The Value of the Liability Insurance for Credit Suisse and UBS

The Value of the Liability Insurance for Credit Suisse and UBS

Using an options-based approach, we compute the value of the state guarantee for the liability side of Credit Suisse and UBS. Insurance premiums for these two systemically important banks are calculated in a dynamic setup from 2004 through 2009 in quarterly steps for time horizons of one and five ye...

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Veröffentlicht in:Journal of institutional and theoretical economics 2012-12, Vol.168 (4), p.612-635
Hauptverfasser: Häfeli, Mario, Jüttner, Matthias P.
Format: Artikel
Sprache:eng
Schlagworte:
Bank liabilities
Bank management
Banking crises
Banks
Comparative analysis
Computational methods
Deposit insurance
Financial crisis
Financial liabilities
Financial services
Insurance
Insurance premiums
Liability
Liability insurance
Price volatility
Risk premiums
Shareholders
Valuation
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Beschreibung
Zusammenfassung:Using an options-based approach, we compute the value of the state guarantee for the liability side of Credit Suisse and UBS. Insurance premiums for these two systemically important banks are calculated in a dynamic setup from 2004 through 2009 in quarterly steps for time horizons of one and five years. The model captures the characteristics of the current financial crisis and detects the bailout of UBS. Strengthened capital requirements and an increased number of audits reduce the value of the guarantee substantially.
ISSN:0932-4569
DOI:10.1628/093245612804469755