Investigating the factors affecting the determination of deposit insurance premiums among Iranian banks listed on the Iranian stock exchange and OTC

Subject Areas : Journal of Investment Knowledge

Mohammadreza Aghamohammad semsar ¹ , Saeed fallahpor ² , saeed shirkavand ³ , Ali Forosh Bastani ⁴

1 - PhD student, University of Tehran
2 - Assistant professor, University of Tehran.
3 - Assistant professor, University of Tehran.
4 - Assistant professor, The Institute for Advanced Studies in Basic Sciences

Received: 2020-11-07 Accepted : 2020-12-19 Published : 2021-09-23

Keywords: systematic risk, systemic risk, multivariate garch, Insurance deposit, insurance deposit premium,

Abstract :

Bank deposits are a very important resource for banks, which, if accompanied by weak investments or fuel facilities, will cause many problems for financial institutions. One way to combat the burning of deposits is to insure them. The present study seeks to provide a model that can measure the risk of the banking industry in proportion to the price of premiums. And it uses risk-based modeling. This modeling uses multivariate GARCH models, which can lead to more accurate pricing of deposit premiums. To determine the factors affecting premiums and determine their relationship, the information of active banks of Tehran Stock Exchange between 1393 and 1397 has been used. Using Blacksholes, Merton Blacksholes, Merton Blacksholes models with systematic risk and Merton Blacksholes models using multivariate GARCH modeling, premium pricing has been done. According to the results obtained from the estimation of regression equations, it was found that the premium received by the Deposit Guarantee Fund was not due to the systemic risk of the banking network and it seems better that the value of the deposit premium is considered considering the risk. Be banking. In this regard, and according to the estimated models, the systemic risk of the banking network better considers the calculated value of the premium by considering the multivariate Garchi model.

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