362021, China

会议类型: 国际会议

会议名称: 第六届管理学国际会议(Proceedings of ICM2007 the 6th International on Management)

会议地点: 武汉

会议语种:英文

页码: 623-628

在线出版日期: 2007-08-03（万方平台首次上网日期，不代表论文的发表时间）