考虑跨期系统风险的存款保险逆周期定价方法  

Counter-cyclical Pricing Method for Deposit Insurance with the Inter-Temporal Systemic Risk

作　　者：吕筱宁[1,2] 秦学志[2] 尚勤[2] 

机构地区：[1]东北财经大学金融学院,辽宁大连116024 [2]大连理工大学管理与经济学部,辽宁大连116024

出　　处：《系统管理学报》2016年第1期11-21,27,共12页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(71171032);留学回国人员科研启动基金资助项目(第43批)

摘　　要：将影响银行资产价值的风险因素分解为系统性风险因素和银行特定风险因素,从而在跨期条件下,将表征系统性风险的宏观经济因素引入到存款保险费率厘定的模型中,进而得到具有逆周期特点的存款保险费率厘定方法。通过实证和模拟分析,得到我国14家上市银行2008~2012年跨期5年的存款保险费率,并就各年度费率均值和逆周期特点两方面,与其他费率制定方法进行了比较,并对参数进行了敏感性分析。得到基本结论：逆周期存款保险的基础费率随存款参保比例的上升而降低;逆周期费率厘定方法具有一定的额外成本,且费率的逆周期特征越显著,额外成本越高。The risk factors that affects the value of bank assets are classified into systematic risk factor and bank idiosyncratic risk factor, so as to introduce macroeconomic condition, which represents systematic risk, into the inter-temporal pricing model of deposit insurance. We propose a counter-cyclical pricing method of deposit insurance. Through the empirical and simulation analysis, the deposit insurance premium that across five years （2008-2012） of 14 listed banks in China are obtained. A comparison of the counter-cyclical pricing method with other pricing method is made in terms of both the average annual premium and the countercyclical characteristic. The sensitivity analysis of two parameters is constructed to test the model. The results show that there is a negatively correlated relationship between the basic premium of counter-cyclical deposit insurance and the deposit insured proportion. Meanwhile, the counter- cyclical pricing method incurs an extra cost and the more significant counter-cyclical characteristic is, the higher that cost takes.

关 键 词：存款保险 定价模型 系统性风险 逆周期 

分 类 号：F830.48[经济管理—金融学]