Proposal for a Capital Market-Based Guaranty Scheme for the Financial Industry

Détails

ID Serval
serval:BIB_D1DDB4A68212
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Proposal for a Capital Market-Based Guaranty Scheme for the Financial Industry
Périodique
European Journal of Finance
Auteur(s)
Schmeiser H., Wagner J., Zemp A.
ISSN
1351-847X
Statut éditorial
Publié
Date de publication
2014
Peer-reviewed
Oui
Volume
20
Numéro
12
Pages
1133-1160
Langue
anglais
Résumé
In this paper, we introduce a capital market-based financial guaranty system as an alternative to current insurance guaranty funds and deposit insurance systems. The guaranty system secures clients' claims for the event of default by the financial company using a special purpose vehicle which issues bonds to investors. The proposed system, analogous to a credit-linked note, consists of one guaranty vehicle for each financial company. In a first step, we present equations in order to derive the two main input parameters of the special purpose vehicle: the premium and the principal. Subsequently, we analyze the impact of different investment actions taken by the financial companies protected by the guaranty vehicle on various shortfall measures. We find that it will be necessary to restrict the investment volume of investors from the financial industry in order to avoid systematic risk within the proposed guaranty scheme. By deriving practical implications, we show that the capital market-based solution has some key benefits compared to current deposit insurance and insurance guaranty schemes.
Mots-clé
deposit insurance, insurance guaranty system, insolvency protection
Web of science
Création de la notice
04/07/2014 16:28
Dernière modification de la notice
03/03/2018 21:38
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