TY - JOUR
T1 - A contingent claim analysis of a regulated depository institution
AU - Crouhy, Michel
AU - Galai, Dan
PY - 1991/2
Y1 - 1991/2
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=0042384119&partnerID=8YFLogxK
U2 - 10.1016/0378-4266(91)90038-N
DO - 10.1016/0378-4266(91)90038-N
M3 - ???researchoutput.researchoutputtypes.contributiontojournal.article???
AN - SCOPUS:0042384119
SN - 0378-4266
VL - 15
SP - 73
EP - 90
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
IS - 1
ER -