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

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  • 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:
    34
  • Dataset Download URL:
  • 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:
  • Download URL:
  • File Type:

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