https://scholars.lib.ntu.edu.tw/handle/123456789/608004
標題: | Revisiting the valuation of deposit insurance | 作者: | Chang C.-C SAN-LIN CHUNG Ho R.-J Hsiao Y.-J. |
關鍵字: | contingent capital bonds;deposit insurance;depositor preference | 公開日期: | 2022 | 卷: | 42 | 期: | 1 | 起(迄)頁: | 77-103 | 來源出版物: | Journal of Futures Markets | 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. ? 2021 Wiley Periodicals LLC |
URI: | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85119342540&doi=10.1002%2ffut.22284&partnerID=40&md5=efc88aa7dc65b00ca780962aac79ace6 https://scholars.lib.ntu.edu.tw/handle/123456789/608004 |
ISSN: | 02707314 | DOI: | 10.1002/fut.22284 |
顯示於: | 財務金融學系 |
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