DEPOSIT INSURANCE WITH A LIMITED CLAIM
Deposit insuranceisalegalsystemimplementedbythegovernmentandprivate sector thatservestoprotectdepositsinabankthatexperiencesdefault,ifthevalue of thebank’sassetsislessthanitsliabilities.Oneofthemainrisksfacedbybanks is liquidityriskwherethebankhasthepotentialtoexperiencelossesduetoits inability...
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/80593 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Deposit insuranceisalegalsystemimplementedbythegovernmentandprivate
sector thatservestoprotectdepositsinabankthatexperiencesdefault,ifthevalue
of thebank’sassetsislessthanitsliabilities.Oneofthemainrisksfacedbybanks
is liquidityriskwherethebankhasthepotentialtoexperiencelossesduetoits
inability tofulfillitsliabilities.However,thiscanbeovercomebyusingdeposit
insurance.So,itcanprotectbankcustomersfromtheriskofbankruptcyandprovide
a senseofsecurityandcertaintyaboutthesafetyoftheirdeposits.Inthisstudy,a
premiumdeterminationmodelisbuiltusingtheBlack-Scholesmodelandtheuse
of volatilityfollowingtheGARCHmodelandconsideringtheadditionofalimited
claims thatcanaffectthepremium.Thisstudyalsopresentssimulationresultsto
see thecomparisonoftheBlack-Scholesmodelwhichhasconstantvolatilityand
volatility followingtheGARCHmodelandseehowchangesinthevalueoflimited
claims canaffectpremium.Inaddition,thisstudyalsopresentssensitivityanalysis
of bothBlack-ScholesandGARCHmodels. |
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