Pricing of Deposit Insurance Considering Capital Forbearance and Jump Risk

10.6186/IJIMS.2012.23.1.1

Fu Shuen Shie

Deposit insurance ； capital forbearance ； self-closure policy ； regulatory closure policy ； jump-diffusions

International Journal of Information and Management Sciences

23:1（2012 / 03 / 01）

1 - 18

英文

Past literature has not considered information provided where there is a huge change in a bank's assets. As such, this research considers the jump-diffusion process. In addition, the concomitant diversified financial derivatives increase the complexity of finding the true value of the bank's assets as some losses may be hidden. Therefore, this study surveys the important factors affecting the pricing of deposit insurance discussed by past research, such as capital forbearance, policy of banking self-closure and forced closure by deposit insurers. In addition to the factors mentioned above and in light of the current financial crisis, this study contributes to specifying a more appropriate pricing model.

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