Notice of RetractionValuation of bank interest margin with barrier cap option model in synergy banking operations management

Notice of Retraction

After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.

We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.

The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.

This paper proposes a synergy banking operations management framework for bank interest margin determination and default risk assessment based on path-dependent, a barrier cap option model instead of the commonly used path-independent call option approach. The author argues that path dependency in the synergy banking is an intrinsic characteristic of bank lending because bank equity can be knocked out whenever a legally binding barrier is breached in circumstances of the bank´s provision of liquidity on demand to accommodate unpredictable needs. This model shows that a barrier on the market value of the bank´s underlying loan repayments for triggering default prior to and closer to the maturity has a higher equity return and default risk. As a result, bank equity return and default risk in synergy banking operations management are overvalued when default only occurs at maturity of the debt.