Earticle

초록

영어

This paper provides further evidence regarding the effect of deposit insurance on the risk-shifting behavior at commercial banks in the United States. In particular, we compare the risk-shifting behavior of commercial banks before and after adopting the risk-based capital requirements in the U.S. market. To test the risk-shifting behaviors, we propose a new pricing model for the valuation of deposit insurance premium using a barrier option framework. We also estimate the unknown parameters using a maximum likelihood estimation method rather than Ronn and Verma’s (1986) two-equation approach. We find that the risk-shifting behaviors at commercial banks have reduced significantly but have not disappeared after the adoption of a risk-based deposit insurance system. The risk-shifting behavior at commercial banks still exists, especially for those banks with high risks or high financial distress probabilities. We find that the deposit insurance reform prevents large banks from shifting their risk to the deposit insurers as well.

목차

Abstract
 1 Introduction
 2 Institutional background
 3 Models of Deposit Insurance under a barrier option framework
  3.1 Risk-Adjusted Deposit Insurance Premiums
  3.2 Estimation of Bank Assets and Its Volatilities
 4 Empirical Design for Testing Risk-Shifting Behavior at Commercial Banks
 5 Empirical Analysis
  5.1 Data and Sample Selection
  5.2 Empirical Results
  5.3 Robustness Checks
 6 Conclusions
 Appendix
 References
 Table

키워드

저자

• 한국재무학회

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330