FORBEARANCE AND PRICING DEPOSIT INSURANCE IN A MULTIPERIOD FRAMEWORK

NCUIR > School of Management at National Central University > Graduate Institute of Finance > journal & Dissertation > Item 987654321/29557

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Title:	FORBEARANCE AND PRICING DEPOSIT INSURANCE IN A MULTIPERIOD FRAMEWORK
Authors:	DUAN,JC;YU,MT
Contributors:	財務金融所
Keywords:	VALUATION
Date:	1994
Issue Date:	2010-06-29 20:31:00 (UTC+8)
Publisher:	中央大學
Abstract:	A multiperiod deposit insurance pricing model is developed in this article, which utilizes an asset value reset rule comparable to the typical practice of insolvency resolution by insuring agencies. The fairly-priced premium rate of our model can substantially differ from Merton's (1977). After incorporating capital forbearance and moral hazard into the model, our results show that the fairly-priced premium rate is not neutral to forbearance policy even in the absence of moral hazard. Our model formalizes the process of how excessive risk-taking under capital forbearance could lead to instability in the deposit insurance system.
Relation:	JOURNAL OF RISK AND INSURANCE
Appears in Collections:	[Graduate Institute of Finance] journal & Dissertation

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