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