面向违约风险的商业银行存款担保费率实物期权定价模型  

Real Option Pricing Based Credit Guarantee of Commercial Banks Under Default Risks

作　　者：蒋洪迅[1] 刘子合 许伟[1] 闫超超 JIANG Hongxun;LIU Zihe;XU Wei;YAN Chaochao(School of Information,Renmin University of China,Beijing 100872)

机构地区：[1]中国人民大学信息学院

出　　处：《系统科学与数学》2019年第7期1068-1077,共10页Journal of Systems Science and Mathematical Sciences

基　　金：国家自然科学基金项目(71571183)资助课题

摘　　要：为了抵御存款挤兑以避免金融市场动荡,中央银行与各商业银行之间隐含着信用担保关系.央行有效监管,显然需要有效甄别各商业银行存款资产结构和波动特征.文章提出了一种基于实物期权定价的商业银行存款信用担保费率模型,通过公式推导和等价变换,获得一个基于违约风险测算以获得回购期权定价的解析表达式.根据该费率模型,基于工、农、建、交、中、招等国内6家主要国有商业银行的公开数据进行实证分析.试验结果表明,根据银行存款资产特征,央行应该采取差别化担保费率政策,提取比例与商业银行的资产规模无关,而应与该行存款波动率呈正比例关系.To avoid the turbulence of domestic financial markets, the central bank has to implicitly provide credit guarantees for commercial banks. It is obviously necessary to discriminate effectively the asset volatility characteristics of various commercial banks for effectively supervision. This paper proposes a real option pricing based credit guarantee model for commercial banks to deal with default risks. And more, through formula deduction and equivalent transformation, this model is formulated an analytical expression. Empirical analysis is conducted using the public data of 6 major state-owned commercial banks, including Industrial and Commercial Bank of China (ICBC), Agricultural Bank of China (ABC), China Construction Bank (CCB), and so on. The results indicate that the central bank should differentiate the rates of commercial banks, according to their asset characteristics. The ratios have nothing to do with their asset scale, but should comply with their deposit volatilities.

关 键 词：期权定价 抵押比例 波动率 实物期权 看跌期权 

分 类 号：O211.67[理学—概率论与数理统计] F832.22[理学—数学]