存款保险定价研究:期权定价法和预期损失定价法的进展  

Study on Deposit Insurance Pricing:Development of Option Pricing Method and Expected Loss Pricing Method

作　　者：吴本健[1] 曾欣 

机构地区：[1]中央民族大学经济学院,北京100081 [2]中国科学院大学中丹学院,北京100049

出　　处：《金融发展研究》2017年第7期11-18,共8页Journal Of Financial Development Research

基　　金：国家自然科学基金青年项目(71603306);国家社会科学基金重大项目(13&ZD023);国家社会科学基金项目(16BJL105);中央民族大学青年教师科研专项(2016KYQN53);中央民族大学少数民族事业发展协同创新中心;中央民族大学2017年度"建设世界一流大学(学科)和特色发展引导专项资金"之应用经济学学科经费资助项目

摘　　要：合理的存款保险定价可有效减少道德风险和逆向选择问题。本文梳理了国内外关于存款保险定价的两种主要方法——期权定价法和预期损失定价法及其最新发展情况。期权定价法的核心是将存款保险看作存款保险机构以银行资产为标的发行的一份看跌期权,之后学者从股利发放、监管宽容、系统性风险等多个角度进行拓展。预期损失定价法主要根据边际损失与边际保费收入相等来进行保费厘定,以探寻如何通过更科学的方法更精确地测量银行的预期损失。此外,本文讨论了存款保险定价方法对我国的启示。Reasonable deposit insurance pricing can effectively reduce moral hazard and adverse selection. This paper sorts out two main methods about the pricing of deposit insurance in the world： option pricing and expected loss pricing. Option pricing method proposes modeling deposit insurance as a put option. After that, scholars have developed the model from a number of perspectives, such as dividend payment, regulatory forbearance, systematic risk and so on. Expected loss pricing method determines the premium with equilibrium between marginal loss and marginal premium income. Its development process is about how to measure banks’ expected loss in a more scientific way. In addition, the paper discusses the implications of the pricing method of deposit insurance in China and puts forward some suggestions for China＇s deposit insurance pricing method.

关 键 词：存款保险费率 期权定价模型 预期损失法 

分 类 号：F830[经济管理—金融学]