基于银行监管资本和破产成本的存款保险定价研究

发布时间：2019-06-05 06:43

【摘要】：最近三十多年来,世界上很多国家都发生了金融危机,特别是美国2007年的次贷危机导致的全球金融危机,对各国经济安全和金融主权都产生了不同程度的负面影响,有些国家到现在还处在危机后的复苏阶段。所以,各国金融监管当局都在研究怎样防范和化解金融风险。防范金融风险的必要措施是要构筑起防火墙。金融学者提出了很多防范政策措施,存款保险制度是其中重要的组成部分。而在存款保险制度的诸多要素中,最为核心的问题就是存款保险费率的确定。2015年5月1日,中国正式实施了风险差别费率的显性存款保险制度,成为世界上第114个实行此项制度的国家。风险差别费率的显性存款保险制度的核心问题是基于风险的存款保险费率定价问题,故而研究存款保险定价对我国具有极为重要的理论和现实意义。本文结合了存款保险定价的期权定价方法和预期损失定价法两种方法,提出了银行破产时产生的破产成本和被保险存款的预期损失来对存款保险进行定价的新思路,该方法的特点是存款保险费率不仅受到银行资产的风险和收益状况的影响,而且还受到银行自身的资本充足水平、存款参保比率和破产成本的影响。通过理论推导得到了基于银行监管资本和破产成本的存款保险定价公式,并运用极大似然估计方法和期权定价原理估计了相关参数。还利用数据测算了我国16家上市银行2009～2014年的存款保险费率。此外,还对相关参数对存款保险费率的影响进行了敏感性分析。
[Abstract]:In the past 30 years or so, many countries in the world have had financial crises, especially the global financial crisis caused by the subprime mortgage crisis in the United States in 2007, which has had varying degrees of negative impact on the economic security and financial sovereignty of all countries. Some countries are still in the post-crisis recovery phase. Therefore, the financial regulatory authorities of various countries are studying how to prevent and resolve financial risks. The necessary measure to prevent financial risk is to build a firewall. Financial scholars put forward a lot of preventive policy measures, deposit insurance system is an important part of it. Among the many elements of the deposit insurance system, the core problem is the determination of the deposit insurance rate. On May 1, 2015, China formally implemented the explicit deposit insurance system with the risk difference rate. Become the 114th country in the world to implement this system. The core problem of explicit deposit insurance system with risk difference rate is the pricing of deposit insurance rate based on risk, so it is of great theoretical and practical significance to study deposit insurance pricing in China. This paper combines the option pricing method of deposit insurance pricing and the expected loss pricing method, and puts forward a new idea of pricing deposit insurance, which is caused by the bankruptcy cost of the bank and the expected loss of the insured deposit. The characteristic of this method is that the deposit insurance rate is not only affected by the risk and income of bank assets, but also by the capital adequacy level of the bank itself, the deposit insurance ratio and the bankruptcy cost. The pricing formula of deposit insurance based on bank regulatory capital and bankruptcy cost is obtained by theoretical derivation, and the related parameters are estimated by using maximum likelihood estimation method and option pricing principle. The deposit insurance rates of 16 listed banks in China in 2009 and 2014 are also calculated by using the data. In addition, the sensitivity analysis of the influence of related parameters on deposit insurance rate is also carried out.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.1

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