大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

The Deposit Insurance and the Risk-Shifting Incentive Evidence from the Blanket Deposit Insurance in Japan

渡部和孝　（慶応大学）

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4. The Deposit Insurance and the Risk-Shifting Incentive Evidence from the Blanket Deposit Insurance in Japan

大証寄附研究部門セミナーシリーズ 第17回

The Deposit Insurance and the Risk-Shifting Incentive Evidence from the Blanket Deposit Insurance in Japan

渡部和孝　（慶応大学）

Using the option pricing based model of the deposit insurance, for all the listed banks in Japan, we compute the actuarially fair insurance premium as well as the market value of assets and asset volatility implied by banks’ stock prices. The findings based on these variables imply that banks shifted risks to the deposit insurer who charged them risk insensitive premiums. The temporary unlimited blanket coverage of all the deposits had accelerated risk-shifting before the prompt corrective action (PCA) though such acceleration of risk-shifting was prevented when the PCA was in effect as the regulatory discipline discouraged banks to lever.