Revisiting the valuation of deposit insurance
提出了一个评估存款保险定价的框架，考虑了存款人优先权和或有资本债券的影响，发现传统模型高估保费，且或有资本债券能部分抵消银行过度风险承担。
Abstract This study proposes a framework for pricing deposit insurance that evaluates the effect of depositor preference laws and the issuance of contingent capital bonds. Four main findings emerge from this study. First, traditional option pricing models of deposit insurance overestimate insurance premiums. Second, only large issuances of contingent capital bonds decrease deposit insurance premiums under depositor preference. Third, the issuance of contingent capital bonds can partially offset banks' excessive risk‐taking caused by regulatory forbearance. Finally, although large banks have implied too‐big‐to‐fail risks, the deposit insurer's costs from large banks are not nearly as high as reported in previous studies.