Risk-Neutralizing a Loss Distribution: Pricing the FDIC's Reinsurance Risk

Details

• Publisher's site:
  https://www.fdic.gov/ | FDIC.gov
• Personal Author:
  Dilip B. Madan ; Haluk Unal
• Content Notes:
  Table 1: Risk-neutral Weibull parameter estimates on extreme 2-month BKX call options and implied tilting coefficients in the BKX tail distribution (Pg 30)
  
  Table 2: Tilt coefficients for a sample of bank holding companies (Pg 31)
  
  Table 3: FDIC Annual Loss Levels (Pg 32)
  
  Figure 1: Weibull Statistical and Risk Neutral Distributions for Annual Fund Loss Levels (Pg 33)
  
  
• Pages in Document:
  34
• Dataset Download URL:
  https://www.fdic.gov/news/events/finance_banking/unal.pdf
• Format:
  PDF
• Release Date:
  08/29/2003
• Agencies Involved:
  Federal Deposit Insurance Corporation (FDIC)
• Bank Involved:
  Federal Reserve Bank of Atlanta
• Fdic Employee Involved:
  Rosalind Bennett ; Arthur Murton
• Law Involved:
  Federal Deposit Insurance Act (FDI Act) ; Deposit Insurance Funds Act of 1996
• Other Notable People Involved:
  Dilip B. Madan ; Haluk Unal ; Fred Carns ; Robert Eisenbeis ; Gerald Hanweck ; Jack Reidhill ; Larry Wall
• Other Institutions Involved:
  MMC Enterprise Risk
• Source:
  FDIC Website
• Main Document Checksum:
  urn:sha256:453202ac736e6b0ed7e1766ef001db944be003cd7b68ca3dc23c15f67880f1d9
• Download URL:
  https://archive.fdic.gov/view/fdic/14382/fdic_14382_DS1.pdf
• File Type:
  [PDF - 322.52 KB ]