
doi: 10.2139/ssrn.2640003
It is shown that required amount of funds of Deposit Guarantee Fund may be estimated through a deposits’ value at credit risk defined as a payoff of European call option written on unexpected credit losses with the strike price equaled to bank’s equity maturing at average term of deposits. It is proposed that the premiums of participating banks to Deposit Guarantee Fund should depend on the share of deposits at credit risk in all deposits that are not covered by reserves in Central Bank.
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