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Fonctions et tarification d'un fonds de garantie bancaire

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  • Christophe Morel
  • Jean-Louis Nakamura
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    Abstract

    [eng] The purpose of this research is twofold : firstly, it presents the economic justifications for deposit insurance schemes as well as the features of such schemes identified as « optimal » in the literature in order to avoid moral hazard and adverse selection phenomena. Thus, according to the literature, deposit insurance should be limited, compulsory, universal and the fees paid by the banks should directly depend on each bank's risk level. Secondly, we test two alternative ways of calculation for the fees paid by the banks to the deposit insurance. The first method consists in drawing a comparison between the insurance fee and a put option, whose price may be calculated from each bank's investment risk. The second proposal relies on a model of banking behaviour wich determines a « socially optimal » insurance fee. Such a fee should indeed maximise the banks' profits when no bank fails and depositors indemnities when the bank is going bankrupt. [fre] Cet article a pour objet de rappeler les justifications économiques d'une assurance des dépôts, ainsi que les principes de fonctionnement optimaux pour éviter les comportements d'aléa moral et de sélection adverse : ainsi, idéalement la garantie devrait être plafonnée, obligatoire, universelle, et les cotisations devraient être fonction du niveau de risque de la banque. Dans un deuxième temps, nous testons et appliquons au cas français deux méthodes de calcul de la contribution des établissements de crédit au fonds de garantie. La première assimile la prime payée par les banques pour assurer leurs dépôts à une option de vente (put) ce qui permet d'obtenir une valorisation par la formule de Black et Scholes. La seconde proposition s'appuie sur un modèle simplifié de comportement bancaire afin de déterminer une contribution « socialement optimale », au sens où elle maximise la somme du profit réalisé par les banques lorsque celles-ci ne font pas faillite avec le montant de l'indemnisation des déposants en cas de défaillance.

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    File URL: http://dx.doi.org/10.3406/rfeco.2000.1490
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    File URL: http://www.persee.fr/articleAsPDF/rfeco_0769-0479_2000_num_15_2_1490/rfeco_0769-0479_2000_num_15_2_1490.pdf?mode=light
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    Bibliographic Info

    Article provided by Programme National Persée in its journal Revue française d'économie.

    Volume (Year): 15 (2000)
    Issue (Month): 2 ()
    Pages: 77-116

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    Handle: RePEc:prs:rfreco:rfeco_0769-0479_2000_num_15_2_1490

    Note: DOI:10.3406/rfeco.2000.1490
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    Web page: http://www.persee.fr/web/revues/home/prescript/revue/rfeco

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