This paper aims to develop a methodology for the estimation of the idiosyncratic confidence level inherent within the process of determining the threshold of separation between volatile and stable deposit volumes. The idiosyncratic confidence level must be reflective of the institution's...

While the main conceptual issue related to deposit insurances is the moral hazard risk, the main technical issue is inaccurate calibration of the implied volatility. This issue can raise the risk of generating an arbitrage. In this paper, first, we discuss that by imposing the no-moral-hazard...