Construct · 1 fields · 1 citations

put option model of deposit insurance: a standalone construct

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put option model ofdeposit insurance1 CONSTRUCTPut option model ofMERTON · INSURANCE ECONOMICS

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Insurance economics

valuation of deposit insurance and loan guarantees as a put option on the insured bank's assets.

In insurance economics, put option model of deposit insurance refers to valuation of deposit insurance and loan guarantees as a put option on the insured bank's assets. This meaning comes from Merton (1977) in Journal of Banking & Finance.[1]

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Nearby constructs

deposit insurance1 fields · 1 citationsanchor · a standalone constructbank1 fields · 1 citationsanchor · a standalone constructdeposit1 fields · 1 citationsanchor · a standalone construct

References

  1. Merton, R. C. (1977). An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory. Journal of Banking & Finance, 1(1), 3-11. https://doi.org/10.1016/0378-4266(77)90015-2

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