监管宽容下资本展期的存款保险定价模型  

Deposit Insurance Pricing Model with Capital Extension under Regulatory Forbearance

作　　者：孙晓琳[1] 秦学志[1] 陈田[1] 

机构地区：[1]大连理工大学管理学院,辽宁大连116024

出　　处：《运筹与管理》2011年第1期150-156,共7页Operations Research and Management Science

基　　金：国家自然科学基金资助项目(70771018);教育部人文社科基金资助项目(05JA630005);教育部新世纪优秀人才支持计划基金资助项目(2005);大连理工大学人文社会科学研究基金联合资助(助推辽宁振兴与和谐发展的信用体系优化研究)

摘　　要：存款保险制度可化解存款机构挤兑风险,从而保护了存款人利益。监管宽容的存款保险合约具有下列特征:在监管宽容范围内,若投保的存款机构在存款到期时无力偿还存款债务,并不立即对其破产清算,而允许其接受存款保险公司一定额度资金的救助。为准确厘定存款保险费率水平,本文在监管宽容假设上,进一步引入资本展期因素,即接受救助的存款机构继续运营至资本展期结束;若在资本展期期末仍然资不抵债则再对其破产清算。基于上述情景,并且将救助资金作为存款机构的或有债务纳入保费中,本文结果构建了监管宽容下资本展期的存款保险定价模型,并严格推证了监管宽容力度、资本展期期限与存款保险价格的变化关系。结论显示,监管越宽容、资本展期越长、存款保险的价格也应越高。最后,应用所构建的定价模型,进行了实例分析。The deposit insurance system can release the risk of running on a deposit institution.Therefore it protects depositor＇s benefit.The characteristics of deposit insurance contract with regulatory forbearance are as follows： if the deposit institution insured is incapable of paying deposit off on due time,it will not be settled immediately during the range of regulatory forbearance,but will be subsidized by deposit insurance agency.In order to determine deposit insurance fees accurately,on the foundation of the regulatory forbearance,this article introduces capital extension,i.e.deposit institution subsidized will operate further until capital extension ends.However,if the deposit institution is still insolvency with its assets again on the capital extension end,then it will be liquidated.Based on the above hypothesis,this article constructs a deposit insurance pricing model with capital extension under regulatory forbearance incorporating the subsidy into insurance fees as deposit institution＇s contingent obligation.It depicts the correspondence between deposit insurance price and regulatory forbearance and capital extension through rigorous mathematical derivation.The conclusion indicats that the more of regulatory forbearance and the longer of capital extension,the higher is the price of deposit insurance.At last,an empirical analysis is presented with the model constructed in this article.

关 键 词：金融工程 存款保险价格 监管宽容 资本展期 

分 类 号：F840.682[经济管理—保险]