Research on the Deposit Insurance Pricing Under the Marketing RMB Interest Rate

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چکیده

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The Value of Deposit Insurance in the Presence of Interest Rate and Credit Risk

In this paper we employ the theory of the term structure of interest rates and the pricing of interest contingent contracts to determine the fair value of insurance for depository institutions. The balance sheet of a bank is taken to consist of long and short positions in various fixed income securities. Deposit insurance for the bank is a put option on the value of the assets. The value of dep...

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ژورنال

عنوان ژورنال: Applied Finance and Accounting

سال: 2016

ISSN: 2374-2429,2374-2410

DOI: 10.11114/afa.v2i2.1721