Game theoretic valuation of deposit insurance under jump risk: from too small to survive to too big to fail
Publication in refereed journal

香港中文大學研究人員
替代計量分析
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其它資訊
摘要This study examines the valuation problem in deposit insurance as a game option between the deposit insurer and the insured bank with asymmetric bankruptcy costs. The asset-to-deposit ratio of the insured bank is modeled as an exponential Lévy process with a spectrally negative jump. The study examines a wide range of scenarios in which the optimal closure policies of both parties are fully characterized. Explicit solutions are derived under the exponential jump diffusion case. This model captures several important issues in banking supervision, including the too big to fail and too small to survive phenomena, bank reorganization, and regulatory forbearance.
出版社接受日期08.08.2019
著者Tat Wing Wong
期刊名稱Mathematics and Financial Economics
出版年份2020
月份1
卷號14
期次1
出版社Springer-Verlag GmbH Germany
出版地Germany
頁次67 - 95
國際標準期刊號1862-9679
電子國際標準期刊號1862-9660
語言美式英語
關鍵詞Game option, Deposit insurance, Bankruptcy cost, Lévy process

上次更新時間 2020-27-11 於 23:51