A multiperiod model for estimating the cost of deposit insurance under the Basel III minimum capital requirement

DOI10.1002/MMA.6248zbMATH Open1452.91328OpenAlexW3004269185MaRDI QIDQ5116859FDOQ5116859

Authors: Grant E. Muller 

Publication date: 19 August 2020

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.6248

Recommendations

• The pricing of deposit insurance considering regulatory capital and bankruptcy costs
• An optimal portfolio and capital management strategy for basel III compliant commercial banks
• An optimal investment strategy and multiperiod deposit insurance pricing model for commercial banks
• scientific article; zbMATH DE number 7015495
• Risk management of deposit insurance corporations with risk-based premiums and credit default swaps

zbMATH Keywords

capitalliabilitiesassetscapital adequacy ratiodeposit insurance premium

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Numerical methods (including Monte Carlo methods) (91G60) Financial markets (91G15)

Cited In (3)

• Title not available (Why is that?)
• Deposit insurance and financial integration in the Eurozone: a DSGE model
• An optimal investment strategy and multiperiod deposit insurance pricing model for commercial banks

This page was built for publication: A multiperiod model for estimating the cost of deposit insurance under the Basel III minimum capital requirement

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5116859)