Warianty tytułu
Języki publikacji
Abstrakty
Celem opracowania jest systematyzacja obecnych w literaturze przedmiotu metod wyliczania skorygowanej o ryzyko składki depozytowej oraz krytyczna analiza najważniejszych algorytmów, połączona z próbą oceny ich przydatności z punktu widzenia instytucji regulacyjnych. (fragment tekstu)
Twórcy
autor
Bibliografia
- Bhattacharya S., Plank M., Strobl G., Zechner J., Bank capital regulation with random audits, „Journal of Economic Dynamics Control”, 2002, Vol. 26/4, p. 1301–1321.
- Castaneda J-C., Leonel H. O., Put-options on bank-deposits: an efficient deposit-insurance scheme for Guatemala, Banco de Guatemala, Departamento de Investigaciones Económicas, Working Paper 2005.
- Colantuoni J., Pricing Deposit Insurance as a Contingent Claim, PhD Dissertation University of Virginia 2002.
- Cooperstein R., Pennacchi G., Redburn F. S., The Aggregate Cost of Deposit Insurance: A Multiperiod Analysis, „Journal of Financial Intermediation”, 1995, 4, p. 242–271.
- Demirgüç-Kunt A., Karacaovali B., Laeven L., Deposit Insurance around the World: A Comprehensive Database, World Bank Policy Research Working Paper 3628, June 2005.
- Duan J. C., Maximum Likelihood Estimation Using Price Data of the Derivative Contract, Mathematical Finance, 1994, 4(2), p. 155–167.
- Duan J. C.,, Moreau J., Sealey E., Deposit insurance and bank interest rate risk: Pricing and regulatory implications, „Journal of Banking and Finance”, 1995, 19, p. 1091–1108.
- Duan J. C., Simonato J.-G., Maximum likelihood estimation of deposit insurance value with interest rate risk, „Journal of Empirical Finance”, 2002, 9, p. 109–132.
- Duffie D., Jarrow R., Purnanandam A., Yiang W., Market Pricing of Deposit Insurance, „Journal of Financial Services Research”, 2003, 24:2/3, p. 93–119.
- Epps T. W., Pulley L. B., Humphrey D. B., Assessing the FDIC's premium and examination policies using 'Soviet' put options, „Journal of Banking and Finance”, 1996, 20, p. 699–721.
- Falkenheim J., Pennacchi G., The cost of deposit insurance for privately held banks: a market comparable approach, Working Paper, Federal Reserve Bank of Cleveland, 2002.
- Felsenheimer J., Gisdakis P., Zaiser M., Abbildung von Ausfallereignissen in Intensitätsmodellen, Risikomanager, 08.2006; 19.4.2006; www.risiko-manager.com
- Fondo de Segure de Deposits, Annual Report 2006: http://www.fsd.org.pe/Memorias/ Memoria2006/Memoria_ingles_2006.pdf
- Frolov M., Funding Deposit Insurance: Designing Options and Practical Choices, Working Paper Keio University, February 2004.
- Garcia G., Deposit Insurance: Risk-Adjusted Pricing, Working Paper, April 2005.
- Giammarino R., Schwartz E., Zechner J., Market valuation of bank assets and deposit insurance in Canada, „Canadian Journal of Economica”, 1989, Vol. 22, No. 1.
- Heffernan S., Nowoczesna bankowość, Wydawnictwo Naukowe PWN, Warszawa 2007, s. 253–255.
- Iwanicz-Drozdowska M., Typologia i tendencje rozwojowe systemów gwarantowania depozytów, [w:] Systemy gwarantowania depozytów w Polsce i na świecie, PWE, Warszawa 2005.
- Krysiak Z., Ryzyko kredytowe, PWE, Warszawa 2006.
- Laeven L., Pricing of deposit insurance, World Bank Policy Research Paper 2871, 2002.
- Laeven L., Bank Risk and Deposit Insurance, The World Bank Economic Review, 2002, Vol. 16, No. 1, p. 109–137.
- Maccario A., Sironi A., Zazzara Z., Applying Credit Risk Models to Deposit Insurance Pricing: Empirical Evidence from the Italian Banking System, Working Paper, University of Bologna 2003.
- Marcus A., Shaked I., The valuation of FDIC deposit insurance using option pricing estimates, „Journal of Money Credit and Banking”, 1984, 16, p. 446–460.
- Merton R., An analytic derivation of the cost of deposit insurance and loan guarantees - An application of modern option pricing theory, „Journal of Banking and Finance”, 1977, Vol. 1, No. 15.
- Merton R., On the cost of deposit insurance when there are surveillance costs, „Journal of Business”, 1978, Vol. 51, No. 3.
- Oda N., Estimating Fair Premium Rates for Deposit Insurance Using Option Pricing Theory: An Empirical Study of Japanese Banks, Bank of Japan Monetary and Economic Study, May 1999.
- Pennacchi G., A re-examination of over or underpricing of deposit insurance, „Journal of Money Credit and Banking”, 1987, 19, p. 340–360.
- Pennacchi G., Estimating the federal government's cost of deposit insurance, Working Paper 1998.
- Ronn E., Verma A., Pricing Risk-Adjusted Deposit Insurance: An Option - Based Model, „Journal of Finance”, 1986, 41,p. 871–895.
- Vaez-Zadeh R., Xie D., Zoli E., MODIS: A Market-Oriented Deposit Insurance Scheme, International Monetary Fund Working Paper 2002.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000168362591