Optimal bank reorganization and the fair pricing of deposit guarantees

Journal of Banking and Finance

Volumn 21, Issue 4, 1997, Pages 441-468

  Fries, Steven ^a   Mella Barral, Pierre ^b   Perraudin, William ^c,d  

^a EUROPEAN BANK FOR RECONSTRUCTION AND DEVELOPMENT   (United Kingdom)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^c UNIVERSITY OF LONDON   (United Kingdom)

^d CEPR   (United Kingdom)

Author keywords

Bailouts; Bank closure; Deposit insurance

Indexed keywords

EID: 0031116756     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(96)00045-3     Document Type: Article

References (14)

1. Acharya, S. and J.F. Dreyfus, 1989, Optimal bank reorganization policies and the pricing of federal deposit insurance, Journal of Finance 44, 1313-1333.
2. Allen, L. and A. Saunders, 1993, Forbearance and valuation of deposit insurance as a callable put, Journal of Banking and Finance 17, 629-643.
3. Dixit, A.K., 1991, A simplified exposition of the theory of optimal control of Brownian motion, Journal of Economic Dynamics and Control 15, 657-673.
4. Dreyfus, J.F., A. Saunders and L. Allen, 1994 Deposit insurance and regulatory forbearance: Are caps on insured deposits optimal?, Journal of Money Credit and Banking 26, 412-438.
5. Dumas, Bernard, 1991, Super contact and related optimality conditions, Journal of Economic Dynamics and Control 15, 675-685.
6. Fries, S.M. and W.R.M. Perraudin, 1994, An empirical investigation of the value of US bank deposit guarantees, DAE working paper No. 9402 (University of Cambridge, Cambridge).
7. Fries, S.M., R. Mason and W.R.M. Perraudin, 1993, Evaluating deposit insurance for Japanese banks, Journal of the Japanese and International Economy 7, 356-386.
8. Harrison, J.H. and D. Kreps, 1979, Martingales and arbitrage in multiperiod securities markets, Journal of Economic Theory 20, 381-408.
9. James, C., 1991, The losses realized in bank failures. Journal of Finance 46, 1223-1242.
10. Kane, E.J., 1986, Appearance and reality in deposit insurance reform: The case for reform, Journal of Banking and Finance 10, 175-188.
11. Leland, H., 1994, Risky debt, bond covenants and optimal capital structure, Journal of Finance 49, 1213-1252.
12. Mella-Barral, Pierre, 1995, The Dynamics of corporate debt forgiveness and contract renegotiation, FMG working paper no. 230 (London School of Economics, London).
13. Pennacchi, G.G., 1987, Alternative forms of deposit insurance: Pricing and bank insurance issues, Journal of Banking and Finance 11, 291-312.
14. Suarez, J., 1994, Closure rules, market power and risk-taking in a dynamic model of bank behaviour, Mimeo. (Universidad Carlos III, Madrid).