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제 목 2017년  제31권 제3호 The Cost of Deposit Insurance under Systematic Jump Risks -Chang Mo Ahn․Jaewook C
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첨부파일 31-3-05 안창모 정재욱(167-178).pdf (236.27 KB)
The Cost of Deposit Insurance under Systematic Jump Risks

Chang Mo Ahn․Jaewook Chung

� Abstract �

This paper generalizes the Merton deposit insurance model to the case where jump risks cannot
be eliminated in the market portfolio. The cost of deposit insurance is derived using a general
equilibrium model. Since jump risk is systematic, the correlation of the underlying stock뭩 jump
with the market portfolio뭩 jump affects the cost of deposit insurance. The effect of systematic
jump risk on the cost of deposit insurance is too significant for the low deposit-to-asset value
ratio.

Keywords : Systematic Jump Risks, Deposit Insurance, General Equilibrium
JEL Classification Number : G22

 

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