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    ASIA unversity > 管理學院 > 財務金融學系 > 會議論文 >  Item 310904400/63784

    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/63784

    Title: The impact of a bank's asset allocation, early closure and capital forbearance on the premiums of deposit insurance
    Authors: Wu, Yang-Che;Lin, Shih-Kuei
    Contributors: Feng Chia University;National Chengchi University
    Keywords: deposit insurance, early closure, capital forbearance, moral hazard
    Date: 2013
    Issue Date: 2013-08-07 09:36:44 (UTC+8)
    Publisher: Feng Chia University;National Chengchi University
    Abstract: This paper aims to value deposit insurance when the asset allocations of the bank's deposit invest the loans and the stocks under a stochastic interest rate setting. We derive a closed-form formula on the premium of the deposit insurance while considering early closure, capital forbearance, financial leverage and moral hazard. Moreover, we investigate the impacts of the bank's asset allocation, early closure and capital forbearance on premiums of deposit insurance. Finally, several numerical experiments are conducted to analyze the source of premiums, to compare to Merton's deposit insurance put (1997), and to explore the way that the bank's maintain ratio, debt-to-asset ratio, portfolio shares of risky assets and moral hazard from banks and depositors affect premiums.
    Relation: 2013中部學術財金研討會 論文發表
    Appears in Collections:[財務金融學系] 會議論文

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