Market Pricing of Deposit Insurance

被引：9

作者：

Darrell Duffie

Robert Jarrow

Amiyatosh Purnanandam

Wei Yang

机构：

[1] Stanford University,

[2] Cornell University,undefined

来源：

Journal of Financial Services Research | 2003年 / 24卷 / 2-3期

关键词：

Deposit insurance pricing; risk-neutral default probability; bank failure.;

D O I：

10.1023/B:FINA.0000003319.53270.73

中图分类号：

学科分类号：

摘要：

We provide an approach to the market valuation of deposit insurance that is based on reduced-form methods for the pricing of fixed-income securities under default risk. By reference to bank debt prices as well as qualitative-response models of the probability of bank failure, we suggest how a risk-neutral valuation model for deposit insurance can be applied both to the calculation of fair-market deposit insurance premia and to the valuation of long-term claims against the insurer.

引用

页码：93 / 119

页数：26

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