PRICING OF DEPOSIT INSURANCE WITH BANKRUPTCY COST
Date Issued
2006
Date
2006
Author(s)
Shie, Fu-Shuen
DOI
en-US
Abstract
We apply the isomorphic relationship between deposit insurance and the put option to derive the pricing model of deposit insurance with forbearance. Our put option formula is obtained under the assumption that there exists a bankruptcy cost to go along with the bank’s asset risk. In departing from Allen and Saunders (1993), we argue that bankruptcy cost is an important factor, especially when the insured institution is insolvent. A closed-form solution is derived within a framework of deposit insurance valuation and a numerical estimation is computed using the simulation method.
Subjects
存款保險
破產成本
選擇權評價模型
姑息
永久美式賣權
Deposit Insurance
Bankruptcy Cost
option pricing model
forbearance
American perpetual put option
Type
thesis
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ntu-95-D91723007-1.pdf
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