A loss default simulation model of the federal bank deposit insurance funds

被引：1

作者：

Bennett, RL ^{[1
]}

Nuxoll, DA ^{[1
]}

Jarrow, RA ^{[1
]}

Fu, MC ^{[1
]}

Zhang, HJ ^{[1
]}

机构：

[1] FDIC, Washington, DC 20429 USA

来源：

Proceedings of the 2005 Winter Simulation Conference, Vols 1-4 | 2005年

关键词：

D O I：

10.1109/WSC.2005.1574459

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

This paper discusses a simulation model that is used in a martingale valuation approach to measure and value the risk of the FDIC deposit insurance funds. The FDIC insurance funds capitalize a portfolio of insurance policies, each issued to depositors of an individual commercial bank. To evaluate this portfolio, our methodology evaluates the insurance policies for depositors at each individual bank and aggregates to obtain the risk of the entire portfolio. To adequately model the risks associated with credit, interest rate, deposit growth, and loss rate, a multi-dimensional system is formulated. The risk measurement and valuation results are based on Monte Carlo simulation of the system risks.

引用

页码：1835 / 1843

页数：9

共 50 条

[21] Deposit Insurance Premiums and Bank Risk
Kim, Edward T.
Rezende, Marcelo
REVIEW OF CORPORATE FINANCE STUDIES, 2023, 12 (02): : 291 - 325
[22] Deposit insurance and international bank liabilities
Hulzinga, H
Nicodème, G
JOURNAL OF BANKING & FINANCE, 2006, 30 (03) : 965 - 987
[23] Deposit insurance and bank dividend policy
Johari, Edie Erman Che
Chronopoulos, Dimitris K.
Scholtens, Bert
Sobiech, Anna L.
Wilson, John O. S.
JOURNAL OF FINANCIAL STABILITY, 2020, 48
[24] Bank-runs and deposit insurance
Wang, XJ
Zhu, ZY
Yin, H
SERVICE SYSTEMS AND SERVICE MANAGEMENT - PROCEEDINGS OF ICSSSM '04, VOLS 1 AND 2, 2004, : 945 - 950
[25] The Role of Deposit Insurance in Bank Resolution
Hofmann, Christian
JOURNAL OF FINANCIAL REGULATION, 2020, 6 (01) : 148 - 158
[26] REDUCING THE BANK DEPOSIT INSURANCE PREMIUM
Ihlefeld, August
HARVARD BUSINESS REVIEW, 1949, 27 (04) : 438 - 448
[27] THRIFT DEREGULATION AND FEDERAL DEPOSIT INSURANCE
BARTH, JR
BRADLEY, MG
JOURNAL OF FINANCIAL SERVICES RESEARCH, 1989, 2 (03) : 231 - 259
[28] The federal deposit insurance corporation improvement act, bank internal controls and financial reporting quality
LaFond, Ryan
You, Haifeng
JOURNAL OF ACCOUNTING & ECONOMICS, 2010, 49 (1-2): : 75 - 83
[29] Sensitivity analysis of bank deposit insurance based on Merton pricing model
Dong, P.-W. (dongpeiwu@bit.edu.cn), 2012, Beijing Institute of Technology (21):
[30] THE FEDERAL DEPOSIT INSURANCE CORPORATIONS AMENABILITY TO SUIT UNDER THE FEDERAL TORT CLAIMS ACT FOR PREFERENTIAL DISTRIBUTION OF ASSETS OF INSOLVENT BANK
MCGINNITY, MA
WISCONSIN LAW REVIEW, 1981, (03) : 593 - 632

← 1 2 3 4 5 →