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首页> 外文期刊>International Journal of Innovative Computing Information and Control >ACTUARIALLY FAIR DEPOSIT INSURANCE PREMIUM DURING A FINANCIAL CRISIS: A BARRIER-CAPPED BARRIER OPTION FRAMEWORK
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ACTUARIALLY FAIR DEPOSIT INSURANCE PREMIUM DURING A FINANCIAL CRISIS: A BARRIER-CAPPED BARRIER OPTION FRAMEWORK

机译：金融危机期间的准确公允存款保险费：适用于障碍的障碍选择框架

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摘要

This paper examines loan-risk sensitive deposit insurance premiums with explicitly treating the early problems of bank lender and firm borrower in a financial crisis. In a bank-barrowing firm situation, the lending function creates the need to model bank equity value as a borrower-barrier-capped barrier option. This paper presents the following results, (ⅰ) A high barrier of the borrowing firm as well as the bank's barrier reduce bank interest margin, i.e., the spread between the loan rate and the deposit rate. Capped barrier as such makes the bank more prone to risk-taking, (ⅱ) Deposit insurance increases the bank interest margin, implying that the insurance policy is effective to reduce bank risk-taking. (ⅲ) Either the barrier increases the actuarially fair deposit insurance premium, indicating that the premium should be increased not only by the bank's barrier but also by the capped barrier from the borrowing firm, (ⅳ) A good quality management of the bank will share the insurer's liabilities when the barrier of the borrowing firm increases.
机译：本文研究了对贷款风险敏感的存款保险费，并明确处理了金融危机中银行贷方和公司借款人的早期问题。在一家拥有大量银行的公司情况下，放贷功能产生了对将银行股权价值建模为借贷者－障碍设定的障碍期权的需求。本文提出以下结果：（ⅰ）借款公司的高壁垒以及银行的壁垒降低了银行的息差，即贷款利率与存款利率之间的利差。因此，有上限的壁垒使银行更容易冒险。（ⅱ​​）存款保险提高了银行的保证金，这意味着该保险单是有效降低银行冒险行为的。 （ⅲ）壁垒增加了精算公允存款保险费，这表明保险费不仅应通过银行的壁垒来提高，而且应该通过借款公司的上限壁垒来提高。（ⅳ）银行的良好质量管理将分享当借款公司的壁垒增加时，保险人的负债。

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