From: A real options model for loan portfolios of actively traded Philippine universal banks
Variable | Values |
---|---|
Variance (σ) | 0.0115 to 0.1291 |
Growth Rate (μ) | − 0.0894 to 0.0140 |
Discount Rate (ρ) | −0.0178 to 0.1203 |
Information Asymmetry (ζ) | 0.8468 to 0.9986 |
Income Inflows (ϖ) | 0.0332^{a} and 0.0748^{a} |
Loan Portfolio (Book Value) (χ) | 0.671^{a} and 1.4^{a} |
Large Bank Vector Magnitude Factor (a) | −133.5 |
Smaller Bank Vector Magnitude Factor (a) | −27.5 |
Vector Magnitude Factor (b) | 0 |