ACTUARIAL PRICING OF DEPOSIT INSURANCE

被引：7

作者：

KERFRIDEN, C ^{[1
]}

ROCHET, JC ^{[1
]}

机构：

[1] UNIV SCI SOCIALES,IDEI,F-31042 TOULOUSE,FRANCE

来源：

GENEVA PAPERS ON RISK AND INSURANCE THEORY | 1993年 / 18卷 / 02期

关键词：

DEPOSIT INSURANCE; OPTION PRICING; ASSET LIABILITY MANAGEMENT; INTEREST-RATE RISK;

D O I：

10.1007/BF01111465

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using a pricing formula for options on coupon bonds (Jamshidian [1989], El Karoui and Rochet [1990]) we are able to compute the actuarial pricing of deposit insurance for a commercial bank. Our formula takes into account the maturity structure of the bank's balance sheet, as well as market parameters such as the term structure of interest rates and the volatilities of zero coupon bonds. The relation with asset liability management methods is explored.

引用

页码：111 / 130

页数：20

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[2]

DUFFIE, 1988, SECURITY MARKETS STO

[3]

ELKAROUI N, 1990, MODELES MATH FINANCE

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