Risk-Neutralizing a Loss Distribution: Pricing the FDIC's Reinsurance Risk
Advanced Search
Select up to three search categories and corresponding keywords using the fields to the right. Refer to the Help section for more detailed instructions.

Search our Collections & Repository

For very narrow results

When looking for a specific result

Best used for discovery & interchangable words

Recommended to be used in conjunction with other fields



Document Data
Clear All
Clear All

For additional assistance using the Custom Query please check out our Help Page


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

Filetype[PDF-322.52 KB]


  • Publisher's site:
    https://www.fdic.gov/ | FDIC.gov
  • Personal Author:
  • 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:
  • Dataset Download URL:
  • Format:
  • Release Date:
  • 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:
  • Download URL:
  • File Type:

Supporting Files

  • No Additional Files
More +

You May Also Like

Checkout today's featured content at archive.fdic.gov

Version 3.26.1