IDEAS home Printed from https://ideas.repec.org/a/kap/jfsres/v24y2003i2p121-148.html
   My bibliography  Save this article

The Cost of Deposit Insurance for Privately Held Banks: A Market Comparable Approach

Author

Listed:
  • Michael Falkenheim
  • George Pennacchi

Abstract

No abstract is available for this item.

Suggested Citation

  • Michael Falkenheim & George Pennacchi, 2003. "The Cost of Deposit Insurance for Privately Held Banks: A Market Comparable Approach," Journal of Financial Services Research, Springer;Western Finance Association, vol. 24(2), pages 121-148, October.
    • Handle: RePEc:kap:jfsres:v:24:y:2003:i:2:p:121-148
    DOI: 10.1023/B:FINA.0000003320.95646.5f
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1023/B:FINA.0000003320.95646.5f
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1023/B:FINA.0000003320.95646.5f?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Pennacchi, George G, 1987. "A Reexamination of the Over- (or Under-) Pricing of Deposit Insurance," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 19(3), pages 340-360, August.
    2. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    3. Hardle, Wolfgang & Linton, Oliver, 1986. "Applied nonparametric methods," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 38, pages 2295-2339, Elsevier.
    4. Pennacchi, George G., 1987. "Alternative forms of deposit insurance : Pricing and bank incentive issues," Journal of Banking & Finance, Elsevier, vol. 11(2), pages 291-312, June.
    5. Gilson, Stuart C & Hotchkiss, Edith S & Ruback, Richard S, 2000. "Valuation of Bankrupt Firms," The Review of Financial Studies, Society for Financial Studies, vol. 13(1), pages 43-74.
    6. Kaplan, Steven N & Ruback, Richard S, 1995. "The Valuation of Cash Flow Forecasts: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 50(4), pages 1059-1093, September.
    7. Darrell Duffie & Robert Jarrow & Amiyatosh Purnanandam & Wei Yang, 2008. "Market Pricing of Deposit Insurance," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 22, pages 551-577, World Scientific Publishing Co. Pte. Ltd..
    8. Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," The Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
    9. Cooperstein Richard L. & Pennacchi George G. & Redburn F. Stevens, 1995. "The Aggregate Cost of Deposit Insurance: A Multiperiod Analysis," Journal of Financial Intermediation, Elsevier, vol. 4(3), pages 242-271, July.
    10. George Pennacchi, 1999. "The Effects of Setting Deposit Insurance Premiums to Target Insurance Fund Reserves," Journal of Financial Services Research, Springer;Western Finance Association, vol. 16(2), pages 153-180, December.
    11. Shrieves, Ronald E. & Dahl, Drew, 1992. "The relationship between risk and capital in commercial banks," Journal of Banking & Finance, Elsevier, vol. 16(2), pages 439-457, April.
    12. Marcus, Alan J & Shaked, Israel, 1984. "The Valuation of FDIC Deposit Insurance Using Option-pricing Estimates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 16(4), pages 446-460, November.
    13. Rebel Cole & Jeffery Gunther, 1998. "Predicting Bank Failures: A Comparison of On- and Off-Site Monitoring Systems," Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(2), pages 103-117, April.
    14. Jin-Chuan, Duan & Moreau, Arthur F. & Sealey, C. W., 1995. "Deposit insurance and bank interest rate risk: Pricing and regulatory implications," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 1091-1108, September.
    15. George Pennacchi, 2002. "Bank deposit insurance and business cycles: controlling the volatility of risk-based premiums," Conference Series ; [Proceedings], Federal Reserve Bank of Boston.
    16. Jin‐Chuan Duan, 1994. "Maximum Likelihood Estimation Using Price Data Of The Derivative Contract," Mathematical Finance, Wiley Blackwell, vol. 4(2), pages 155-167, April.
    17. Beverly Hirtle, 1998. "Bank holding company capital ratios and shareholder payouts," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 4(Sep).
    18. Merton, Robert C., 1977. "An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory," Journal of Banking & Finance, Elsevier, vol. 1(1), pages 3-11, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Anginer, Deniz & Cerutti, Eugenio & Martínez Pería, María Soledad, 2017. "Foreign bank subsidiaries' default risk during the global crisis: What factors help insulate affiliates from their parents?," Journal of Financial Intermediation, Elsevier, vol. 29(C), pages 19-31.
    2. Grira, Jocelyn & Hassan, M. Kabir & Soumaré, Issouf, 2016. "Pricing beliefs: Empirical evidence from the implied cost of deposit insurance for Islamic banks," Economic Modelling, Elsevier, vol. 55(C), pages 152-168.
    3. Darrell Duffie & Robert Jarrow & Amiyatosh Purnanandam & Wei Yang, 2008. "Market Pricing of Deposit Insurance," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 22, pages 551-577, World Scientific Publishing Co. Pte. Ltd..
    4. Dilip Madan & George Pennacchi, 2003. "Introduction: Special Issue on Pricing the Risks of Deposit Insurance," Journal of Financial Services Research, Springer;Western Finance Association, vol. 24(2), pages 89-92, October.
    5. Stojanovic, Dusan & Vaughan, Mark D. & Yeager, Timothy J., 2008. "Do Federal Home Loan Bank membership and advances increase bank risk-taking?," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 680-698, May.
    6. Rosalind L. Bennett & Mark D. Vaughan & Timothy J. Yeager, 2005. "Should the FDIC worry about the FHLB? The impact of Federal Home Loan Bank advances on the Bank Insurance Fund," Working Paper 05-05, Federal Reserve Bank of Richmond.
    7. Pennacchi, George, 2006. "Deposit insurance, bank regulation, and financial system risks," Journal of Monetary Economics, Elsevier, vol. 53(1), pages 1-30, January.
    8. Deborah Lucas & Marvin Phaup, 1975. "The Cost of Risk to the Government and Its Implications for Federal Budgeting," NBER Chapters, in: Measuring and Managing Federal Financial Risk, pages 29-54, National Bureau of Economic Research, Inc.
    9. Landskroner, Yoram & Paroush, Jacob, 2008. "Bank management and market discipline," Journal of Economics and Business, Elsevier, vol. 60(5), pages 395-414.
    10. Stone, Anna-Leigh, 2021. "Double the insurance, double the funds?," Journal of Banking & Finance, Elsevier, vol. 133(C).
    11. Lucas, Deborah & Moore, Damien, 2019. "The student loan consolidation option," Journal of Public Economics, Elsevier, vol. 174(C), pages 1-12.
    12. Deborah Lucas & Damien Moore, 2007. "The Student Loan Consolidation Option: An Analysis of an Exotic Financial Derivative: Working Paper 2007-05," Working Papers 18540, Congressional Budget Office.
    13. Pennacchi, George G., 2005. "Risk-based capital standards, deposit insurance, and procyclicality," Journal of Financial Intermediation, Elsevier, vol. 14(4), pages 432-465, October.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Pennacchi, George G., 2005. "Risk-based capital standards, deposit insurance, and procyclicality," Journal of Financial Intermediation, Elsevier, vol. 14(4), pages 432-465, October.
    2. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    3. International Association of Deposit Insurers, 2020. "Evaluation of Differential Premium Systems for Deposit Insurance," IADI Research Papers 20-06, International Association of Deposit Insurers.
    4. Liu, Hailong & Li, Rui & Yuan, Jinjian, 2018. "Deposit insurance pricing under GARCH," Finance Research Letters, Elsevier, vol. 26(C), pages 242-249.
    5. Hwei-Lin Chuang & Shih-Cheng Lee & Yi-Chun Lin & Min-Teh Yu, 2009. "Estimating the cost of deposit insurance with stochastic interest rates: the case of Taiwan," Quantitative Finance, Taylor & Francis Journals, vol. 9(1), pages 1-8.
    6. Hangsuck Lee & Seongjoo Song & Gaeun Lee, 2023. "Insurance guaranty premiums and exchange options," Mathematics and Financial Economics, Springer, volume 17, number 3, June.
    7. 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, vol. 29(10), pages 2435-2454, October.
    8. Chiang, Shu Ling & Tsai, Ming Shann, 2020. "The valuation of deposit insurance allowing for the interest rate spread and early-bankruptcy risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 345-356.
    9. George Pennacchi, 1999. "The Effects of Setting Deposit Insurance Premiums to Target Insurance Fund Reserves," Journal of Financial Services Research, Springer;Western Finance Association, vol. 16(2), pages 153-180, December.
    10. Laeven, Luc, 2002. "Pricing of deposit insurance," Policy Research Working Paper Series 2871, The World Bank.
    11. Darrell Duffie & Robert Jarrow & Amiyatosh Purnanandam & Wei Yang, 2008. "Market Pricing of Deposit Insurance," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 22, pages 551-577, World Scientific Publishing Co. Pte. Ltd..
    12. Duan, Jin-Chuan & Simonato, Jean-Guy, 2002. "Maximum likelihood estimation of deposit insurance value with interest rate risk," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 109-132, January.
    13. Andrew Kuritzkes & Til Schuermann & Scott Weiner, 2005. "Deposit Insurance and Risk Management of the U.S. Banking System: What is the Loss Distribution Faced by the FDIC?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 27(3), pages 217-242, September.
    14. Carbó-Valverde, Santiago & Kane, Edward J. & Rodriguez-Fernandez, Francisco, 2013. "Safety-net benefits conferred on difficult-to-fail-and-unwind banks in the US and EU before and during the great recession," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 1845-1859.
    15. Stefan Nagel & Amiyatosh Purnanandam, 2020. "Banks’ Risk Dynamics and Distance to Default," The Review of Financial Studies, Society for Financial Studies, vol. 33(6), pages 2421-2467.
    16. Hwang, Dar-Yeh & Shie, Fu-Shuen & Wang, Kehluh & Lin, Jung-Chu, 2009. "The pricing of deposit insurance considering bankruptcy costs and closure policies," Journal of Banking & Finance, Elsevier, vol. 33(10), pages 1909-1919, October.
    17. Michael B. Imerman, 2020. "When enough is not enough: bank capital and the Too-Big-To-Fail subsidy," Review of Quantitative Finance and Accounting, Springer, vol. 55(4), pages 1371-1406, November.
    18. Dilip Madan & George Pennacchi, 2003. "Introduction: Special Issue on Pricing the Risks of Deposit Insurance," Journal of Financial Services Research, Springer;Western Finance Association, vol. 24(2), pages 89-92, October.
    19. Chuang‐Chang Chang & San‐Lin Chung & Ruey‐Jenn Ho & Yu‐Jen Hsiao, 2022. "Revisiting the valuation of deposit insurance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 77-103, January.
    20. Michael B. Imerman, 0. "When enough is not enough: bank capital and the Too-Big-To-Fail subsidy," Review of Quantitative Finance and Accounting, Springer, vol. 0, pages 1-36.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:jfsres:v:24:y:2003:i:2:p:121-148. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.