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研究生:謝富順
研究生(外文):Fu-Shuen Shie
論文名稱:考量破產成本下的存款保險定價
論文名稱(外文):PRICING OF DEPOSIT INSURANCE WITH BANKRUPTCY COST
指導教授:黃達業黃達業引用關係
學位類別:博士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2006
畢業學年度:95
語文別:英文
論文頁數:54
中文關鍵詞:存款保險破產成本選擇權評價模型姑息永久美式賣權
外文關鍵詞:Deposit InsuranceBankruptcy Costoption pricing modelforbearanceAmerican perpetual put option
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We apply the isomorphic relationship between deposit insurance and the put option to derive the pricing model of deposit insurance with forbearance. Our put option formula is obtained under the assumption that there exists a bankruptcy cost to go along with the bank’s asset risk. In departing from Allen and Saunders (1993), we argue that bankruptcy cost is an important factor, especially when the insured institution is insolvent. A closed-form solution is derived within a framework of deposit insurance valuation and a numerical estimation is computed using the simulation method.
Contents
Summary Section of “Pricing of Deposit Insurance with Bankruptcy Cost” 1
Essay 1 Pricing of Deposit Insurance with Bankruptcy Cost 2
I. INTRODUCTION 3
II. SOME GENERAL CONSIDERATIONS 7
III. THE DEPOSIT INSURANCE MODEL WITH BANKRUPTCY COST 10
A. The Basic Setup 10
B. The Non-callable Value of Deposit Insurance with Bankruptcy Cost 12
C. The Callable Value of Deposit Insurance with Bankruptcy Cost 16
D. Simulated Value of the Put with Bankruptcy Cost 19
IV. CONCLUSION 22
REFERENCES 23

Essay 2 Barrier option in deposit insurance with Bankruptcy Cost 30
1. Introduction 31
2. Barrier Option in Deposit Insurance without Bankruptcy Cost 35
3. Application of the Barrier Option to Pricing Deposit Insurance with Bankruptcy Cost 40
4. Conclusion 46
References 47
Appendix 49
REFERENCES
Allen, L. and A. Saunders, 1993, Forbearance and Valuation of Deposit Insurance as a Callable Put, Journal of Banking and Finance 17, 629–643.
Altman, E. I., 1984, A Further Empirical Investigation of the Bankruptcy Cost Question, Journal of Finance 39, 1067-1089.
Andrade, G. and S.N. Kaplan, 1998, How Costly is Financial (not Economic) Distress? Evidence from Highly-leveraged Transactions that Became Distressed, Journal of Finance 53, 1443-1493.
Betker, B., 1997, The Administrative Costs of Debt Restructurings: Some Recent Evidence, Financial Management 26, 56-68.
Black, F. and M. Scholes, 1973, The Pricing of Options and Corporate Liabilities, Journal of Political Economy 81: 637-659.
Branch, B., 2002, The Cost of Bankruptcy: A Review, International Review of Financial Analysis 11, 39-57.
Buser, S., A. Chen and E. Kane, 1981, Federal Deposit Insurance, Regulatory Policy, and Optimal Bank Capital, Journal of Finance 36, 51-60.
Cummins, D., S. Harrington and G. Niehaus, 1995, Risk-based Capital Requirements for Property-Liability Insurers: A Financial Analysis, in Altman, E. and I. Vanderhoof, eds., The Financial Dynamics of the Insurance Industry, New York, IRWIN.
Cutler, D. and L. Summers, 1988, The Costs of Conflict Resolution and Financial Distress: Evidence from the Texaco-Pennzoil Litigation, Rand Journal of Economics 19, 157-72.
Demirgüç-Kunt, A. and E. Kane, 2002, Deposit-Insurance Around the World: Where Does it Work? Journal of Economic Perspectives 16, 175-195.
Dreyfus, J.-F., A. Saunders and L. Allen, 1994. Deposit Insurance and Regulatory Forbearance: Are Caps on Insured Deposits Optimal? Journal of Money, Credit, and Banking 26 (part 1), no. 3, 412-38.
Duan, J.-C., A. Moreau and C. Sealey, 1992, Fixed-rate Deposit Insurance and Risk-shifting Behavior at Commercial Banks, Journal of Banking and Finance 16, 715–742.
Duan, J-C. and M. T. Yu, 1999, Capital Standard, Forbearance and Deposit Insurance Pricing under GARCH, Journal of Banking and Finance Vol. 23, no. 11:1691-706.
Franks, J. and W. Torous, 1994, A Comparison of Financial Recontracting in Distressed Exchanges and Chapter 11 Reorganizations, Journal of Financial Economics 35, 349-370.
Ibbotson, R., L. Siegel and K. Love, 1985, World Wealth: Market Values and Returns, Journal of Portfolio Management 11, 4-23.
Marcus, A. J. and I. Shaked, 1984 The Valuation of FDIC Deposit Insurance Using Option-pricing Estimates, Journal of Money, Credit, and Banking 16, 446-460.
Merton, R. C., 1973, Theory of Rational Option Pricing, Bell Journal of Economics and Management Science 4: 141-183.
Merton, R. C., 1977, An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees, Journal of Banking and Finance 1, 3–11.
Merton, R. C., 1978, On the Cost of Deposit Insurance When There Are Surveillance Costs, Journal of Business 51, 439–452.
Opler, T.C. and S. Titman, 1994, Financial Distress and Corporate Performance, Journal of Finance 49, 1015-1040.
Pennacchi, G., 1987a, A Reexamination of the Over- or Under-pricing of Deposit Insurance, Journal of Money, Credit, and Banking 19, 340–360.
Pennacchi, G., 1987b, Alternative Forms of Deposit Insurance: Pricing and Bank Incentive Issues, Journal of Banking and Finance 11, 291–312.
Pyle, D., 1986, Capital Regulation and Deposit Insurance, Journal of Banking and Finance 10, 189-202.
Ronn, E. and A. Verma, 1986, Pricing Risk-adjusted Deposit Insurance: An Option-based Model, Journal of Finance 41, 871–895.
Thomson, J., 1987, The Use of Market Information in Pricing Deposit Insurance, Journal of Money, Credit and Banking 19(4), 528-537.
Warner, J., 1977, Bankruptcy Costs: Some Evidences, Journal of Finance, 32, 337-347.
Weiss, L. A., 1990, Bankruptcy Resolution: Direct Cost and Violation of Priority of Claims, Journal of Financial Economics 27, 285-314.
Williamson, O., 1988, Corporate Finance and Corporate Governance, Journal of Finance 43, 567-591.
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