This study examines the valuation problem in deposit insurance as a game option between the deposit insurer and the insured bank with asymmetric bankruptcy costs. The asset-to-deposit ratio of the insured bank is modeled as an exponential Lévy process with a spectrally negative jump. The study examines a wide range of scenarios in which the optimal closure policies of both parties are fully characterized. Explicit solutions are derived under the exponential jump diffusion case. This model captures several important issues in banking supervision, including the too big to fail and too small to survive phenomena, bank reorganization, and regulatory forbearance.

中文翻译：

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具有跳跃风险的存款保险的博弈论评估：从小到无法生存到大到不能破产

这项研究将存款保险的估值问题作为具有不对称破产成本的存款保险人与被保险银行之间的博弈选择进行了检验。被保险银行的资产存款比率被建模为具有频谱负跳变的指数Lévy过程。该研究考察了广泛描述了双方最优关闭策略的各种情况。显式解是在指数跳跃扩散情况下得出的。该模型捕获了银行监管中的几个重要问题，包括太大而不能倒闭，太小而无法生存的现象，银行重组和监管宽容。