Sound Deposit Insurance Pricing Using a Machine Learning Approach

Sound Deposit Insurance Pricing Using a Machine Learning Approach

While the main conceptual issue related to deposit insurances is the moral hazard risk, the main technical issue is inaccurate calibration of the implied volatility. This issue can raise the risk of generating an arbitrage. In this paper, first, we discuss that by imposing the no-moral-hazard risk,...

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Bibliographic Details
Main Authors: Hirbod Assa, Mostafa Pouralizadeh, Abdolrahim Badamchizadeh
Format: Article
Language:English
Published: MDPI AG 2019-04-01
Series:Risks
Subjects:
deposit insurance
implied volatility
static arbitrage
parameterization
machine learning
calibration
Online Access:https://www.mdpi.com/2227-9091/7/2/45

Internet

https://www.mdpi.com/2227-9091/7/2/45

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