DEPOSIT INSURANCE WITH A LIMITED CLAIM
Deposit insuranceisalegalsystemimplementedbythegovernmentandprivate sector thatservestoprotectdepositsinabankthatexperiencesdefault,ifthevalue of thebank’sassetsislessthanitsliabilities.Oneofthemainrisksfacedbybanks is liquidityriskwherethebankhasthepotentialtoexperiencelossesduetoits inability...
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id-itb.:805932024-02-05T09:03:54ZDEPOSIT INSURANCE WITH A LIMITED CLAIM Eka, Maharani Indonesia Theses Deposit insurance, Black-Scholes, GARCH, premium INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/80593 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. text |
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Indonesia |
| description |
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. |
| format |
Theses |
| author |
Eka, Maharani |
| spellingShingle |
Eka, Maharani DEPOSIT INSURANCE WITH A LIMITED CLAIM |
| author_facet |
Eka, Maharani |
| author_sort |
Eka, Maharani |
| title |
DEPOSIT INSURANCE WITH A LIMITED CLAIM |
| title_short |
DEPOSIT INSURANCE WITH A LIMITED CLAIM |
| title_full |
DEPOSIT INSURANCE WITH A LIMITED CLAIM |
| title_fullStr |
DEPOSIT INSURANCE WITH A LIMITED CLAIM |
| title_full_unstemmed |
DEPOSIT INSURANCE WITH A LIMITED CLAIM |
| title_sort |
deposit insurance with a limited claim |
| url |
https://digilib.itb.ac.id/gdl/view/80593 |
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