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
Online-Zugang:	Volltext
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