Optimal bank interest margin under the FDIC’s surveillance : a constrained option-based model

References

• Acharya , S. and Drefus , J. 1989 . Optimal bank reorganization policies and the pricing of federal deposit insurance . Journal of Finance , 44 ( 5 ) : 1313 – 1334 .
   Google Scholar
• Arrow , K. 1985 . “ The economics of agency ” . In Principals and Agents: The Structure of Business , Edited by: Pratt , J. and Zeckhauser , R. 37 – 51 . Boston : Harvard Business School Press . in
   Google Scholar
• June 1988 . “ Bank Failure: An Evaluation of the Factors Contributing to the Failure of National Banks ” . In Office of the Comptroller of Currency June , Washington, D. C
   Google Scholar
• Bhattacharya , S. , Boot , A. and Thakor , A. 1998 . The economics of bank regulation . Journal of Money, Credit and Banking , 30 ( 4 ) : 745 – 770 .
   Web of Science ®Google Scholar
• Black , F. and Scholes , M. 1973 . The pricing of options and corporate liabilities . Journal of Political Economy , 81 ( 3 ) : 637 – 659 .
   Web of Science ®Google Scholar
• Crouhy , M. and Galai , D. 1991 . A contingent claim analysis of a regulatory institution . Journal of Banking Finance , 15 ( 1 ) : 73 – 90 .
   Google Scholar
• Hancock , D. 1986 . A model of the financial firm with imperfect asset and deposit elasticities . Journal of Banking Finance , 10 ( 1 ) : 37 – 54 .
   Web of Science ®Google Scholar
• Kerfriden , C. and Rochet , J. 1993 . Actuarial pricing of deposit insurance . Geneva Papers on Risk and Insurance Theory , 18 ( 2 ) : 111 – 130 .
   Google Scholar
• Lin , J. 2000 . A contingent claim analysis of a rate-setting financial intermediary . International Review of Economics and Finance , 9 ( 4 ) : 375 – 386 .
   Google Scholar
• McCullough , H. 1981 . “ Interest rate risk and capital adequacy for traditional banks and financial intermediaries ” . In Risk and Capital Adequacy in Commercial Banks , Edited by: Maisel , S. Chicago : University of Chicago Press . in
   Google Scholar
• Merton , R. 1977 . An analytic of the cost of deposit insurance and loan guarantees . Journal of Banking and Finance , 1 ( 1 ) : 3 – 11 .
   Google Scholar
• Merton , R. 1978 . On the cost of deposit insurance when there are surveillance costs . Journal of Business , 51 ( 3 ) : 439 – 452 .
   Google Scholar
• Mullins , H. and Pyle , D. 1994 . Liquidation costs and risk-based bank capital . Journal of Banking and Finance , 18 ( 1 ) : 113 – 138 .
   Google Scholar
• Olson , R. and Simonson , D. 1982 . Gap management and market rate sensitivity in banks . Journal of Bank Research , 13 ( 1 ) : 53 – 58 .
   Google Scholar
• Pennacchi , G. 1987 . Alternative forms of deposit insurance, pricing and bank incentive issues . Journal of Banking and Finance , 11 ( 2 ) : 291 – 312 .
   Google Scholar
• Pyle , D. 1986 . Capital regulation and deposit insurance . Journal of Banking and Finance , 10 ( 2 ) : 189 – 201 .
   Google Scholar
• Ronn , E. and Verma , A. 1986 . Pricing risk-adjusted deposit insurance: an option-based model . Journal of Finance , 41 ( 4 ) : 871 – 895 .
   Web of Science ®Google Scholar
• Rubinstein , M. 1983 . Displaced diffusion option pricing . Journal of Finance , 38 ( 1 ) : 213 – 217 .
   Web of Science ®Google Scholar
• Sinkey , J. 1992 . “ Commercial bank financial management ” . In The Financial Services Industry , 4th , New York : Macmillan Publishing Company . in
   Google Scholar
• Slovin , M. and Sushka , M. 1983 . A model of the commercial loan rate . Journal ofFinance , 38 ( 5 ) : 1583 – 1596 .
   Web of Science ®Google Scholar
• Wong , K. 1997 . On the determinants of bank interest margins under credit and interest rate risks . Journal of Banking and Finance , 21 ( 2 ) : 251 – 271 .
   Web of Science ®Google Scholar
• Zarruk , E. and Madura , J. 1992 . Optimal bank interest margin under capital regulation and deposit insurance . Journal of Financial and Quantitative Analysis , 27 ( 1 ) : 143 – 149 .
   Web of Science ®Google Scholar