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Three essays on capital insurance an...

Ivanov, Katerina.

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Three essays on capital insurance and too big to fail banks.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Three essays on capital insurance and too big to fail banks./
作者:	Ivanov, Katerina.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2016,
面頁冊數:	141 p.
附註:	Source: Dissertation Abstracts International, Volume: 77-11(E), Section: A.
Contained By:	Dissertation Abstracts International77-11A(E).
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10139919
ISBN:	9781339953977

Three essays on capital insurance and too big to fail banks.
Ivanov, Katerina.

Three essays on capital insurance and too big to fail banks. - Ann Arbor : ProQuest Dissertations & Theses, 2016 - 141 p.

Source: Dissertation Abstracts International, Volume: 77-11(E), Section: A.

Thesis (Ph.D.)--The University of North Carolina at Charlotte, 2016.

This research study presents an insurance framework of the bank capital by introducing a new type of capital, namely, an insurance capital. A bank pays the insurance capital to an entity which injects a pre-determined payout of capital during the period of systemic crisis. The pre-determined payout relies on the aggregate loss of a bank sector, so this contract between the bank and the entity is a capital insurance contract. In a rational equilibrium setting, the entity charges an appropriate premium while the banks purchase an optimal amount of the insurance.

ISBN: 9781339953977Subjects--Topical Terms:

542899
Finance.

Three essays on capital insurance and too big to fail banks.
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245 1 0 $a Three essays on capital insurance and too big to fail banks.
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500 $a Source: Dissertation Abstracts International, Volume: 77-11(E), Section: A.
500 $a Adviser: Weidong Tian.
502 $a Thesis (Ph.D.)--The University of North Carolina at Charlotte, 2016.
520 $a This research study presents an insurance framework of the bank capital by introducing a new type of capital, namely, an insurance capital. A bank pays the insurance capital to an entity which injects a pre-determined payout of capital during the period of systemic crisis. The pre-determined payout relies on the aggregate loss of a bank sector, so this contract between the bank and the entity is a capital insurance contract. In a rational equilibrium setting, the entity charges an appropriate premium while the banks purchase an optimal amount of the insurance.
520 $a Chapter I presents a welfare analysis of several capital insurance programs in a rational expectation equilibrium setting. We first characterize explicitly the equilibrium of each capital insurance program. Then, we demonstrate that a capital insurance program based on the aggregate loss is better than the classical insurance when those big financial institutions have similar expected loss exposures. By contrast, the classical insurance is more desirable when the bank's individual risk is consistent with the expected loss in a precise way. Our analysis shows that the capital insurance program is a useful tool to hedge the systemic risk from the regulatory perspective.
520 $a As an extension, Chapter II demonstrates that, both the entity and the banks have motivations to participate in this capital insurance program due to their increased expected utilities (welfare) respectively. The total systemic risk ex post within the capital insurance program is reduced and can be even removed eventually after repeatedly entering the capital insurance program.
520 $a In Chapter III, we develop a rational expectation equilibrium of capital insurance to identify too big to fail banks. We show that (1) too big to fail banks can be identified by loss betas, a new systemic risk measure through this equilibrium analysis, of all banks in the entire financial sector by an explicit algorithm; (2) the too big to fail feature can be largely justified by a high level of loss beta; (3) the capital insurance proposal benefits market participants and reduces the systemic risk; (4) the implicit guarantee subsidy can be estimated within this equilibrium framework; and (5) the capital insurance proposal can be used to resolve the moral hazard issue. The model is further tested empirically to identify too big to fail banks during both pre-crisis and pro-crisis periods. Implementing the proposed methodology, we document that the too big to fail issue has been considerably reduced in the pro-crisis period. As a result, we demonstrate that the capital insurance proposal could be a useful macro-regulation innovation policy tool.
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650 4 $a Banking. $2 bicssc $3 1557594
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710 2 $a The University of North Carolina at Charlotte. $b Business Administration. $3 2094623
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