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The Estimation of Deposit Insurance with Interest Rate Risk

Author

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  • Duan, J.-C.
  • Simonato, J.-G.

Abstract

This paper uses the transformed data method proposed in Duan (1994) to develop a maximum likelihood procedure for the estimation of the deposit insurance pricing model of Duan, Moreau and Sealey (1995). An empirical analysis is carried out on ten large US banks to illustrate the proposed methodology, and the results are compared to those obtained woth the modified Ronn and Verma approach used in Duan, Moreau and Sealey (1995). The findings reveal that the maximum likelihood estimates produce large estiomates of the deposits insurance premia, when compared to the modified Ronnand Verma (1986) approach.

Suggested Citation

  • Duan, J.-C. & Simonato, J.-G., 1998. "The Estimation of Deposit Insurance with Interest Rate Risk," Ecole des Hautes Etudes Commerciales de Montreal- 98-07, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques..
  • Handle: RePEc:fth:etcori:98-07
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    Citations

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    Cited by:

    1. Christophe Morel, 2000. "Deposit Insurance as a Tool for Banking Supervision," Revue d'Économie Financière, Programme National Persée, vol. 60(5), pages 233-244.
    2. Christophe-Alain Morel, 2000. "L’assurance des dépôts, un instrument de la régulation bancaire," Revue d'Économie Financière, Programme National Persée, vol. 60(5), pages 237-248.

    More about this item

    Keywords

    INTEREST RATE ; RISK ; INSURANCE ; PRICING ; SIMULATION;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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