基于银行监管资本的存款保险定价研究  

Study of deposit insurance pricing based on the regulatory capital of commercial banks

作　　者：刘海龙[1] 杨继光 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200052 [2]招商银行博士后科研工作站,深圳518067

出　　处：《管理科学学报》2011年第3期73-82,共10页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70773076)

摘　　要：结合存款保险定价的期权定价法和期望损失定价法,提出了利用银行破产时被保险存款的期望损失来定价存款保险的新思路,该方法的特点是存款保险定价不仅仅与银行资产的风险和收益有关,而且与银行资本持有状况和存款的参保比率有密切关系.通过理论推导得到了存款保险定价公式.运用极大似然估计方法与测算原理,实证研究了其敏感性、可行性与合理性.研究结果表明:银行持有的资本越多,银行破产的概率越低,存款保险机构偿付的概率也越低,存款保险的费用则越低;存款的参保比率越高,存款费率越低,这样可以客观地反映商业银行破产时被保险存款的期望损失.Firstly,based on the option pricing method and the expected cost pricing method,we propose to price the deposit insurance using expected loss of the insured deposits when a bank goes bankrupt.In our model the price of deposit insurance is not only related to the risks and benefits of bank assets,but also to the bank＇s capital position and the ratio of insured deposits.Then,we give the pricing formula of deposit insurance through theoretical derivation.Finally,the empirical studies using the maximum likelihood estimation method prove the feasibility and rationality.The results show that the more the capital a bank has,the lower the probability of bank bankruptcies and the lower of the fees of deposit insurance.The higher the ratio of insured deposits,the lower the fee of deposit insurance.Our model can better reflect the expected loss of insurance deposit when banks go bankrupt.

关 键 词：存款保险 期权定价 监管资本 期望损失 

分 类 号：F830.45[经济管理—金融学]