金融在一國的經濟發展過程中，扮演相當重要的角色，隨著經濟的發展程度愈高，對金融的依賴則愈深。因此，一旦金融體系發生危機，可能造成支付系統的中斷，對一國的經濟與社會都會造成重大不利的影響。因此，存款保險制度的建立，其宗旨便是在防止此種危機的發生，以維護金融體系的安定與保障存款人的權益。 　　由於金融產業環境特殊，存款保險在制度的設計上，亦面臨諸多不易克服的問題。在本論文中，提出幾個重要相關的問題，並配合美國存款保險制度的發展經驗，提出分析探討。 　　本論文認為：在組織經營上，政府應介入存款保險制度的運作，才足以維護金融安定。在投保方式方面，基於政策性質，亦應以強制參加為宜。在訂價方面，應加強隱藏價格（監理措施）的發展，不宜過分強調風險費率的功能。在處理問題金融機構時，應及早建立一套因應措施，對問題機構予以迅速解決，避免造成損失擴大。 　　我國存款保險制度的成立較慢，在組織架構的設計上仍未臻完備，本文透過多項相關問題的探討，提供有關方面作為決策之參考。

This dissertation consists of six separate papers dealing with the valuation of financial guarantees and risky debt contract. Each of these papers is independent and distinct. The main theme is the valuation of securities by contingent claims analysis (CCA). Paper 1: Valuation of Financial Guarantees – A Presentation and a Critique.One purpose of this paper is to derive a pricing formula for a deposit guarantee, when the assets of the bank exhibit downward jumps due to extraordinary loan defaults. In this respect, we use the framework of Merton (1976), where a stock option is priced under the assumption of a jump-diffusion process for the underlying stock. Paper 2: Valuation of Deposit Insurance – An Alternative Approach.This paper extends paper 1 in the respect that the guarantor, in this case a deposit insurance agency, will nullify the guarantee contract and liquidate the bank when it gets insolvent. The liquidation is assumed to involve some costs like legal and realization costs. In fact, since the guarantee contract will never get in-the-money, the guarantee will receive value only from these liquidation costs. Paper 3: Financial Guarantees and Asymmetric Information.In this paper, we make the assumption that the guarantor cannot observe the solvency process, unless it carries out audits. This is different from the normal perfect information assumption for this kind of analysis. Since audits are often costly, and this burdens the guarantee value, the guarantor will search for an audit strategy, which minimizes the guarantee value. Paper 4: Valuation of Barrier Contracts – A Simplified Approach.Many types of financial contracts can be classified as "barrier contracts". This description comes from their feature of allowing either contractual part to take some kind of action during the lifetime of the contract contingent on some pre-specified event. In this sense, the deposit insurance contract in analysed in paper 2 can be regarded as a barrier contract. The previous valuation models of barrier contracts are often considerably advanced and have tended to obscure the underlying economics. It is the path-dependence and stopping-time features that primarily make the derivation of these pricing formulas complicated. Our model simplifies this procedure by deriving the important "first passage time" distribution from a binomial model instead of using the reflection principle. Paper 5: Valuation of Risky Debt in the Presence of Jumps, Safety Barriers and Collaterals.This paper deals with different aspects of risky debt valuation with the CCA approach. The term. "risky", refers to the probability of default on the promised payment by the borrower. Paper 6: Portfolio Selection and the Pricing of Personal Loan Contracts.The CCA literature that follows Black and Scholes (1973), has mainly taken the underlying asset dynamics for given. Although it may be appropriate for stock options, we consider this assumption too simplifying with regards to personal loan contracts. It is obvious that the borrower’s consumption-investment decision affects his wealth process, on which the loan contract is contingent. Moreover, we believe that individuals actually have preferences to repay loans for different reasons such as the existence of reputational costs or legal penalties that affect the borrower in case of loan default. / Diss. av båda förf.  Stockholm : Handelshögskolan

2008 m. krizės laikotarpiu Europos Sąjungos šalių vadovai ir institucijos suprato, kad galiojanti indėlių draudimo sistema yra nėra efektyvi, todėl būtini jos pakeitimai. Siekiant sustabdyti ES šalių-narių nepagrįstas išlaidas, skolos naštą ir bankų neatsakingumą, buvo priimta (1994) indėlių draudimo sistemos direktyva, kuri buvo dar keletą kartų atnaujinta (2009 ir 2014), tačiau reikšmingų pokyčių finansinėje rinkoje neįvyko, nes išryškėjo ekonominiai ir kultūriniai ES šalių-narių skirtumai, menkinantys indėlininkų pasitikėjimą bankais ir pačia indėlių draudimo sistema. Tyrimo objektas – indėlių draudimo direktyvos sprendimų priėmimo procesas, ES institucijų direktyvos pakeitimai bei įgyvendinimo modeliai Europos Sąjungoje. Darbo tikslas – išanalizuoti indėlių draudimo direktyvos atsiradimo priežastis, tobulinimo eigą ir procesus, kurie daro įtaką finansiniam sektoriui bei atlikus modelių analizę įvardinti į ES institucijų tarpusavio barjerus. Darbo uždaviniai: a) apibrėžti Europos indėlių draudimo sampratą ir įvertinti jos įtaką bankų sąjungai; b) ištirti indėlių draudimo direktyvos sprendimų priėmimo procesą bei ES institucijų poveikį jam; c) apžvelgti Vokietijos įtaką indėlių draudimo direktyvos sprendimų priėmimo procese; d) atlikti indėlių draudimo modelių ir politinės galimybės juos priimti Europoje analizę. Darbe naudojami skirtingi tyrimo metodai: analitinis-aprašomasis ir lyginamasis bei dokumentų ir statistikos analizė, jų pagalba ištirtas ryšys tarp ES... [toliau žr. visą tekstą] / During the crisis in 2008, EU institutions and leaders of member states understood, that existing deposit insurance system is inefficient and that it required necessary changes. In order to prevent unreasonable expenditures of EU member states, burden of debt and irresponsibility of banks, the deposit insurance system directive was adopted in 1994; it had been renewed several times in 2009 and 2014, however no significant changes on financial market had happened. The main reason for that were the emerged economic and cultural differences between EU member states, which depreciated depositor’s trust in banks and deposit insurance system itself. The object of research: the decision making process of deposit insurance directive, changes to directive by EU institutions and execution models in European Union. The objective of the study: to analyze the reasons for emergence of deposit insurance directive, improvement steps and processes, that influence the financial sector; and to name mutual barriers between EU institution after analysis of models. Tasks of the study: a) to define the concept of European deposit insurance and evaluate its influence to banking union; b) to research the decision making process of deposit insurance directive and the impact EU institutions had on it; c) to review the impact Germany had on decision making process of deposit insurance directive; d) to analyze the models of deposit insurance and political abilities to adopt them in Europe. Various... [to full text]

Zugl.: Sankt Gallen, Universiẗat, Diss., 2007.

Magister Legum - LLM / The research will evaluate and discuss the importance of Deposit Insurance Systems (DIS) and the necessity of having this system. Important to the evaluation is an analytical consideration of how the South African Reserve Bank (SARB), the National Treasury (NT) and other global financial bodies proposed the approach thereof. Insofar as most jurisdictions had already adopted the DIS as encouraged by the international financial institutions, the study shall determine whether it is plausible for South Africa to derive guidance in her approach taking into account the potential risks posed by the safety-net.

El presente documento investiga el efecto del capital reglamentario y el requerimiento de depósito sobre el margen de interés neto del sistema bancario en Perú en el periodo dic2010-dic2019 usando un panel de datos de 15 bancos. Este estudio está basado en la extensión del modelo teórico, planteado por Ho-Saunders (1981), realizado por Cruz-García y Fernández de Guevara (2019), en donde incluyen los requerimientos de capital y de depósito como determinantes importantes del margen o spread financiero. En el análisis econométrico se utilizó la metodología del system GMM, desarrollado por Arellano y Bond (1991), Arellano y Bover (1995) y Blundell y Bond (1998), y a través de dicha metodología, los resultados demuestran que los requerimientos de capital afectan de manera directa a los márgenes de interés de las entidades bancarias, y ello implica que los costos adicionales derivados de la regulación son trasladados a las familias y empresas a través de márgenes de interés mayores. Asimismo, las variables específicas de los bancos, como los costos operativos medios, el tamaño de operaciones, el riesgo de crédito, y el grado de competencia de los bancos son relevantes en la determinación de los márgenes de interés neto y tienen un impacto importante en ella. / This paper investigates the effect of capital requirements and deposit requirements on the net interest margin of the Peruvian banking system in the period Dec 2010 - Dec 2019 using a data panel of 15 banks. This study is based on the extension of the theoretical model proposed by Ho-Saunders (1981) and carried out by Cruz-García and Fernández de Guevara (2019), where they include capital and deposit requirements as important determinants of the financial margin or spread. The econometric analysis used the GMM system methodology, developed by Arellano and Bond (1991), Arellano and Bover (1995) and Blundell and Bond (1998), and through this methodology the results show that capital requirements directly affect the interest margins of banks, and this implies that the additional costs derived from regulation are transferred to families and companies through higher interest margins. Also, bank-specific variables, such as average operating costs, size of operations, credit risk, and the degree of competition of banks are relevant in determining net interest margins and have an important impact on it. / Trabajo de investigación

This dissertation is a theoretical and empirical investigation of the actual changes in Federal S&L asset portfolios following the deregulation of the 1980's which loosened the restrictions on the amount of non-housing related lending that Federal S&L's could undertake. In particular the study focuses on the effects of deregulation and the forces promoting and constraining the individual S&L's expansion into non-housing related assets. The theoretical model provides a framework for the empirical examination of the deregulation in the DIDMCA of 1980 and Garn-St Germain Act of 1982. The theoretical model is an adaptation of the Mingo and Wolkowitz (1977) banking model. The peculiarities of the S&L industry are embodied through adaptations of the Mingo and Wolkowitz (1977) model which emphasize after-tax profit maximization (tax laws reward specialization in housing related assets), constrain diversification into non-housing related assets, and differentiate between mutual and stock associations. Using the method of Lagrange multipliers, an expression is obtained for the effect of a change in after-tax profits for a relaxation of the constraint on diversification which becomes the focus of the analysis. By integrating the Lagrange multiplier with economic and regulatory controls, systems of regressions are developed which examine the changes in asset portfolio composition for Federal associations using balance sheet and income statement data between 1979 and 1983. The findings and implications of the empirical analysis are summarized as follows: 1. The tax laws do not appear to have constrained the diversification. 2. Specialization effects with respect to housing related assets appear to have constrained the diversification into non-housing related assets. 3. Non-housing related assets and liquid assets appear to be substitutes. 4. Stock associations, on average, have expanded into non-housing related assets to a greater extent than mutual associations. 5. The changes in liability legislation appear to have restrained the diversification into non-housing related assets. 6. Large associations appear more able to acquire the expertise needed to diversify. 7. Profitability appears to be correlated with the expansion into "new products." / Ph. D.

Submitted by Pedro Carvalho (pedrooliveiracarvalho@gmail.com) on 2017-12-28T19:41:58Z No. of bitstreams: 1 Dissertação_Pedro_de_Oliveira_Carvalho_final.pdf: 2841114 bytes, checksum: 89d0bc290363e2040745d0bce5031e4c (MD5) / Approved for entry into archive by Rafaela Moraes (rafaela.moraes@fgv.br) on 2018-01-04T12:48:08Z (GMT) No. of bitstreams: 1 Dissertação_Pedro_de_Oliveira_Carvalho_final.pdf: 2841114 bytes, checksum: 89d0bc290363e2040745d0bce5031e4c (MD5) / Made available in DSpace on 2018-01-17T11:38:49Z (GMT). No. of bitstreams: 1 Dissertação_Pedro_de_Oliveira_Carvalho_final.pdf: 2841114 bytes, checksum: 89d0bc290363e2040745d0bce5031e4c (MD5) Previous issue date: 2017-12-01 / The purpose of this dissertation is to study the role of the Brazilian Deposit InsuranceFund (Fundo Garantidor de Créditos – FGC), evidencing the benefits that an explicit guaranteestructure causes in the banking system. The focus is the last increase in the coverage limit fordepositors, in 2013. In addition, this paper discusses FGC's bailout capacity towards the financial system in order to minimize potential moments of market stress. Next, distortions the guarantee limit ofFGC increase may cause in the financial system will be discussed, highlighting the possibility of moral hazard. This paper also intends to measure the changes in the funding structure of the banking system, highlighting the relative reduction of the risks of refinancing liabilities, the effect of the diversification of funding products and number of investors and the trend of funding costs reduction. It assumes that liquidity have increased and refinancing risk, decreased, leading to funding diversification, with positive effect and declining costs. / A proposta deste trabalho é estudar o papel do Fundo Garantidor de Créditos (FGC),evidenciando os benefícios que uma estrutura de garantias explícita causa no sistema bancário,principalmente nas instituições de menor porte. Esta dissertação focará na última elevação dos limites de cobertura a depositantes, realizada em 2013.Além disso, discute a capacidade de socorro do FGC ao sistema financeiro, a fim de minimizar possíveis momentos de estresse de mercado. Em seguida, analisa distorções que o aumento do limite de garantia do FGC pode causar no mercado, destacando a possibilidade de risco moral.Este trabalho também mensura a mudança da estrutura de captação do sistema bancário,destacando a relativa redução do risco de refinanciamento de passivos, o efeito da pulverização da captação no número de investidores e a tendência de redução dos custos de captação. Parte se da hipótese de que a liquidez aumentou e o risco de refinanciamento diminuiu, fazendo com que a pulverização tivesse efeito positivo sobre a captação e os custos apresentassem tendência de redução.

Banks play a pivotal role in economic growth and development of all countries and therefore the stability of the banking system is a vital goal of bank supervisors. Banks act as delegated monitors of depositors’ funds and this relationship, like all principal-agent relationships, presents agency problems. In the case of banks agency problems arise because depositors cannot accurately assess the financial health of banks due to the asymmetry of information existing between banks and depositors. Because banks possess private information on their borrowers, which depositors cannot access, it exposes depositors to risk of loss of deposits in cases of bank failures originating from nonrepayment of such loans. This asymmetry of information also exposes banks to runs by depositors and these runs can lead to bank failures with devastating effects for the financial system and the economy at large. It is for this reason that banks are regulated and supervised more than other institutions. Bank failures are a worldwide phenomenon and South Africa is no exception as evidenced by historical and recent bank failures in South Africa. This thesis investigates the desirability of introducing an explicit deposit insurance scheme in South Africa as a means of protecting small, unsophisticated depositors who are almost always the losers when banks fail, and promoting financial stability. The study finds that bank failures in South Africa are mainly attributable to mismanagement of banks, liquidity problems and fraud. Bank failures as a result of the aforementioned reasons have led to depositors losing their deposits in South Africa. The absence of a clearly defined depositor protection scheme in South Africa, the inadequacy of the hitherto implicit guarantee system to protect depositors, and the poor record of the South African Reserve Bank in bank failure resolution, form the basis of the conclusion of the study, i.e., there is a case for the introduction of deposit insurance in South Africa. In order to assist South African policymakers in designing an effective deposit insurance scheme for the country, the thesis further provides a guide on how the most important design features of deposit insurance should be handled. This is in an attempt to ensure that the moral hazard problem inherent in deposit insurance is overcome.

Thesis (MBA)--Stellenbosch University, 2002. / ENGLISH ABSTRACT: The new Basel Capital Accord is intended to align capital adequacy of banks more closely with the key components of banking risk and to provide incentives for banks to improve their risk measurement and management capabilities. This has important implications for banks, particularly in the area of credit risk management. The purpose of this study is to take an in-depth look at the implications for banks in the area of credit risk management and the choice of approach (i.e. standardised versus internal ratings based approach) to be adopted. These changes in approach to credit risk will have broader economic implications and the study will in its final analysis explore these in the context of South Africa, as an emerging market. The study is split into three sections: Section A • Introduction and background to the New Basel Capital Accord; • Detailed overview on the New Basel Capital Accord with a particular emphasis on the internal ratings based approach to calculating minimum capital. Section B An in-depth discussion of credit risk management and the practical implications of moving towards an internal ratings based approach, which will eventually allow banks to take on a full portfolio approach to credit risk management. This will enable banks to manage credit risk across sub-portfolios and set economic capital based on the portfolio loss distribution of the banks entire lending book. This is an extremely important development in credit risk management and as a consequence is covered in some detail. The adoption of an internal ratings based approach offers significant rewards in the form of lower statutory capital. A profile of the current capitalisation of SA banks is provided followed by the likely effect of the standardised versus the internal ratings based approach to credit risk management, on the minimum level of statutory capital of banks. Section C The final section covers the envisaged macro effects of the New Accord on emerging markets (procyclical trends, lending concentrations, foreign capital flows and bank failures) with specific comment provided on the implications for the SA banking environment and economy. In conclusion, South African banks should as a priority move towards an internal ratings based approach to credit risk management in order to benefit from the lower statutory requirements, which accrue in the advanced phase. While the accord is likely to impact significantly on emerging markets, South Africa fortunately has a sophisticated banking system by international standards, making the adoption of an internal ratings based approach by the larger SA banks inevitable. The benefits for smaller banks are questionable and at this stage they are unlikely to move beyond the standardised approach, unless compelled to do so. / AFRIKAANSE OPSOMMING: Die "New Basel Capital Accord" het ten doel om die kapitaal vereistes neergelê vir banke meer in lyn te bring met die risiko komponent gekoppel bankwese. Dit hou 'n belangrike implikasie vir banke in en verskaf voorts ook 'n dryfveer vir banke om die bestuur van krediet risiko en algehele bestuursvaardighede te verbeter. In hierdie studie word 'n indiepte ondersoek onderneem aangaande die implikasie op banke van krediet risiko-bestuur en die keuse van die benadering wat gevolg word. Hierdie veranderings in die benadering (dws.standard teenoor interne-graderings benadering) tot krediet risiko hou breër ekonomiese implikasies vir banke in. Hierdie ekonomiese implikasies op SA as 'n ontwikkelende mark word in die finale analise ondersoek. Die studie kan in drie afdelings verdeel word: Afdeling A: • Inleiding en agtergrond tot die "New Basel Capital Accord" en • 'n Gedetaileerde oorsig van die "New Basel Capital Accord" met spesifieke verwysing na die interne-graderings benadering om die minimum vereiste kapitaal te bepaal. Afdeling B: Hierdie afdeling ondersoek krediet risiko bestuur en die praktiese implikasies van die aanvaarding/instelling van 'n interne graderings benadering, en die effek wat dit sal hê op 'n totale portefeulje benadering tot krediet risiko. Die gevolg is dat banke krediet risiko oor sub-portefeuljes sal kan bestuur en kapitaal vlakke vasstel gebaseer op verwagte portefeulje verliese. Hierdie is 'n belangrike ontwikkeling in krediet risiko bestuur en word vervolgens in diepte behandel. Die aanvaarding van 'n interne-graderings benadering tot gradering hou voordele in vir banke in die vorm van laer statutêre kapitaal vereistes. 'n Profiel van die kapitalisasie van SA banke word verskaf, gevolg deur die verskil in die effek van die standaard benadering tot die interne graderings benadering op krediet risiko bestuur en die vereiste minimum statutêre kapitaal. Afdeling C: Die finale afdeling ondersoek die beoogde makro ekonomiese effek van die "New basel capital Accord" op ontwikkelende marke (pro-sikliese neiging, lenings konsentrasies en bank mislukkings) met spesifieke verwysing na die implikasies op SA bankwese en ekonomie. Ter afsluiting moet SA banke so spoedig moontlik die interne-graderings benadering tot krediet risiko aanvaar om voordeel te trek uit die laer kapitaal vereistes wat "ophoop in die gevorderde stadium." Daar word verwag dat die "New Basel Capital Accord" 'n wesenlike invloed op die ontwikkelende mark sal hê. SA het egter 'n gesofistikeerde en gevestigde bankstelsel wat goed vergelyk met internasionale standaarde. Die aanvaarding van 'n interne-graderings benadering deur die die groter SA banke is onafwendbaar. Die voordele wat dit vir kleiner banke inhou kan bevraagteken word en is op hierdie stadium onwaarskynlik dat so 'n benadering deur hulle geïmplimenteer sal word.