The impact of a bank's asset allocation, early closure and capital forbearance on the premiums of deposit insurance

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题名:	The impact of a bank's asset allocation, early closure and capital forbearance on the premiums of deposit insurance
作者:	Wu, Yang-Che;Lin, Shih-Kuei
贡献者:	Feng Chia University;National Chengchi University
关键词:	deposit insurance, early closure, capital forbearance, moral hazard
日期:	2013
上传时间:	2013-08-07 01:36:44 (UTC+0)
出版者:	Feng Chia University;National Chengchi University
摘要:	This paper aims to value deposit insurance when the asset allocations of the bank's deposit invest the loans and the stocks under a stochastic interest rate setting. We derive a closed-form formula on the premium of the deposit insurance while considering early closure, capital forbearance, financial leverage and moral hazard. Moreover, we investigate the impacts of the bank's asset allocation, early closure and capital forbearance on premiums of deposit insurance. Finally, several numerical experiments are conducted to analyze the source of premiums, to compare to Merton's deposit insurance put (1997), and to explore the way that the bank's maintain ratio, debt-to-asset ratio, portfolio shares of risky assets and moral hazard from banks and depositors affect premiums.
關聯:	2013中部學術財金研討會論文發表
显示于类别:	[財務金融學系] 會議論文

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