Risk management of deposit insurance corporations with risk-based premiums and credit default swaps

DOI10.1080/14697688.2020.1726437zbMath1471.91488OpenAlexW3016117081MaRDI QIDQ5139216

Ting-Fu Chen, Shih-Kuei Lin, Yang-Che Wu

Publication date: 7 December 2020

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1726437

zbMATH Keywords

moral hazarddeposit insurancecredit default swapscapital forbearance

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Actuarial mathematics (91G05)

Cites Work

• Default risk, bankruptcy procedures and the market value of life insurance liabilities
• Real interest rates, leverage, and bank risk-taking
• Estimating the cost of deposit insurance with stochastic interest rates: the case of Taiwan
• Deposit Insurance, Moral Hazard and Market Monitoring
• An equilibrium characterization of the term structure

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