Revisiting the valuation of deposit insurance

Chuang Chang Chang, San Lin Chung, Ruey Jenn Ho, Yu Jen Hsiao

研究成果: 雜誌貢獻期刊論文同行評審

摘要

This study proposes a framework for pricing deposit insurance that evaluates the effect of depositor preference laws and the issuance of contingent capital bonds. Four main findings emerge from this study. First, traditional option pricing models of deposit insurance overestimate insurance premiums. Second, only large issuances of contingent capital bonds decrease deposit insurance premiums under depositor preference. Third, the issuance of contingent capital bonds can partially offset banks' excessive risk-taking caused by regulatory forbearance. Finally, although large banks have implied too-big-to-fail risks, the deposit insurer's costs from large banks are not nearly as high as reported in previous studies.

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頁(從 - 到)77-103
頁數27
期刊Journal of Futures Markets
42
發行號1
DOIs
出版狀態已出版 - 1月 2022

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