{"id":533,"date":"2025-02-07T13:57:00","date_gmt":"2025-02-07T11:57:00","guid":{"rendered":"https:\/\/sites.uwasa.fi\/mfjuva\/?page_id=533"},"modified":"2025-10-02T14:16:28","modified_gmt":"2025-10-02T11:16:28","slug":"193div4","status":"publish","type":"page","link":"https:\/\/sites.uwasa.fi\/mfjuva\/all-issues\/193div4\/","title":{"rendered":""},"content":{"rendered":"

The Valuation of Deposit Insurance Premiums Based on a Specific Bank\u2019s Official Default Probability<\/a><\/p>\n

Multinational Finance Journal, 2019, vol. 23, no. 3\/4, pp. 141\u2013167<\/p>\n

Shu Ling Chiang<\/strong>, National Kaohsiung Normal University, Taiwan<\/em><\/p>\n

Ming Shann Tsai<\/strong>, National University of Kaohsiung, Taiwan<\/em><\/p>\n

Abstract:
\nThis study presents a formula for valuating a deposit insurance (DI) premium based on a specific official default probability. This formula can be used to flexibly determine the DI premium that reflects changes in economic circumstances. We provide a new estimation method to determine the implied asset risk based on the efficient frontier between asset value and asset risk. Doing so avoids the problem for estimating a bank\u2019s assets and asset risk using market equity data. Empirical evidence shows current DI premium assumes that banks have too high default rates. We suggest the DI premium should be lower for banks that fully obey the financial supervisory regulations. Doing so should incentivize these banks to decrease their likelihood of default by strictly implementing financial regulations, thus stabilizing financial environment. We also suggest a new dynamic method to help them determine reasonable DI premiums and maintain the target level of DIF reserves.<\/p>\n

Keywords: deposit insurance; premium; default probability; financial supervision<\/p>\n

Citation (Format 1)<\/strong>
\nChiang, Shu Ling, and Ming Shann Tsai, 2019, The Valuation of Deposit Insurance Premiums Based on a Specific Bank\u2019s Official Default Probability, Multinational Finance Journal<\/em> 23, 141-167.
\nCitation (Format 2)<\/strong>
\nChiang, S., Tsai, M., 2019. The Valuation of Deposit Insurance Premiums Based on a Specific Bank\u2019s Official Default Probability. Multinational Finance Journal 23, 141-167.<\/p>\n

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Earnings Quality and Book-to-Market in the Cross Section of Expected Returns<\/a><\/p>\n

Multinational Finance Journal, 2019, vol. 23, no. 3\/4, pp. 169\u2013210<\/p>\n

Vasiliki Athanasakou<\/strong>, Saint Mary\u2019s University, Canada<\/em><\/p>\n

George Athanassakos<\/strong>, University of Western Ontario, Canada<\/em><\/p>\n

Abstract:
\nThe purpose of this paper is to examine whether earnings quality contributes to the book-to- market\u2019s predictive power in the cross section of stock returns. Earnings quality is embedded in the value-growth effect given that retained earnings is a key part of the book value of equity. Earnings quality reflects the effects of managerial discretion on reported earnings, which has been shown to be associated with both risk and behavioral biases in asset pricing. Our results affirm the existence of a value premium and show that the value premium is more pronounced within poor earnings quality stocks. Moreover, we find that poor earnings quality contributes to the value premium mainly through the pricing of growth stocks. Our results suggest that the quality of reported earnings has an incremental role in shaping expected returns of value versus growth stocks.<\/p>\n

Keywords: value premium; earnings quality; earnings management; asset pricing.<\/p>\n

Citation (Format 1)<\/strong>
\nAthanasakou, Vasiliki, and George Athanassakos, 2019, Earnings Quality and Book-to-Market in the Cross Section of Expected Returns,\u00a0Multinational Finance Journal<\/em>\u00a023, 169-210.
\nCitation (Format 2)<\/strong>
\nAthanasakou, V., Athanassakos, G., 2019. Earnings Quality and Book-to-Market in the Cross Section of Expected Returns. Multinational Finance Journal 23, 169-210.<\/p>\n

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The Effect of the PSI in the Relationship Between Sovereign and Bank Credit Risk: Evidence from the Euro Area<\/a><\/p>\n

Multinational Finance Journal, 2019, vol. 23, no. 3\/4, pp. 211\u2013272<\/p>\n

Michalis-Panayiotis Papafilis<\/strong>, University of Piraeus, Greece<\/em><\/p>\n

Maria Psillaki<\/strong>, University of Piraeus, Greece<\/em><\/p>\n

Dimitris Margaritis<\/strong>, The University of Auckland Business School, New Zealand<\/em><\/p>\n

Abstract:
\nThis study examines the nexus between sovereigns and banks during a crisis with a focus on the effects of PSI, the voluntary exchange program of Greek sovereign bonds with private sector involvement. The effectiveness of the program is evaluated through its impact on credit default swaps of 8 Eurozone countries and 21 banks, using daily data from 2009 to 2014. Using linear and nonlinear causality analyses, it is found that the link between sovereign and bank risk weakened after PSI, while the persistence and magnitude of lead-lag interactions also declined in the same period. A difference-in-difference model confirms this result. The findings are also robust to second moment filtering, with GARCH-BEKK residuals indicating the presence of significant albeit declining nonlinear causal effects. The empirical evidence suggests that sovereign debt restructuring initiatives, such as PSI, could be an effective policy measure to ease off pressure on the nexus between banks and their sovereigns.<\/p>\n

Keywords: CDS spreads; PSI; sovereign\/bank credit risk; contagion; nonlinear causality.<\/p>\n

Citation (Format 1)<\/strong>
\nPapafilis, Michalis-Panayiotis, Maria Psillaki, and Dimitris Margaritis, 2019, The Effect of the PSI in the Relationship Between Sovereign and Bank Credit Risk: Evidence from the Euro Area,\u00a0Multinational Finance Journal<\/em>\u00a023, 211-272.
\nCitation (Format 2)<\/strong>
\nPapafilis, M., Psillaki, M., Margaritis, D., 2019. The Effect of the PSI in the Relationship Between Sovereign and Bank Credit Risk: Evidence from the Euro Area. Multinational Finance Journal 23, 211-272.<\/p>\n

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The Valuation of Deposit Insurance Premiums Based on a Specific Bank\u2019s Official Default Probability Multinational Finance Journal, 2019, vol. 23, no. 3\/4, pp. 141\u2013167 Shu Ling Chiang, National Kaohsiung Normal University, Taiwan Ming Shann Tsai, National University of Kaohsiung, Taiwan Abstract: This study presents a formula for valuating a deposit insurance (DI) premium based on […]<\/p>\n","protected":false},"author":557,"featured_media":0,"parent":221,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"_acf_changed":false,"footnotes":""},"class_list":["post-533","page","type-page","status-publish","hentry"],"acf":[],"_links":{"self":[{"href":"https:\/\/sites.uwasa.fi\/mfjuva\/wp-json\/wp\/v2\/pages\/533"}],"collection":[{"href":"https:\/\/sites.uwasa.fi\/mfjuva\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/sites.uwasa.fi\/mfjuva\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/sites.uwasa.fi\/mfjuva\/wp-json\/wp\/v2\/users\/557"}],"replies":[{"embeddable":true,"href":"https:\/\/sites.uwasa.fi\/mfjuva\/wp-json\/wp\/v2\/comments?post=533"}],"version-history":[{"count":15,"href":"https:\/\/sites.uwasa.fi\/mfjuva\/wp-json\/wp\/v2\/pages\/533\/revisions"}],"predecessor-version":[{"id":1865,"href":"https:\/\/sites.uwasa.fi\/mfjuva\/wp-json\/wp\/v2\/pages\/533\/revisions\/1865"}],"up":[{"embeddable":true,"href":"https:\/\/sites.uwasa.fi\/mfjuva\/wp-json\/wp\/v2\/pages\/221"}],"wp:attachment":[{"href":"https:\/\/sites.uwasa.fi\/mfjuva\/wp-json\/wp\/v2\/media?parent=533"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}