Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/133638
DC Field | Value | Language |
---|---|---|
dc.contributor | 金融系 | - |
dc.creator | 林士貴 | - |
dc.creator | Lin, Shih-Kuei | - |
dc.creator | Wu, Yang-Che | - |
dc.creator | Chen, Ting-Fu | - |
dc.date | 2020-04 | - |
dc.date.accessioned | 2021-01-21T01:34:11Z | - |
dc.date.available | 2021-01-21T01:34:11Z | - |
dc.date.issued | 2021-01-21T01:34:11Z | - |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/133638 | - |
dc.description.abstract | In this paper, we propose a risk-based model for deposit insurance premiums and provide the closed-form formula for premiums, including early closure, capital forbearance, interest rate risk, and moral hazard. Our numerical analysis confirms the proposed pricing formula and the relative impact of the provisions for deposit insurance premiums. We illustrate how to use credit default swaps (CDSs) to manage the bank’s asset risk corresponding to the deposit insurance model. A failed bank, Washington Mutual, is used to demonstrate how to calibrate the model’s parameters and calculate fair premiums that are consistent with market risks on the basis of our proposed model and credit derivatives. Finally, a numerical experiment is designed to determine the optimal hedge ratio, which can minimise the variance of cash-flow of the deposit insurance corporations. | - |
dc.format.extent | 636861 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.relation | Quantitative Finance, Vol.20, No.7, pp.1085-1100 | - |
dc.subject | Deposit insurance ; Moral hazard ; Capital forbearance ; Credit default swaps | - |
dc.title | Risk Management of Deposit Insurance Corporations with Risk-Based Premiums and Credit Default Swaps | - |
dc.type | article | - |
dc.identifier.doi | 10.1080/14697688.2020.1726437 | - |
dc.doi.uri | https://doi.org/10.1080/14697688.2020.1726437 | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.grantfulltext | restricted | - |
item.openairetype | article | - |
item.cerifentitytype | Publications | - |
item.fulltext | With Fulltext | - |
Appears in Collections: | 期刊論文 |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.