A loss default simulation model of the federal bank deposit insurance funds

A loss default simulation model of the federal bank deposit insurance funds

This paper discusses a simulation model that is used in a martingale valuation approach to measure and value the risk of the FDIC deposit insurance funds. The FDIC insurance funds capitalize a portfolio of insurance policies, each issued to depositors of an individual commercial bank. To evaluate th...

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Hauptverfasser: Bennett, R.L., Nuxoll, D.A., Jarrow, R.A., Fu, M.C., Huiju Zhang
Format: Tagungsbericht
Sprache:eng
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Aggregates
Business
Cost accounting
Economic indicators
Insurance
Multidimensional systems
Portfolios
Reactive power
Regulators
Risk management
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creator Bennett, R.L.
Nuxoll, D.A.
Jarrow, R.A.
Fu, M.C.
Huiju Zhang
description This paper discusses a simulation model that is used in a martingale valuation approach to measure and value the risk of the FDIC deposit insurance funds. The FDIC insurance funds capitalize a portfolio of insurance policies, each issued to depositors of an individual commercial bank. To evaluate this portfolio, our methodology evaluates the insurance policies for depositors at each individual bank and aggregates to obtain the risk of the entire portfolio. To adequately model the risks associated with credit, interest rate, deposit growth, and loss rate, a multidimensional system is formulated. The risk measurement and valuation results are based on Monte Carlo simulation of the system risks.
doi_str_mv 10.1109/WSC.2005.1574459
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subjects Aggregates
Business
Cost accounting
Economic indicators
Insurance
Multidimensional systems
Portfolios
Reactive power
Regulators
Risk management
title A loss default simulation model of the federal bank deposit insurance funds
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