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Banking Policy and the Pricing of Deposit Guarantees

Banking Policy and the Pricing of Deposit Guarantees »

Source: Banking Policy and the Pricing of Deposit Guarantees : A New Approach

Volume/Issue: 1991/131

Series: IMF Working Papers

Author(s): W. Perraudin , and Steven Fries

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1991

ISBN: 9781451933192

Keywords: deposit insurance, stock market, banking, deposit guarantee, insurance premium

This paper describes a new approach to pricing government deposit guarantees that uses techniques of stochastic process switching employed in the recent literature on exchange rate determination. Our model avoids i...

Is There a Novelty Premium on New Financial Instruments? The Argentine Experience with GDP-Indexed Warrants

Is There a Novelty Premium on New Financial Instruments? The Argentine Experience with GDP-Indexed Warrants »

Source: Is There a Novelty Premium on New Financial Instruments? The Argentine Experience with GDP-Indexed Warrants

Volume/Issue: 2008/109

Series: IMF Working Papers

Author(s): Luca Ricci , Marcos Chamon , and Alejo Costa

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2008

ISBN: 9781451869699

Keywords: GDP-indexed bonds, country insurance, financial development, premium, discount rate, inflation, bonds, bond, cash flows,

This paper examines the Argentine experience with GDP-indexed warrants in order to gauge the existence of a novelty premium on new financial instruments. It develops a Monte Carlo pricing exercise to calculate the...

Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance »

Source: Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

Volume/Issue: 2012/194

Series: IMF Working Papers

Author(s): Tiago Severo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2012

ISBN: 9781475505436

Keywords: stock returns, banking, bank assets, insurance premium, bond, Econometric Modeling, General Financial Markets,

I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks we...

Banking Policy and the Pricing of Deposit Guarantees
			: A New Approach

Banking Policy and the Pricing of Deposit Guarantees : A New Approach »

Volume/Issue: 1991/131

Series: IMF Working Papers

Author(s): W. Perraudin , and Steven Fries

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1991

DOI: http://dx.doi.org/10.5089/9781451933192.001

ISBN: 9781451933192

Keywords: deposit insurance, stock market, banking, deposit guarantee, insurance premium

This paper describes a new approach to pricing government deposit guarantees that uses techniques of stochastic process switching employed in the recent literature on exchange rate determination. Our model avoids i...

Is There a Novelty Premium on New Financial Instruments? The Argentine Experience with GDP-Indexed Warrants

Is There a Novelty Premium on New Financial Instruments? The Argentine Experience with GDP-Indexed Warrants »

Volume/Issue: 2008/109

Series: IMF Working Papers

Author(s): Luca Ricci , Marcos Chamon , and Alejo Costa

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2008

DOI: http://dx.doi.org/10.5089/9781451869699.001

ISBN: 9781451869699

Keywords: GDP-indexed bonds, country insurance, financial development, premium, discount rate, inflation, bonds, bond, cash flows,

This paper examines the Argentine experience with GDP-indexed warrants in order to gauge the existence of a novelty premium on new financial instruments. It develops a Monte Carlo pricing exercise to calculate the...

Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance »

Volume/Issue: 2012/194

Series: IMF Working Papers

Author(s): Tiago Severo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2012

DOI: http://dx.doi.org/10.5089/9781475505436.001

ISBN: 9781475505436

Keywords: stock returns, banking, bank assets, insurance premium, bond, Econometric Modeling, General Financial Markets,

I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks we...