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Deposit insurance and bank interest rate risk: Pricing and regulatory implications

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  • Jin-Chuan, Duan
  • Moreau, Arthur F.
  • Sealey, C. W.
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 19 (1995)
    Issue (Month): 6 (September)
    Pages: 1091-1108

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    Handle: RePEc:eee:jbfina:v:19:y:1995:i:6:p:1091-1108

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    1. Ingersoll, Jonathan E. & Skelton, Jeffrey & Weil, Roman L., 1978. "Duration Forty Years Later," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 13(04), pages 627-650, November.
    2. Alden L. Toevs, 1983. "Gap management: managing interest rate risk in banks and thrifts," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 20-35.
    3. Crouhy, Michel & Galai, Dan, 1986. "An economic assessment of capital requirements in the banking industry," Journal of Banking & Finance, Elsevier, Elsevier, vol. 10(2), pages 231-241, June.
    4. Crouhy, Michel & Galai, Dan, 1991. "A contingent claim analysis of a regulated depository institution," Journal of Banking & Finance, Elsevier, Elsevier, vol. 15(1), pages 73-90, February.
    5. Rabinovitch, Ramon, 1989. "Pricing Stock and Bond Options when the Default-Free Rate is Stochastic," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 24(04), pages 447-457, December.
    6. Jerry Green & John B. Shoven, 1983. "The Effects of Interest Rates on Mortgage Prepayments," NBER Working Papers 1246, National Bureau of Economic Research, Inc.
    7. McCulloch, J. Huston, 1985. "Interest-risk sensitive deposit insurance premia : Stable ACH estimates," Journal of Banking & Finance, Elsevier, Elsevier, vol. 9(1), pages 137-156, March.
    8. Pennacchi, George G., 1987. "Alternative forms of deposit insurance : Pricing and bank incentive issues," Journal of Banking & Finance, Elsevier, Elsevier, vol. 11(2), pages 291-312, June.
    9. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    10. Ronald Giammarino & Eduardo Schwartz & Josef Zechner, 1989. "Market Valuation of Bank Assets and Deposit Insurance in Canada," Canadian Journal of Economics, Canadian Economics Association, vol. 22(1), pages 109-27, February.
    11. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, Elsevier, vol. 5(2), pages 177-188, November.
    12. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 12(04), pages 627-627, November.
    13. Duan, Jin-Chuan & Moreau, Arthur F. & Sealey, C. W., 1992. "Fixed-rate deposit insurance and risk-shifting behavior at commercial banks," Journal of Banking & Finance, Elsevier, Elsevier, vol. 16(4), pages 715-742, August.
    14. Herbert L. Baer, 1990. "What we know about the deposit insurance problem," Chicago Fed Letter, Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago, issue Jul.
    15. Edward J. Kane, 1985. "The Gathering Crisis in Federal Deposit Insurance," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262611856, December.
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    Cited by:
    1. Lee, Jin-Ping & Yu, Min-Teh, 2007. "Valuation of catastrophe reinsurance with catastrophe bonds," Insurance: Mathematics and Economics, Elsevier, vol. 41(2), pages 264-278, September.
    2. Duan, Jin-Chuan & Simonato, Jean-Guy, 2002. "Maximum likelihood estimation of deposit insurance value with interest rate risk," Journal of Empirical Finance, Elsevier, Elsevier, vol. 9(1), pages 109-132, January.
    3. Maltritz, Dominik & Eichler, Stefan, 2010. "Currency crisis prediction using ADR market data: An options-based approach," International Journal of Forecasting, Elsevier, Elsevier, vol. 26(4), pages 858-884, October.
    4. Iftekhar Hasan & Sudipto Sarkar, 2002. "Banks' option to lend, interest rate sensitivity, and credit availability," Review of Derivatives Research, Springer, Springer, vol. 5(3), pages 213-250, October.
    5. Dermine, Jean & Lajeri, Fatma, 2001. "Credit risk and the deposit insurance premium: a note," Journal of Economics and Business, Elsevier, Elsevier, vol. 53(5), pages 497-508.
    6. Ho, Chia-Ling & Lai, Gene C. & Lee, Jin-Ping, 2014. "Financial reform and the adequacy of deposit insurance fund: Lessons from Taiwanese experience," International Review of Economics & Finance, Elsevier, Elsevier, vol. 30(C), pages 57-77.
    7. Arthur Hau, 2011. "Pricing of Loan Commitments for Facilitating Stochastic Liquidity Needs," Journal of Financial Services Research, Springer, Springer, vol. 39(1), pages 71-94, April.
    8. Michael Falkenheim & George Pennacchi, 2003. "The Cost of Deposit Insurance for Privately Held Banks: A Market Comparable Approach," Journal of Financial Services Research, Springer, Springer, vol. 24(2), pages 121-148, October.
    9. Duan, Jin-Chuan & Simonato, Jean-Guy, 1999. " Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 13(2), pages 111-35, September.
    10. Ying Liu & Eli Papakirykos & Mingwei Yuan, 2004. "Market Valuation and Risk Assessment of Canadian Banks," Working Papers, Bank of Canada 04-34, Bank of Canada.
    11. Maltritz, Dominik, 2010. "A compound option approach to model the interrelation between banking crises and country defaults: The case of Hungary 2008," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(12), pages 3025-3036, December.
    12. Darrell Duffie & Robert Jarrow & Amiyatosh Purnanandam & Wei Yang, 2003. "Market Pricing of Deposit Insurance," Journal of Financial Services Research, Springer, Springer, vol. 24(2), pages 93-119, October.
    13. Lo, Chien-Ling & Lee, Jin-Ping & Yu, Min-Teh, 2013. "Valuation of insurers’ contingent capital with counterparty risk and price endogeneity," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(12), pages 5025-5035.
    14. Chen, Dar-Hsin & Chou, Heng-Chih & Wang, David & Zaabar, Rim, 2011. "The predictive performance of a path-dependent exotic-option credit risk model in the emerging market," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 390(11), pages 1973-1981.
    15. Duan, Jin-Chuan & Yu, Min-Teh, 2005. "Fair insurance guaranty premia in the presence of risk-based capital regulations, stochastic interest rate and catastrophe risk," Journal of Banking & Finance, Elsevier, Elsevier, vol. 29(10), pages 2435-2454, October.
    16. Chia-Chien Chang & Wei-Yi Huang & So-De Shyu, 2012. "Pricing Mortgage Insurance with Asymmetric Jump Risk and Default Risk: Evidence in the U.S. Housing Market," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 45(4), pages 846-868, November.
    17. Duan, Jin-Chuan & Yu, Min-Teh, 1999. "Capital standard, forbearance and deposit insurance pricing under GARCH," Journal of Banking & Finance, Elsevier, Elsevier, vol. 23(11), pages 1691-1706, November.

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