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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/133638

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/133638

Title:	Risk Management of Deposit Insurance Corporations with Risk-Based Premiums and Credit Default Swaps
Authors:	林士貴 Lin, Shih-Kuei Wu, Yang-Che Chen, Ting-Fu
Contributors:	金融系
Keywords:	Deposit insurance; Moral hazard; Capital forbearance;Credit default swaps
Date:	2020-04
Issue Date:	2021-01-21 09:34:11 (UTC+8)
Abstract:	In this paper, we propose a risk-based model for deposit insurance premiums and provide the closed-form formula for premiums, including early closure, capital forbearance, interest rate risk, and moral hazard. Our numerical analysis confirms the proposed pricing formula and the relative impact of the provisions for deposit insurance premiums. We illustrate how to use credit default swaps (CDSs) to manage the bank’s asset risk corresponding to the deposit insurance model. A failed bank, Washington Mutual, is used to demonstrate how to calibrate the model’s parameters and calculate fair premiums that are consistent with market risks on the basis of our proposed model and credit derivatives. Finally, a numerical experiment is designed to determine the optimal hedge ratio, which can minimise the variance of cash-flow of the deposit insurance corporations.
Relation:	Quantitative Finance, Vol.20, No.7, pp.1085-1100
Data Type:	article
DOI 連結:	https://doi.org/10.1080/14697688.2020.1726437
DOI:	10.1080/14697688.2020.1726437
Appears in Collections:	[金融學系] 期刊論文

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