The Estimation of Deposit Insurance with Interest Rate Risk

J.-C. Duan and Jean-Guy Simonato ()

Ecole des Hautes Etudes Commerciales de Montreal- from Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques.

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.

Keywords: INTEREST RATE; RISK; INSURANCE; PRICING; SIMULATION (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 30 pages
Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (2)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fth:etcori:98-07

Access Statistics for this paper

More papers in Ecole des Hautes Etudes Commerciales de Montreal- from Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques. Canada; ECOLE DES HAUTES ETUDES COMMERCIALES(H.E.C.),3000, chemin de la Cote-Sainte-Catherine. Montreal (Quebec) Canada H3T 2A7.. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().