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The Value of the Liability Insurance for Credit Suisse and UBS (Haefeli M., Juettner M. P.)

Deposit Insurance

Abstract Using an options-based approach, we compute the value of the state guarantee for the liability side of Credit Suisse and UBS. The insurance premiums for these two system-relevant banks are calculated in a dynamic setup from 2004 until 2009 in quarterly steps for time horizons of one and five years. The model captures the characteristics of the current financial crisis and detects the bailout of UBS. Strengthened capital requirements and increased number of audits reduce the value of the guarantee substantially. The model implied CDS spreads are compared to the ones perceived by the market.
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Libref/ Haefeli M., Juettner M. P. (2010) "The Value of the Liability Insurance for Credit Suisse and UBS", Swiss Finance Institute Research Paper No. 10-33, pp. 1 - 32
© Программирование — Александр Красильников, 2008
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