Evaluating deposit insurance for Japanese banks

Fries, Steven, Mason, Robin and Perraudin, William (1993) Evaluating deposit insurance for Japanese banks Journal of the Japanese and International Economy, 7, (4), pp. 356-386. (doi:10.1006/jjie.1993.1022).


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Recent declines in Japanese land and stock market prices have thrown in doubt the financial well-being of the Japanese banking system and the adequacy of its deposit insurance system. In this study, we apply the pricing models of Fries and Perraudin (1993a) and Merton (1977) to value the Japanese authorities? deposit guarantees for 16 city, trust, and long-term credit banks. Both models are estimated using exact maximum-likelihood techniques that fully allow for time aggregation and the fact that observed quantities such as stock market values are nonlinear functions of underlying driving processes.

Item Type: Article
Digital Object Identifier (DOI): doi:10.1006/jjie.1993.1022
ISSNs: 0889-1583 (print)

ePrint ID: 33440
Date :
Date Event
December 1993Published
Date Deposited: 14 Dec 2007
Last Modified: 16 Apr 2017 22:15
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/33440

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