Banking Policy and the Pricing of Deposit Guarantees
AbstractThis paper describes a new approach to pricing government deposit guarantees that uses techniques of stochastic process switching employed in the recent literature on exchange rate determination. Our model avoids inconsistent assumptions about the information available to investors and the government common in previous work based on an option pricing approach. We derive actuarially fair deposit insurance premia and optimal financial reorganization rules and examine the role of banking policies such as capital requirements.
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Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 91/131.
Date of creation: 01 Dec 1991
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Postal: International Monetary Fund, Washington, DC USA
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- Christophe-Alain Morel, 2000. "L’assurance des dépôts, un instrument de la régulation bancaire," Revue d'Économie Financière, Programme National Persée, Programme National Persée, vol. 60(5), pages 237-248.
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