最优存款保险定价模型与中国抉择  

Optimal Deposit Insurance Pricing Model and China's Choice

作　　者：周镕基 姚帅 苏育洲 ZHOU Rongji;YAO Shuai;SO Yukchow

机构地区：[1]衡阳师范学院经济与管理学院 [2]澳门科技大学商学院,中国 [3]澳门大学工商管理学院,中国

出　　处：《金融监管研究》2024年第5期78-95,共18页Financial Regulation Research

基　　金：国家社会科学基金项目“供应链金融视角的农户信贷约束缓解研究”(23FJLB023);湖南省教育厅科学研究重点项目“‘稳金融’背景下存款保险定价模型构建及应用”(23A0523);湖南省创新平台开放基金项目“村镇银行风险背景下存款保险基金充裕性测度研究”(2022HSKFJJ034)。

摘　　要：防微杜渐,禁于未然,风险防控是金融工作的永恒主题。存款保险制度是金融风险防控的基础性制度,为其找到提供“公允交易价格”的定价工具非常重要。在此背景下,本文全面探讨了最优存款保险定价模型的中国抉择问题。本文的研究成果体现在以下方面:一是在国内存款保险研究中首次引入实物期权模型,区分了利率风险、信用风险和道德风险三种情景,为未来期权定价工作提供了一种新的思路。二是更新了基于概率分布的预期损失定价模型实证框架,结合真实银行数据,提供了更加及时和全面的预期损失定价结果。三是结合我国特殊国情提出一个基于分级模型的存款保险定价模型实证框架,拓宽了国内存款保险分级模型的实证思路。四是基于累积正确率验证、违约概率验证与风险承担验证三种方法对上述模型进行了全面检验,并据此验证了分级模型在我国样本中的相对优势。本文的研究将为我国最优存款保险定价模型的选择提供参考。Prevention at an early stage and prohibiting potential risks before they materialize are eternal themes in financial work.The deposit insurance system is foundational in financial risk management,making it crucial to find pricing tools that offer a"fair market price".Against this backdrop,this paper thoroughly explores the issue of China's choice in the optimal deposit insurance pricing model.The contributions of this paper are reflected in the following aspects:For the first time,this paper introduces the real options model to domestic deposit insurance pricing research,distinguishing between interest rate risk,credit risk,and moral hazard scenarios,offering a new possibility for future option pricing endeavors.Additionally,this paper updates the empirical framework of the expected loss pricing model based on a probability distribution,providing a more timely and comprehensive pricing result of expected loss by combining real bank data.Furthermore,this paper proposes an empirical framework for a deposit insurance pricing model based on China's special national conditions,utilizing bucketing approaches.This approach thereby broadens the scope of empirical thinking regarding domestic deposit insurance pricing models.Lastly,by employing cumulative accuracy profile curves,default probability validation,and risk-taking validation methods,this paper comprehensively tests the models,confirming the relative advantage of the bucketing approaches in the Chinese sample.This research provides key empirical support for the improvement of China's deposit insurance pricing system.

关 键 词：存款保险定价 实物期权 预期损失 分级模型 

分 类 号：F832.51[经济管理—金融学] F842.6