Working Paper
The changing role of banks and the changing value of deposit guarantees
Abstract: Using a model for pricing deposit guarantees that treats the bank's investments as a portfolio of default-free bonds and risky loans, the authors push back uncertainty to the level of the borrowing firm and thus are able to explore how factors like firm leverage, loan maturity, and correlation effects between the firm's assets and interest rates affect the value of deposit guarantees.
Keywords: Deposit insurance; Bank loans;
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Bibliographic Information
Provider: Federal Reserve Bank of Cleveland
Part of Series: Working Papers (Old Series)
Publication Date: 1995
Number: 9502