Market Pricing of Deposit Insurance

Darrell Duffie, Robert Jarrow (), Amiyatosh Purnanandam and Wei Yang
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Wei Yang: Stanford University, USA

Chapter 22 in Financial Derivatives Pricing:Selected Works of Robert Jarrow, 2008, pp 551-577 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractWe provide an approach to the market valuation of deposit insurance that is based on reduced-form methods for the pricing of fixed-income securities under default risk. By reference to bank debt prices as well as qualitative-response models of the probability of bank failure, we suggest how a risk-neutral valuation model for deposit insurance can be applied both to the calculation of fair-market deposit insurance premia and to the valuation of long-term claims against the insurer.

Keywords: Derivatives; Options; Hedging; HJM; Black–Scholes; Forwards; Futures; Martingale Measure; Calls; Puts; Market Manipulation; Margin Requirements (search for similar items in EconPapers)
Date: 2008
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Journal Article: Market Pricing of Deposit Insurance (2003)
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