Banking Policy and the Pricing of Deposit Guarantees: A New Approach
Summary:
This paper describes a new approach to pricing government deposit guarantees that uses techniques of stochastic process switching employed in the recent literature on exchange rate determination. Our model avoids inconsistent assumptions about the information available to investors and the government common in previous work based on an option pricing approach. We derive actuarially fair deposit insurance premia and optimal financial reorganization rules and examine the role of banking policies such as capital requirements.
Series:
Working Paper No. 1991/131
Subject:
Auditing Banking Deposit insurance Financial crises Financial markets Government liabilities Labor Public financial management (PFM) Stock markets Wages
Notes:
Describes a new approach to pricing government deposit guarantees that uses techniques of stochastic process switching employed in the recent literature on exchange rate determinations.
English
Publication Date:
December 1, 1991
ISBN/ISSN:
9781451933192/1018-5941
Stock No:
WPIEA1311991
Pages:
22
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