Risk adjusted deposit insurance premium and systemic risk
Journal Title: Zarządzanie i Finanse - Year 2013, Vol 11, Issue 2
Abstract
The adjustment of fees paid by banks participating in the deposit insurance system according to the level of risk is treated in the theory of finance as a way to overcome the drawbacks of the financial safety net resulting primarily from an increase in moral hazard. Deposit premium differentiation is also suggested in recent regulatory reform proposals presented by several regulatory authorities, including the European Union. The main problem, however, remains a selection of bank risk, which should be taken into account in the process of correcting the deposit premium, and the selection of a proper quantitative method that allows to construct a reliable model. Theoretical evidence indicates the need to include apart from the individual risk also the systemic risk, resulting from the institutions presence in the sector. Appropriate approach to systemic risk measurement should take into account the dynamics of the systemic relationships and properly assign the risk of particular entities. The analysis of systemic risk in the European Union indicates that its recent increase is to the greatest extent caused by the biggest banking systems such as German, French and British.
Authors and Affiliations
Marcin Gospodarowicz
Keywords
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