A CONTINGENT CLAIM ANALYSIS OF A REGULATED DEPOSITORY INSTITUTION

被引：27
作者：
CROUHY, M [1 ]
GALAI, D [1 ]
机构：
[1] HEBREW UNIV JERUSALEM,JERUSALEM SCH BUSINESS,JERUSALEM,ISRAEL
来源：
JOURNAL OF BANKING & FINANCE | 1991年 / 15卷 / 01期
关键词：
D O I：
10.1016/0378-4266(91)90038-N
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
A model of financial intermediation to determine the market value of bank equity, deposits and deposit insurance is developed. The implicit equilibrium interest rate on deposits is derived and analyzed. Three types of risks are considered in the model: interest-rate risk, financial risk and default risk. The effect of different regulatory measures, such as capital adequacy, reserve and liquidity requirements, deposit insurance and interest rate ceilings is analyzed and their impact on the bank behavior is also assessed. Moreover, we investigate the interactions among these measures to determine which are dominant under alternative circumstances, and which are redundant. © 1991.
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页码：73 / 90
页数：18
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