Purpose Catastrophe (CAT) events associated with natural catastrophes and man-made
disasters cause profound impacts on the insurance industry. This research thus reviews the …

We propose a multiperiod deposit insurance pricing model that simultaneously incorporates
the capital standard and the possibility of forbearance. The model employs the recently …

This paper examines the incentive compatible role of regulatory forbearance policy in the
context of optimal bank regulation under moral hazard. We show that, when a bank's asset …

As understanding the market power–risk relationship in CEE banking systems is of the
utmost importance to policy-makers in these countries, we investigate whether CEE banks …

We model deposit insurance as a European put option on the value of the bank in which
bank assets follow a displaced lognormal diffusion process. We derive closed-form solutions …

This paper develops a maximum likelihood estimation method for the deposit insurance
pricing model of Duan, Moreau and Sealey (DMS)[J. Banking Financ. 19 (1995) 1091.]. A …

A multiperiod model is developed to measure the costs posed to the guaranty fund in a
setting that incorporates risk-based capital regulations, interest rate risk and the possibility of …

As homoscedasticity assumption of asset return is questionable, traditional deposit
insurance pricing analysis based on the Black-Scholes model always performs poorly. This …

We study the efficacy of forbearance using a real options approach. Our model endogenizes
moral hazard embedded in credit risk undertaken by the bank. The bank's interest rate risk is …

Most papers studying loan guarantee are under a one-borrower and one-guarantor
framework. This study uses the option approach to construct models in which loan …