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5 août 2023
- handle: 10670/1.g6ftb6
- hal: hal-04184527
- doi: 10.1007/s40953-023-00365-8
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info:eu-repo/semantics/altIdentifier/doi/10.1007/s40953-023-00365-8
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Assurance (Insurance) Coverage, Insurance Insurance protection Insurance coverage Insurance industry Indemnity insurance Mutual insurance UnderwritingCiter ce document
Amaury Goguel et al., « Banks and Markets from an Insurance Perspective », HAL-SHS : économie et finance, ID : 10.1007/s40953-023-00365-8
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Résumé
This article aims to clarify the analogy between contingent claims in a complete market and banking contracts in a capitalized financial intermediary that combines both deposit and equity. It brings together insurance theory and financial intermediation theory in a synthetic model by focusing on the risk allocation function rather than on a particular kind of institutional arrangement. The model includes both idiosyncratic liquidity risk and aggregate uncertainty on asset return, and it focuses on risk allocation in a perfect information setting from an insurance perspective. This article then highlights that equity contracts are equivalent to state-contingent claims in the aggregate-risk shifting, that deposit contracts are equivalent to type-contingent claims in the idiosyncratic-risk mutualization, and that banks and markets both implement the optimal allocation by simply using different mechanisms.