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dc.contributor.authorMACCAFERRI SARAen_GB
dc.contributor.authorCARIBONI Jessicaen_GB
dc.contributor.authorSCHOUTENS Wimen_GB
dc.date.accessioned2015-05-28T06:23:52Z-
dc.date.available2013-03-26en_GB
dc.date.available2015-05-28T06:23:52Z-
dc.date.created2013-01-07en_GB
dc.date.issued2013en_GB
dc.date.submitted2011-11-29en_GB
dc.identifier.citationInternational Journal of Financial Research vol. 4 no. 1 p. 5-28en_GB
dc.identifier.issn1923-4023 (print), 1923-4031 (online)en_GB
dc.identifier.urihttp://www.sciedu.ca/journal/index.php/ijfr/article/view/2167en_GB
dc.identifier.urihttp://publications.jrc.ec.europa.eu/repository/handle/JRC67874-
dc.description.abstractDeposit Guarantee Schemes (DGSs) are financial institutions whose main aim is to provide a safety net for depositors. If a credit institution fails, depositors will be able to recover their bank deposits up to a certain limit. During the recent global financial crisis, DGSs were brought at the centre of the political and financial debate, especially due to the fact that the DGSs in the European Union Member States resulted in most of the cases incapable to react to the financial crisis, especially due to the lack of funds set aside. In the present paper we propose to use Levy processes to simulate the loss distribution of the amount of deposits insured by a DGS in case of banks’ failure. The simulated distribution of losses can be used to design an effective DGS. By simulating banks’ default and the corresponding losses, our model allows defining a target level for the funds to be collected by the scheme in order to promptly and effectively respond to financial turmoils and protect the citizens. The proposed approach is applied to a sample of Italian banks.en_GB
dc.description.sponsorshipJRC.G.3-Econometrics and applied statisticsen_GB
dc.format.mediumOnlineen_GB
dc.languageENGen_GB
dc.publisherSciedu Pressen_GB
dc.relation.ispartofseriesJRC67874en_GB
dc.titleLevy Processes and the Financial Crisis: Can We Design a More Effective Deposit Protection?en_GB
dc.typeArticles in periodicals and booksen_GB
dc.identifier.doi10.5430/ijfr.v4n1p5en_GB
JRC Directorate:Space, Security and Migration

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