Proceedings of the 2019 International Conference on Economic Management and Cultural Industry (ICEMCI 2019)

Time Variability of Bank Asset Volatility on Deposit Insurance Price

Authors
Yi-rong YING, Wei-yi ZHANG, Meng-le GU, Yuya WANG
Corresponding Author
Yi-rong YING
Available Online 20 December 2019.
DOI
https://doi.org/10.2991/aebmr.k.191217.017How to use a DOI?
Keywords
Time-varying volatility, Deposit insurance price, B-S formula
Abstract
The deposit insurance price comprehensively reflects the possibility of bank default and can be regarded as an excellent measure of individual bank risk. However, how to combine it with the time variability of bank asset volatility is a difficult problem, so it is still necessary to carefully verify its rationality. We have verified the B-S model and the GARCH model from the perspective of time-varying bank asset volatility, and obtained a more reasonable model. It has analyzed the impact of time-varying volatility on deposit insurance pricing.
Open Access
This is an open access article distributed under the CC BY-NC license.

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Cite this article

TY  - CONF
AU  - Yi-rong YING
AU  - Wei-yi ZHANG
AU  - Meng-le GU
AU  - Yuya WANG
PY  - 2019
DA  - 2019/12/20
TI  - Time Variability of Bank Asset Volatility on Deposit Insurance Price
BT  - Proceedings of the 2019 International Conference on Economic Management and Cultural Industry (ICEMCI 2019)
PB  - Atlantis Press
SP  - 94
EP  - 98
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.191217.017
DO  - https://doi.org/10.2991/aebmr.k.191217.017
ID  - YING2019
ER  -