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| Author: | Duan, J. Moreau, A. Sealey, C. |
| Title: | Deposit insurance and bank interest rate risk: pricing and regulatory implications |
| Journal: | Journal of Banking and Finance
1995 : SEP, VOL. 19:6, p. 1091-1108 |
| Index terms: | DEPOSIT BANKS INSURANCE INTEREST RATES |
| Language: | eng |
| Abstract: | The linkage between the interest rate risk exposure of banks and the liabilities of a deposit insuring agency is not well understood. In this paper, a model is developed to evaluate the interest rate risk exposure of both deposit taking institutions and deposit insuring agents when bank equity has limited liability and interest rates are stochastic. Based on a sample of US banks, empirical results are presented for the interest rate risk exposure of banks and its impact on the liabilities of the FDIC. |
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