کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
8954579 | 1646019 | 2018 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Deposit insurance pricing under GARCH
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
As homoscedasticity assumption of asset return is questionable, traditional deposit insurance pricing analysis based on the Black-Scholes model always performs poorly. This paper focuses on deposit insurance pricing under a GARCH framework. A closed-form pricing formula is derived, and an estimation method for the pricing model with market data is also presented. We apply the pricing model on a sample of 40 U.S. exchange-listed banks and the results reaffirm the importance of GARCH framework. The premium rate under the GARCH framework is always much lower than its Black-Scholes counterpart during high-risk periods.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 26, September 2018, Pages 242-249
Journal: Finance Research Letters - Volume 26, September 2018, Pages 242-249
نویسندگان
Hailong Liu, Rui Li, Jinjian Yuan,