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Une analyse optionnelle des crises bancaires turques de 1994 et 2000-2001

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Abstract

[fre] Cette note propose une nouvelle approche optionnelle de l’évaluation de la valeur marchande des dépôts bancaires. Pour cela, l’auteur utilise une méthode différente de la méthode traditionnelle basée sur Black et Scholes (1973). Afin de mettre en avant le rôle central de l’intermédiaire bancaire, l’auteur utilise la méthode de Margrabe (1978). Cette étude est illustrée par l’analyse des crises bancaire turques de 1994 et 2000-2001. . Classification JEL : G12, G21 [eng] Banks deposits as exchange options. Evidence from the Turkish banking crises . This paper investigates two issues unexplored by both the literature on banking crisis and the one on market discipline. Regarding the latter, the author proposes to introduce a modified Black and Scholes (1973) formula using Margrabe’s (1978) one. This allows showing how banks fund illiquid assets by liquid deposits. Regarding the former, the author applies both methods to the evaluation of deposits market values in banking crisis context. This study is illustrated with the 1994 and the 2000-2001 Turkish banking crises. . JEL classification : G12, G21

Suggested Citation

  • Julien Reynaud, 2007. "Une analyse optionnelle des crises bancaires turques de 1994 et 2000-2001," Revue d'Économie Financière, Programme National Persée, vol. 87(1), pages 241-246.
    • Handle: RePEc:prs:recofi:ecofi_0987-3368_2007_num_87_1_4246
    DOI: 10.3406/ecofi.2007.4246
    Note: DOI:10.3406/ecofi.2007.4246
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    5. Allen, Linda & Saunders, Anthony, 1993. "Forbearance and valuation of deposit insurance as a callable put," Journal of Banking & Finance, Elsevier, vol. 17(4), pages 629-643, June.
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    7. Laeven, Luc, 2002. "Pricing of deposit insurance," Policy Research Working Paper Series 2871, The World Bank.
    8. 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.
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    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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