The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Pricing Risk‐Adjusted Deposit Insurance: An Option‐Based Model
Abstract
This paper presents a methodology for arriving at empirical estimates of deposit insurance premiums from market data by using isomorphic relationships between equity and a call option, and insurance and a put option. The data utilizes the market value of equity to solve for the asset value and its volatility. Market perceptions of FDIC bailout policies are explicitly modeled so as to eliminate the bias in inverted values of assets and their volatility. Sensitivity analyses are performed to show that rank orderings based on premiums are robust to changes in specification, thus facilitating allocation of aggregate premium across banks.
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Cited by
Does the Source of Capital Affect Capital Structure?
Faulkender, M., & Petersen, M. A. (2006) · Review of Financial Studies · doi:10.1093/rfs/hhj003 · Cited by 1,375
The role of capital in financial institutions
Berger, A. N., Herring, R. J., & Szegö, G. P. (1995) · Journal of Banking & Finance · doi:10.1016/0378-4266(95)00002-x · Cited by 980
Ahmed, A. S., Takeda, C., & Thomas, S. (1999) · Journal of Accounting and Economics · doi:10.1016/s0165-4101(99)00017-8 · Cited by 912
Accounting discretion, loan loss provisioning, and discipline of Banks’ risk-taking
Bushman, R. M., & Williams, C. D. (2012) · Journal of Accounting and Economics · doi:10.1016/j.jacceco.2012.04.002 · Cited by 784
Corporate Control, Portfolio Choice, and the Decline of Banking
GORTON, G., & ROSEN, R. (1995) · The Journal of Finance · doi:10.1111/j.1540-6261.1995.tb05183.x · Cited by 543
Metadata
- Authors
- RONN, E. I., & VERMA, A. K.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1986-09
- Volume
- 41
- Issue
- 4
- Pages
- 871-895
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2163766194
- Cited by
- 701
- References
- 1
- FWCI
- 15.49
- Type
- journal article
- Language
- en
- Open access
- closed
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- RONN, E. I., & VERMA, A. K. (1986). Pricing Risk‐Adjusted Deposit Insurance: An Option‐Based Model. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1986.tb04554.x
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
