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    题名: Risk Management of Deposit Insurance Corporations with Risk-Based Premiums and Credit Default Swaps
    作者: 林士貴
    Lin, Shih-Kuei
    Wu, Yang-Che
    Chen, Ting-Fu
    贡献者: 金融系
    关键词: Deposit insurance; Moral hazard; Capital forbearance;Credit default swaps
    日期: 2020-04
    上传时间: 2021-01-21 09:34:11 (UTC+8)
    摘要: 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.
    關聯: Quantitative Finance, Vol.20, No.7, pp.1085-1100
    数据类型: article
    DOI 連結: https://doi.org/10.1080/14697688.2020.1726437
    DOI: 10.1080/14697688.2020.1726437
    显示于类别:[金融學系] 期刊論文

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