Pricing Risk-Adjusted Deposit Insurance: An Option-Based Model

This paper presents a methodology for arriving at empirical estimates of deposit insurance premiums from market data by using isomorphic relationships between equity and a call option, and insurance and a put option. The data utilizes the market value of equity to solve for the asset value and its v...

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Veröffentlicht in:	The Journal of finance (New York) 1986-09, Vol.41 (4), p.871-895
Hauptverfasser:	RONN, EHUD I., VERMA, AVINASH K.
Format:	Artikel
Sprache:	eng
Schlagworte:	Bailouts Bank assets Banking industry Banking regulation Banks Debt Deposit insurance Estimates Financial instruments Insurance premiums Insurance regulation Interest rates Interstate banking Manycompanies Perceptions Policies Put & call options Risk Statistical data
Online-Zugang:	Volltext
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