Evaluating the Adequacy of the Deposit Insurance Fund: A Credit-Risk Modeling Approach

@inproceedings{Bennett2001EvaluatingTA,
  title={Evaluating the Adequacy of the Deposit Insurance Fund: A Credit-Risk Modeling Approach},
  author={Rosalind L. Bennett},
  year={2001}
}
As part of an effort to measure risk effectively, the FDIC hired Oliver, Wyman & Company to develop a credit-risk model for the deposit insurance funds. I apply their credit-risk model to estimate the FDIC's loss distribution; and I perform sensitivity analysis using different assumptions about the parameters of the model. The sensitivity analysis results in a wide range of possible credit ratings associated with the deposit insurance funds. Under one set of assumptions, the deposit insurance… CONTINUE READING

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