The pricing of deposit insurance considering regulatory capital and bankruptcy costs

DOI10.3969/J.ISSN.1001-4268.2019.05.008MaRDI QIDQ3307484zbMATH OpenFDO

Authors Xiaoqiang Cheng

Publication date 12 August 2020

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-4268.2019.05.008

zbMATH Keywords

bankruptcy costsdeposit insurance pricingexpected lossesregulatory capital

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cited in

(21)

• Fair pricing of deposit insurance. Is it possible? Yes. Is it desirable? No
• Pricing of Islamic deposit insurance
• Deposit insurance and bank regulation in a monetary economy: a general equilibrium exposition
• A deposit insurance pricing with a multi-state regime-switching volatility
• Strategic bank closure and deposit insurance valuation
• Interval pricing study of deposit insurance in China
• Game theoretic valuation of deposit insurance under jump risk: from too small to survive to too big to fail
• The payouts choice for deposit insurance system
• Random deposits, technical insolvency and deposit insurance pricing
• Study on the deposit insurance pricing of the income tax on the excess of the income tax
• Estimating the cost of deposit insurance with stochastic interest rates: the case of Taiwan
• Optimal bank loan rate and default risk in equity return under capital regulation and deposit insurance
• A multiperiod model for estimating the cost of deposit insurance under the Basel III minimum capital requirement
• Risk management of deposit insurance corporations with risk-based premiums and credit default swaps
• Pricing fair deposit insurance: structural model approach
• The bankruptcy cost of the life insurance industry under regulatory forbearance: an embedded option approach
• Regulatory measures for distressed insurance undertakings: a comparative study
• Pricing of deposit insurance considering capital forbearance and jump risk
• Municipal bond insurance, capital regulation and optimal bank interest margin: an option-based optimization
• The informational content of subordinated debt and equity prices in the presence of bankruptcy costs
• O-SII designation and deposit funding costs

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