Time Variability of Bank Asset Volatility on Deposit Insurance Price
Yi-rong YING, Wei-yi ZHANG, Meng-le GU, Yuya WANG
Available Online 20 December 2019.
- https://doi.org/10.2991/aebmr.k.191217.017How to use a DOI?
- Time-varying volatility, Deposit insurance price, B-S formula
- 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.
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 -