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Modelling Deposit Insurance Scheme Losses in a Basel 2 Framework

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  • Riccardo Lisa
  • Stefano Zedda
  • Francesco Vallascas
  • Francesca Campolongo
  • Massimo Marchesi

Abstract

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Suggested Citation

  • Riccardo Lisa & Stefano Zedda & Francesco Vallascas & Francesca Campolongo & Massimo Marchesi, 2011. "Modelling Deposit Insurance Scheme Losses in a Basel 2 Framework," Journal of Financial Services Research, Springer;Western Finance Association, vol. 40(3), pages 123-141, December.
  • Handle: RePEc:kap:jfsres:v:40:y:2011:i:3:p:123-141
    DOI: 10.1007/s10693-010-0097-0
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    References listed on IDEAS

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    6. De Jonghe, Olivier, 2010. "Back to the basics in banking? A micro-analysis of banking system stability," Journal of Financial Intermediation, Elsevier, vol. 19(3), pages 387-417, July.
    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..
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    17. 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.
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    More about this item

    Keywords

    Deposit insurance; Basel 2; Systemic risk; Contagion risk; Financial safety net; G21; G22;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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