Deposit Insurance and Forbearance Under Moral Hazard

We study the efficacy of forbearance using a real options approach. Our model endogenizes moral hazard embedded in credit risk undertaken by the bank. The bank's interest rate risk is modeled as duration mismatch. Other modeling improvements over previous studies include such features as stochastic interest rates and deposits, continuous interest payments on an ongoing deposit portfolio, and a stochastic forbearance period. We find that the bank does have an incentive to engage in undue risk taking. Even in the presence of moral hazard, however, forbearance can still be a desirable course of action in reducing the FDIC's expected liability. In addition, the capital ratio plays an extremely important role in determining the fair insurance premium. Finally, using the mismatch of asset and deposit durations as the correct measurement of interest rate risk, our model reveals that an optimal asset variance may exist for a particular bank, contrary to what the contingent claims framework would predict. Therefore, we resolve the puzzle that banks in practice do not increase asset risk to take full advantage of the limited liability.     

Overcompensation as a Partial Solution to Commitment and Renegotiation Problems: The Case of Ex Post Moral Hazard

In a Costly State Verification world, an agent who has private information regarding the state of the world must report what state occurred to a principal, who can verify the state at a cost. An agent then has what is called ex post moral hazard: he has an incentive to misreport the true state to extract rents from the principal. Assuming the principal cannot commit to an auditing strategy, the optimal contract is such that: (1) the agent's expected marginal utility when there is an accident (high‐ and low‐loss states) is equal to his marginal utility when there is no accident; (2) the lower loss is undercompensated, while the higher loss is overcompensated; and (3) the welfare of the agent is greater under commitment than under no‐commitment. Result 2 is contrary to the results obtained if the principal can commit to an auditing strategy (higher losses underpaid and lower losses overpaid). The reason is that by increasing the difference between the high and the low indemnity payments, the probability of fraud is reduced.     

Deposit Insurance, Moral Hazard and Market Monitoring

The paper analyses the relationship between deposit insurance, debt-holder monitoring, and risk taking. In a stylised banking model we show that deposit insurance may reduce moral hazard, if deposit insurance credibly leaves out non-deposit creditors. Testing the model using EU bank level data yields evidence consistent with the model, suggesting that explicit deposit insurance may serve as a commitment device to limit the safety net and permit monitoring by uninsured subordinated debt holders. We further find that credible limits to the safety net reduce risk taking of smaller banks with low charter values and sizeable subordinated debt shares only. However, we also find that the introduction of explicit deposit insurance tends to increase the share of insured deposits in banks' liabilities.     

On Optimal Insurance in the Presence of Moral Hazard

This paper expounds on the importance of identifiabilty of subjective probabilities in agency theory with moral hazard. An application to insurance is examined.     

Moral Hazard and Health Insurance When Treatment Is Preventive

We consider a two‐period model under moral hazard when treatment is preventive. In the second period, the treatment level under moral hazard is higher than that under no moral hazard. However, it may be lower than that under moral hazard when overinsurance is not allowed. In the first period, the treatment level is higher when treatment is preventive than when it is not. Treatment level is also higher as the discount factor increases. We demonstrate that a treatment increase following a coverage increase does not necessarily imply moral hazard. These findings imply that moral hazard is possibly overemphasized in the literature.     

农险市场中的保险公司道德风险研究

在过往十余年我国农业保险的跨越式发展中,保险公司的道德风险问题日益凸显。本文通过微观案例界定保险公司道德风险的内涵与类别,基于博弈视角分析其产生机理,结果发现:在政府和保险公司的委托代理关系中,由于二者的目标诉求不同,若政府对保险公司的农业保险业务不能给予有效监管,则保险公司不遵守经营规范所得收益要大于其遵守经营规范所得收益,从而导致保险公司出现违规经营业务的道德风险问题;相关部门可以通过完善监管政策、整合监管资源、优化协办机制、加大监管力度、设置差异化保险合约等措施来减少农业保险市场中保险公司的道德风险。     

Disease‐Specific Moral Hazard and Optimal Health Insurance Design for Physician Services

This article analyzes disease‐specific moral hazard effects in the demand for physician office visits and explores whether optimal insurance for physician services should be designed to have disease‐specific cost sharing. Generalized method of moments is implemented to address the endogeneity of private health insurance, and the nonnegativity and the discreteness of physician services use. The results indicate that the moral hazard effect varies considerably across disease‐specific specialist care. The strongest moral hazard (for no‐condition related specialist visits) is almost twice the moral hazard effect of the weakest (for chronic condition related specialist visits). Although the findings indicate some variation in the moral hazard effect across disease‐specific general practitioner visits, the variation is less considerable. The main policy implication is that optimal insurance for physician services should be designed to have differential cost sharing based on disease status rather than to have uniform cost sharing.     

Effects of Deposit Insurance Reform on Moral Hazard in US Banking

In cross sections of US banks before the deposit-insurance system was reformed in the early 1990s, bank risk-taking was positively associated with bank size and negatively associated with the value of bank charters and bank capital. These empirical associations have an easy theoretical interpretation. Bank size is positively related, while charter value and capital are negatively related, to the moral hazard associated with flat insurance premiums and other aspects of a laxly administered system. Hence the observed associations of risk-taking with size, charter value, and capital reflected the expected positive relation between moral hazard and risk-taking. We test the hypothesis that the three associations became weaker after reform. In the case of unsystematic risk, we find no evidence of significant changes for any of the three. In the case of systematic risk, we find that risk-taking associated with lower charter values and larger size is indeed significantly weaker after reform. Risk-taking associated with capital ratios is also weaker after reform, though not significantly so. Since systematic risk is undoubtedly the more appropriate measure, reform seems to have reduced moral hazard.     

责任保险道德风险防范问题研究

本文主要研究责任保险的道德风险防范问题。首先,介绍责任保险的道德风险是如何产生的,以及该类风险的特点;其次,对责任保险中道德风险的常见表现进行分析;第三,指出主要责任保险险种的道德风险防范中所存在的问题;在上述分析的基础上,最后提出了包括强调损失补偿原则、完善侵权方面相关法律政策、甄别第三方索赔者的类型、提高法庭判决的公平性、提高业务员综合素质以抑制承保风险、合理设计责任保险合同条款等有关建议。     

责任保险:市场失灵、立法强制与道德风险管理

责任保险看起来能够解决安全事故受害者的补偿问题,但单靠市场力量很难形成有规模的责任保险交易.为保证对受害人的赔偿,政府可以在一些关乎百姓生存权的领域实行强制责任保险.不幸的是,强制责任保险会带来被保险人(致害人)的道德风险问题,从而可能降低整个社会的安全水平.鉴于保险人控制被保险人(致害人)道德风险的目标与社会安全目标的一致性,政府和社会应该允许保险人使用社会已有的风险监控系统、支持建立有效的信息共享系统、给予保险人拒绝承保的权利以及由保险人对特殊行业进行强制风险监控.     

实行显性存款保险制度的必要性和可行性分析

无论隐性和显性存款保险制度,在增强公众信心,维护金融体系稳定的同时,都增加了银行的道德风险。从隐性存款保险制度向显性存款保险制度转变是否具有可行性?本文从银行的特许权价值、显性存款保险的可信性、被保险存款占负债总额的比例、“大而不倒”的现实性、不良贷款水平等角度分析这一转变过程中银行道德风险的变化。     

Underpricing and Ex Post Value Uncertainty

As documented by a vast empirical literature, initial public offerings (IPOs) are characterized by underpricing. A number of papers have shown that underpricing is directly related to the amount of ex ante uncertainty concerning the IPOs valuation. Recent theoretical papers propose that not all value uncertainty is resolved prior to the start of trading, but rather continues to be resolved in the beginning of the after market. We term this type of uncertainty as ex post value uncertainty and develop proxies for it. We find strong support for the existence of ex post value uncertainty and find that including a proxy for it more than doubles the explanatory power of previous models.     

存款保险制度诱发道德风险的理论解析

存款保险制度的设计必须考虑到对市场约束、银行稳定性、金融发展和解决金融危机的影响,还要因地制宜地考虑一国的制度和契约环境。在没有解决好信息与监管环境缺陷的条件下,仓促实施显性存款保险制度将会后患无穷。本文对西方近年来的相关研究成果作一管窥,以期有助于中国特色的存款保险制度的审慎设计与适时出台。     

存在道德风险的医院等级选择与最优公共医疗保险合同

通过构造一个医疗服务系统的均衡模型,分析了医院等级、居民道德风险与最优公共医疗保险合同之间的关系。研究表明只存在公共医疗保险体系时,如果政府部门之间缺乏协调机制,各自为政,中国的公共医疗保险支付方式将不能实现社会最优并消除道德风险;公共医疗保险合同可能引起社会福利的损失或引致道德风险。政府应该完善医院评价系统,对不同医院的水平给予准确的评级,特别是要建立起政府各部门之间的协调机制;理顺医疗服务价格体系;鼓励更多市场参与主体进入医疗保险领域,建立合理的疾病风险分担机制。     

Moral Hazard in Reinsurance Markets

This article attempts to identify moral hazard in the traditional reinsurance market. We build a multiperiod principal–agent model of the reinsurance transaction from which we derive predictions on premium design, monitoring, loss control, and insurer risk retention. We then use panel data on U.S. property liability reinsurance to test the model. The empirical results are consistent with the model's predictions. In particular, we find evidence for the use of loss‐sensitive premiums when the insurer and reinsurer are not affiliates (i.e., not part of the same financial group), but little or no use of monitoring. In contrast, we find evidence for the extensive use of monitoring when the insurer and reinsurer are affiliates, where monitoring costs are lower.     

Skin in the Game and Moral Hazard

What determines securitization levels, and should they be regulated? To address these questions we develop a model where originators can exert unobservable effort to increase expected asset quality, subsequently having private information regarding quality when selling ABS to rational investors. Absent regulation, originators may signal positive information via junior retentions or commonly adopt low retentions if funding value and price informativeness are high. Effort incentives are below first‐best absent regulation. Optimal regulation promoting originator effort entails a menu of junior retentions or one junior retention with size decreasing in price informativeness. Zero retentions and opacity are optimal among regulations inducing zero effort.     

商业银行道德风险的表现、成因与治理

近年来,英国巴林银行的倒闭、东南亚金融危机和美国"次贷危机"等金融事件,引起社会对道德风险问题的广泛关注.商业银行的决策者或各层面人员为实现短期经营目标而对银行长期利益目标的损害、银行从业人员利用职权牟取个人私利等道德风险问题日益突出.     

道德风险与金融危机

不可否认,当前的金融危机给政策的面貌带来了翻天覆地的冲击.在一个接一个的国家里,我们看到政府恐慌地做出膝跳反射似的反应,并把他们的政策手册扔到一边:前所未有的救助和国有化开始出现,审慎的财政政策灰飞烟灭,毫无保留的凯恩斯主义已经回归.很多人宣称,我们尝试的自由市场已经失败,现在应该进行更广泛的监管和更积极的宏观经济管理.